On the quantum Fermi accelerator and its relevance to ‘quantum chaos’

We discuss a quantum version of the Fermi acceleration model, which consists of a particle bouncing between a fixed and oscillating wall. The actual movement of the particle crucially depends on the boundary conditions of the Schrödinger equation. Under Dirichlet boundary conditions, the quantum system displays a regular behaviour, but its classical limit exhibits some unphysical attributes. Only for certain initial conditions does it correspond to the stable motion of a ball bouncing once for an integer number of wall oscillations. In the classical model that situation gives rise to regular islands imbedded in the chaotic sea.     

Valuing Asian options using the finite element method and duality techniques

The main objective of this paper is to develop an adaptive finite element method for computation of the values, and different sensitivity measures, of the Asian option with both fixed and floating strike. The pricing is based on Black–Scholes PDE-model and a method developed by Ve?e? where the resulting PDEs are of parabolic type in one spatial dimension and can be applied to both continuous and discrete Asian options. We propose using an adaptive finite element method which is based on a posteriori estimates of the error in desired quantities, which we derive using duality techniques. The a posteriori error estimates are tested and verified, and are used to calculate optimal meshes for each type of option. The use of adapted meshes gives superior accuracy and performance with less degrees of freedom than using uniform meshes. The suggested adaptive finite element method is stable, gives fast and accurate results, and can be applied to other types of options as well.     

Continuous weak approximation for stochastic differential equations

A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations (SDEs) by general one-step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second order conditions for a class of continuous stochastic Runge–Kutta methods containing the continuous extension of the second order stochastic Runge–Kutta scheme due to Platen are derived. Further, some coefficients for optimal continuous schemes applicable to Itô SDEs with respect to a multi–dimensional Wiener process are presented.     

An explicit solution of the large deformation of a cantilever beam under point load at the free tip

The large deformation of a cantilever beam under point load at the free tip is investigated by an analytic method, namely the homotopy analysis method (HAM). The explicit analytic formulas for the rotation angle at the free tip are given, which provide a convenient and straightforward approach to calculate the vertical and horizontal displacements of a cantilever beam with large deformation. These explicit formulas are valid for most practical problems, thus providing a useful reference for engineering applications. The corresponding Mathematica code is given in the Appendix.     

ACFA and measurability

We show that definable sets of finite S₁-rank in algebraically closed fields with an automorphism can be measured.     

The impact of illiquidity on the asset management of insurance companies

This paper investigates optimal asset management strategies for property and casualty insurance companies in illiquid markets. Using a cash-flow based liquidation model of an insurance company, we consider the effects of permanent and temporary price impact as well as commonality in price impact. Focusing on the interaction of a single large investor with the financial market makes the main results generally applicable for any institutional investor with stochastic future liabilities and restrictions on short-sales and financial leverage. Our analysis reveals a clear diversification benefit in illiquid markets apart from the one introduced by Markowitz [Markowitz, H., 1952. Portfolio selection. J. Financ. 7, 77-91]. In the presence of commonality, cash-flow matching is shown to be the optimal strategy for a large investor.     

Higher Hopf formulae for homology via Galois Theory

We use Janelidze's Categorical Galois Theory to extend Brown and Ellis's higher Hopf formulae for homology of groups to arbitrary semi-abelian monadic categories. Given such a category A and a chosen Birkhoff subcategory B of A, thus we describe the Barr-Beck derived functors of the reflector of A onto B in terms of centralization of higher extensions. In case A is the category Gp of all groups and B is the category Ab of all abelian groups, this yields a new proof for Brown and Ellis's formulae. We also give explicit formulae in the cases of groups vs. k-nilpotent groups, groups vs. k-solvable groups and precrossed modules vs. crossed modules.     

An integro-differential equation model for alignment and orientational aggregation

We study an integro-differential equation modeling angular alignment of interacting bundles of cells or filaments. A bifurcation analysis of the related stationary problem was done by Geigant and Stoll in [E. Geigant, M. Stoll, Bifurcation analysis of an orientational aggregation model, J. Math. Biol. 46 (6) (2003) 537-563]. Here we analyze the time-dependent problem and prove that the type of alignment (one- or multi-directional) depends on the initial distribution, the interaction potential, and the preferred optimal orientation of the bundles of cells or filaments. Our main technical tool is the analysis of the evolution of suitable functionals for the cell density, which allows to also specify the direction(s) where the final alignment takes place.     

On the low-lying zeros of Hasse-Weil L-functions for elliptic curves

In this paper, we obtain an unconditional density theorem concerning the low-lying zeros of Hasse-Weil L-functions for a family of elliptic curves. From this together with the Riemann hypothesis for these L-functions, we infer the majorant of 27/14 (which is strictly less than 2) for the average rank of the elliptic curves in the family under consideration. This upper bound for the average rank enables us to deduce that, under the same assumption, a positive proportion of elliptic curves have algebraic ranks equaling their analytic ranks and finite Tate-Shafarevich group. Statements of this flavor were known previously [M.P. Young, Low-lying zeros of families of elliptic curves, J. Amer. Math. Soc. 19 (1) (2005) 205-250] under the additional assumptions of GRH for Dirichlet L-functions and symmetric square L-functions which are removed in the present paper.