A note on super-hedging for investor–producers

We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produced goods. This framework is motivated by the case of an electricity producer who wants to hedge a position on the electricity spot price and can trade commodities which are inputs for his system. This extends the essential results of Bouchard and Nguyen (Math Finance, 2011) to continuous time markets. We introduce the generic concept of conditional sure profit along the idea of the no sure profit condition of Rásonyi (Optimality and risk-modern trends in mathematical finance: the Kabanov Fetschrift, 2009). The condition allows one to provide a closedness property for the set of super-hedgeable claims in a very general financial setting. Using standard separation arguments, we then deduce a dual characterization of the latter and provide an application to power futures pricing.     

A note on “hierarchical models for multi-project planning and scheduling”

We consider the multi-mode resource-constrained project scheduling problem. The focus of our analysis is on an algorithm recently proposed by Speranza and Vercellis for finding makespan minimal solutions. The correctness of the algorithm is examined. By counterexamples we illustrate that the algorithm does not generally find (existing) optimal solutions.     

A constrained nonlinear 0–1 program for data allocation

This paper analyzes the problem of allocating copies of relations from a global database to the sites of a geographically distributed communication network. The objective of the allocation is to minimize the total cost due to transmissions generated by queries from the various sites, including queries that access multiple relations. This allocation problem is modeled as a constrained nonlinear 0–1 subproblems generated during subgradient optimization are solved as optimization. Some of the unconstrained quadratic 0–1 subproblems generated during subgradient optimization are solved as maximum flow problems, while the others require implicit enumeration, depending on the nature of the objective function coefficients of the subproblems. Our solution approach is tested extensively on data allocation problems with as many as 100 sites and 20 relations. On a set of randomly generated test problems our approach was close to two orders of magnitude faster than the general purpose integer programming code OSL.     

A scenario decomposition algorithm for 0–1 stochastic programs

We propose a scenario decomposition algorithm for stochastic 0–1 programs. The algorithm recovers an optimal solution by iteratively exploring and cutting-off candidate solutions obtained from solving scenario subproblems. The scheme is applicable to quite general problem structures and can be implemented in a distributed framework. Illustrative computational results on standard two-stage stochastic integer programming and nonlinear stochastic integer programming test problems are presented.     

A Cramér–Rao inequality for non-differentiable models

We compute a variance lower bound for unbiased estimators in statistical models. The construction of the bound is related to the original Cramér–Rao bound, although it does not require the differentiability of the model. Moreover, we show our efficiency bound to be always greater than the Cramér–Rao bound in smooth models, thus providing a sharper result.     

A note on monotone mean–variance preferences for continuous processes

We extend a recent result of Trybuła and Zawisza (2019), who investigate a continuous-time portfolio optimization problem under monotone mean–variance preferences. Their main finding is that the optimal strategies for monotone and classical mean–variance preferences coincide in a stochastic factor model for the financial market. We generalize this result to any model for the financial market where asset prices are continuous.     

A note on convergence of option prices and their Greeks for Lévy models

We study the robustness of option prices to model variation after a change of measure where the measure depends on the model choice. We consider geometric Lévy models in which the infinite activity of the small jumps is approximated by a scaled Brownian motion. For the Esscher transform, the minimal entropy martingale measure, the minimal martingale measure and the mean variance martingale measure, we show that the option prices and their corresponding deltas converge as the scaling of the Brownian motion part tends to zero. We give some examples illustrating our results.     

Thermo-visco-elasticity for Norton–Hoff-type models

Our research is directed to a quasi-static evolution of the thermo-visco-elastic model. We assume that the material is subject to two kinds of mechanical deformations: elastic and inelastic. Moreover, our analysis captures the influence of the temperature on the visco-elastic properties of the body. The novelty of the paper is the consideration of the thermodynamically consistent model to describe this kind of phenomena related with a hardening rule of Norton–Hoff type. We provide the proof of existence of solutions to thermo-visco-elastic model in a simplified setting, namely the thermal expansion effects are neglected. Consequently, the coupling between the temperature and the displacement occurs only in the constitutive function for the evolution of the visco-elastic strain.     

A note on the Ambrosetti–Rabinowitz condition for an elliptic system

In this note, we study the existence and multiplicity of solutions for a system of coupled elliptic equations. We introduce a revised Ambrosetti–Rabinowitz condition, and show that the system has a nontrivial solution or even infinitely many solutions.     

A note on the Voronovskaja theorem for Mellin–Fejer convolution operators

Here, using Mellin derivatives and a different notion of moment, we state a Voronovskaja approximation formula for a class of Mellin–Fejer type convolution operators. This new approach gives direct and simple applications to various important specific examples.     

A new penalty parameter for linearly constrained 0–1 quadratic programming problems

The equivalence between the linearly constrained 0–1 quadratic programming problem and the continuous quadratic programming problem is studied in this note. Specifically, we show that the existing penalty parameter from the literature can be further improved.     

A note on the unique continuation property for Zakharov–Kuznetsov equation

We prove that if a sufficiently smooth solution to the initial value problem associated with the Zakharov–Kuznetsov equation$u_t+(u_{\mathit{xx}}+u_{\mathit{yy}}{)}_x+{\mathit{uu}}_x=0,(x,y)\in {\mathbb{R}}^2,t\in \mathbb{R}$is supported compactly in a nontrivial time interval then it vanishes identically.     

A note on Schweizer–Smital chaos

In this paper, we consider a continuous map f:X→X$f:X\to X$, where X$X$ is a compact metric space, and prove that for any positive integer N$N$, f$f$ is Schweizer–Smital chaotic if and only if f^N$f^N$ is too.