The uniqueness of tangent cones for Yang–Mills connections with isolated singularities

We proved a uniqueness theorem of tangent connections for a Yang–Mills connection with an isolated singularity with a quadratic growth of the curvature at the singularity. We also obtained control over the rate of the asymptotic convergence of the connection to the tangent connection if furthermore the connection is stationary or the tangent connection is integrable, with a stronger result in the latter case. There are parallel results for the cones at infinity of a Yang–Mills connection on an asymptotically flat manifold. We also gave an application of our methods to the Yang–Mills flow and proved that the Yang–Mills flow exists for all time and has asymptotic limit if the initial value is close to a smooth local minimizer of the Yang–Mills functional.     

Symplectic, complex and Kähler structures on four-dimensional generalized symmetric spaces

We obtain the full classification of invariant symplectic, (almost) complex and Kähler structures, together with their paracomplex analogues, on four-dimensional pseudo-Riemannian generalized symmetric spaces. We also apply these results to build some new examples of five-dimensional homogeneous K-contact, Sasakian, K-paracontact and para-Sasakian manifolds.     

A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

In this paper, we outline an impulse stochastic control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) assuming the policyholder is allowed to withdraw funds continuously. We develop a numerical scheme for solving the Hamilton–Jacobi–Bellman (HJB) variational inequality corresponding to the impulse control problem. We prove the convergence of our scheme to the viscosity solution of the continuous withdrawal problem, provided a strong comparison result holds. The scheme can be easily generalized to price discrete withdrawal contracts. Numerical experiments are conducted, which show a region where the optimal control appears to be non-unique.     

The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is almost surely bounded under the statistical measure. Further, we restrict the equivalent martingale measures and apply the same bounds to the mortality intensity under these measures. For this setting we derive upper and lower price bounds for unit-linked life insurance contracts using stochastic control techniques. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical measure in the limit when the number of contracts increases. This justifies the bounds for the mortality intensity under the pricing measures. We provide numerical examples investigating fixed-term, endowment insurance contracts and their combinations including various guarantee features. The pricing partial differential equation for the upper and lower price bounds is solved by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of minor importance.     

Lower bound for Ln/2 curvature norm and its application

We control the number of critical points of a height function arising from the Nash isometric embedding of a compact Riemanniann-manifoldM. The L^n/2 curvature norm ∥R∥ and a similar scalar ∥R∥ are introduced and their integralR(M) andR(M) overM. We prove thatR(M) is bounded below by a constant depending only onn and the Betti numbers ofM. Thus a new sphere theorem is proved by eliminating allith Betti numbers fori = 1, .…n −1. The emphasis is that our sphere theorem imposes no restriction on the range of curvature. Research partially supported by Grant-in-Aid for General Scientific Research, grant no. 07454018.     

Conformal fields and the stability of leaves with constant higher order mean curvature

In this paper, we study hypersurfaces with constant rth mean curvature Sr. We investigate the stability of such hypersurfaces in the case when they are leaves of a codimension one foliation. We also generalize recent results by Barros and Sousa, concerning conformal fields, to an arbitrary manifold. Using this we show that normal component of a Killing field is an rth Jacobi field of a hypersurface with Sr+1 constant. Finally, we study relations between rth Jacobi fields and vector fields preserving a foliation.     

Normal Feedback Stabilization of Periodic Flows in a Three-Dimensional Channel

We present an extension from two dimensions to three dimensions of a boundary control law, which stabilizes the parabolic profile of an infinite channel flow. The controller acts on the normal component of the velocity only. The stability is achieved without any a priori condition on the viscosity coefficient, that is on Reynolds number.     

Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide

We show how infinite horizon stochastic optimal control problems can be solved via studying their finite horizon approximations. This often leads to analytical solutions for the infinite horizon problem by studying phase diagrams, even in cases where the complexity of the finite horizon case does not permit analytic solutions. Our approach can be applied to many problems in dynamic economics.     

Closed manifolds with small excess

In this article, we study closed Riemannian manifolds with small excess. We show that a closed connected Riemannian manifold with Ricci curvature and injectivity radius bounded from below is homeomorphic to a sphere if it has sufficiently small excess. We also show that a closed connected Riemannian manifold with weakly bounded geometry is a homotopy sphere if its excess is small enough.     

La topologie à l'infini des variétés à géométrie bornée et croissance linéaire

We study the topology at infinity of a non compact riemannian manifold with bounded geometry and linear growth-type.     

