A note on certain matrices with h(x) – Fibonacci quaternion polynomials

In this paper we consider a g – circulant, right circulant, left circulant and a special kind of a tridiagonal matrices whose entries are h(x) – Fibonacci quaternion polynomials. We present the determinant of these matrices and with the tridiagonal matrices we show that the determinant is equal to the nth term of the h(x) – Fibonacci quaternion polynomial sequences.     

Pricing currency derivatives with Markov-modulated Lévy dynamics

Using a Lévy process we generalize formulas in Bo et al. (2010) for the Esscher transform parameters for the log-normal distribution which ensure that the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the distribution of jumps, the mean jump size, and the Poisson process intensity with respect to this measure. The formulas for a European call foreign exchange option are also derived. We apply these formulas to the case of the log-double exponential distribution of jumps. We provide numerical simulations for the European call foreign exchange option prices with different parameters.     

Local Expansions of Periodic Spline Interpolation with Some Applications

In this paper we prove some asymptotic expansions of the error of interpolation on equally spaced nodes with periodic smoothest splines of arbitrary degree on a uniform partition. We obtain a local expansion in terms of derivatives of the interpolate. Afterwards we apply this result to the asymptotic study of the numerical solution of periodic integral equations of the second kind by means of ϵ – collocation methods. We show some new superconvergence results and give particular forms of these expansions depending on the choices of the parameter ϵ. We finally give some numerical experiments, which corroborate the theory.     

Performance Analysis of a Finite-Buffer Bulk-Arrival and Bulk-Service Queue with Variable Server Capacity

Abstract

In this paper, we consider a finite-buffer bulk-arrival and bulk-service queue with variable server capacity: M ^X /G ^Y /1/K + B. The main purpose of this paper is to discuss the analytic and computational aspects of this system. We first derive steady-state departure-epoch probabilities based on the embedded Markov chain method. Next, we demonstrate two numerically stable relationships for the steady-state probabilities of the queue lengths at three different epochs: departure, random, and arrival. Finally, based on these relationships, we present various useful performance measures of interest such as moments of the number of customers in the queue at three different epochs, the loss probability, and the probability that server is busy. Numerical results are presented for a deterministic service-time distribution – a case that has gained importance in recent years.     

AN OPTION PRICING PROBLEM WITH THEUNDERLYING STOCK PAY1NG DIVIDENDS~

In this paper, a pricing problem of European call options is considered, wbete the underlying stock generates dividends d, at some fixed future dates T, before the expiration date T .without the inappropriate assumption made in that the dlvkdeMs being payed continously.The arbitrage free pricing of the option is determined via a series of partial differential equations.which is derived at the view point of backward s‘tochasric differential ertuation (BBDE). It isshowed how the dividends affect the fair price of the call options. Some simulating results are alsogiven to illust rate the respective in fluence of parameters a.T.r,K.di and F1 on the option pricing.     

Canonical forms for unitary congruence and *congruence

We use methods of the general theory of congruence and *congruence for complex matrices – regularization and cosquares – to determine a unitary congruence canonical form (respectively, a unitary *congruence canonical form) for complex matrices A such that āA (respectively, A ²) is normal. As special cases of our canonical forms, we obtain – in a coherent and systematic way – known canonical forms for conjugate normal, congruence normal, coninvolutory, involutory, projection, λ-projection, and unitary matrices. But we also obtain canonical forms for matrices whose squares are Hermitian or normal, and other cases that do not seem to have been investigated previously. We show that the classification problems under (a) unitary *congruence when A ³ is normal, and (b) unitary congruence when AāA is normal, are both unitarily wild, so these classification problems are hopeless.     

Estimation with Sequential Order Statistics from Exponential Distributions

The lifetime of an ordinary k-out-of-n system is described by the (n–k+1)-st order statistic from an iid sample. This set-up is based on the assumption that the failure of any component does not affect the remaining ones. Since this is possibly not fulfilled in technical systems, sequential order statistics have been proposed to model a change of the residual lifetime distribution after the breakdown of some component. We investigate such sequential k-out-of-n systems where the corresponding sequential order statistics, which describe the lifetimes of these systems, are based on one- and two-parameter exponential distributions. Given differently structured systems, we focus on three estimation concepts for the distribution parameters. MLEs, UMVUEs and BLUEs of the location and scale parameters are presented. Several properties of these estimators, such as distributions and consistency, are established. Moreover, we illustrate how two sequential k-out-of-n systems based on exponential distributions can be compared by means of the probability P(X < Y). Since other models of ordered random variables, such as ordinary order statistics, record values and progressive type II censored order statistics can be viewed as sequential order statistics, all the results can be applied to these situations as well.     

Hölder continuity of solutions to a degenerate elliptic equation in the presence of the Lavrentiev phenomenon

We study a second-order elliptic equation for which the Dirichlet problem can be posed in a nonunique way due to the so-called Lavrentiev phenomenon. In the corresponding weighted Sobolev space smooth functions are not dense, which leads to the existence of W – solutions and H – solutions. For H - solutions, we establish the Hölder continuity. We also discuss this question for W – solutions, for which the situation is more complicated.     

Tuberculosis model with relapse via fractional conformable derivative with power law

The present study explores the tuberculosis dynamics with relapse with a nonlocal conformable derivative in the Caputo sense. The real data of tuberculosis cases since 2002 to 2017 are used to the set the parameters. The numerical results with the realistic parameters are chosen and present the graphical results. Further, we assign different values to the fractional parameters α and β and discuss its effect on the system variables. The use of these two fractional operators on the model simultaneously with realistic data gives reliable results.     

Implication for Lie group symmetries for RANS modeling

Since the symmetries of fluid motion are admitted by all statistical quantities of turbulent flows as can be taken from the multipoint equations, we can derive conditions for turbulence models so that they capture the proper flow physics. Concerning these constraints we will exemplary investigate the k – ϵ – model for its capability to reproduce new scaling laws derived from symmetry methods. (© 2005 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

A Family of Maximum Entropy Densities Matching Call Option Prices

Abstract

We investigate the position of the Buchen–Kelly density (Peter W. Buchen and Michael Kelly. The maximum entropy distribution of an asset inferred from option prices. Journal of Financial and Quantitative Analysis, 31(1), 143–159, March 1996.) in the family of entropy maximizing densities from Neri and Schneider (Maximum entropy distributions inferred from option portfolios on an asset. Finance and Stochastics, 16(2), 293–318, April 2012.), which all match European call option prices for a given maturity observed in the market. Using the Legendre transform, which links the entropy function and the cumulant generating function, we show that it is both the unique continuous density in this family and the one with the greatest entropy. We present a fast root-finding algorithm that can be used to calculate the Buchen–Kelly density and give upper boundaries for three different discrepancies that can be used as convergence criteria. Given the call prices, arbitrage-free digital prices at the same strikes can only move within upper and lower boundaries given by left and right call spreads. As the number of call prices increases, these bounds become tighter, and we give two examples where the densities converge to the Buchen–Kelly density in the sense of relative entropy. The method presented here can also be used to interpolate between