Parallel connections over symmetric spaces

Let M be a simply connected Riemannian symmetric space, with at most one flat direction. We show that every Riemannian (or unitary) vector bundle with parallel curvature over M is an associated vector bundle of a canonical principal bundle, with the connection inherited from the principal bundle. The problem of finding Riemannian (or unitary) vector bundles with parallel curvature then reduces to finding representations of the structure group of the canonical principal bundle.     

Linear regularity, equirregularity, and intersection mappings for convex semi-infinite inequality systems

We study the mixed-integer rounding (MIR) closures of polyhedral sets. The MIR closure of a polyhedral set is equal to its split closure and the associated separation problem is NP-hard. We describe a mixed-integer programming (MIP) model with linear constraints and a non-linear objective for separating an arbitrary point from the MIR closure of a given mixed-integer set. We linearize the objective using additional variables to produce a linear MIP model that solves the separation problem exactly. Using a subset of these additional variables yields an MIP model which solves the separation problem approximately, with an accuracy that depends on the number of additional variables used. Our analysis yields an alternative proof of the result of Cook et al. (1990) that the split closure of a polyhedral set is again a polyhedron. We also discuss a heuristic to obtain MIR cuts based on our approximate separation model, and present some computational results. Andrea Lodi was supported in part by the EU projects ADONET (contract n. MRTN-CT-2003-504438) and ARRIVAL (contract n. FP6-021235-2).     

A characterization of the Chebyshev and Fibonacci polynomials

We consider sequences of polynomials of hypergeometric type satisfying a three-term recurrence relation with constant coefficients and general initial conditions. We characterize among these the Chebyshev and Fibonacci polynomials. Furthermore, we show some necessary conditions and links between the coefficients of the recurrence relation and initial conditions, and the coefficients of the hypergeometric type differential equation in order that this is satisfied by a sequence of polynomials.     

Rigidity of Riemannian foliations with complex leaves on kähler manifolds

We study Riemannian foliations with complex leaves on Kähler manifolds. The tensor T, the obstruction to the foliation be totally geodesic, is interpreted as a holomorphic section of a certain vector bundle. This enables us to give classification results when the manifold is compact.     

Transverse Riemann-Lorentz type-changing metrics with tangent radical

Consider a smooth manifold with a smooth metric which changes bilinear type on a hypersurface Σ and whose radical line field is everywhere tangent to Σ. We describe two natural tensors on Σ and use them to describe “integrability conditions” which are similar to the Gauss-Codazzi conditions. We show that these forms control the smooth extendibility to Σ of ambient curvatures.     

Drawing 4-Pfaffian graphs on the torus

We say that a graph G is k-Pfaffian if the generating function of its perfect matchings can be expressed as a linear combination of Pfaffians of k matrices corresponding to orientations of G. We prove that 3-Pfaffian graphs are 1-Pfaffian, 5-Pfaffian graphs are 4-Pfaffian and that a graph is 4-Pfaffian if and only if it can be drawn on the torus (possibly with crossings) so that every perfect matching intersects itself an even number of times. We state conjectures and prove partial results for k>5. The author was supported in part by NSF under Grant No. DMS-0200595 and DMS-0701033.     

A fixed point theorem

We establish a fixed point theorem for a Lie group of isometries acting on a Riemannian manifold with nonnegative curvature.     

Improved Chen–Ricci inequality for curvature-like tensors and its applications

We present Chen–Ricci inequality and improved Chen–Ricci inequality for curvature like tensors. Applying our improved Chen–Ricci inequality we study Lagrangian and Kaehlerian slant submanifolds of complex space forms, and C-totally real submanifolds of Sasakian space forms.     

On PDE solution in transient optimization of gas networks

Operative planning in gas distribution networks leads to large-scale mixed-integer optimization problems involving a hyperbolic PDE defined on a graph. We consider the NLP obtained under prescribed combinatorial decisions—or as relaxation in a branch-and-bound framework, addressing in particular the KKT systems arising in primal–dual interior methods. We propose a custom solution algorithm using sparse projections locally in time, based on the KKT systems’ structural properties in space as induced by the discretized gas flow equations in combination with the underlying network topology. The numerical efficiency and accuracy of the algorithm are investigated, and detailed computational comparisons with a previously developed control space method and with the multifrontal solver MA27 are provided.     

Kähler-Einstein metrics and projective embeddings

We prove that the complex projective space equipped with its Fubini-Study metric admits no compact Kähler-Einstein submanifold with nonpositive Einstein constant. In particular, the Calabi-Yau metrics carried by an algebraic K3 surface cannot be realized by projective embeddings.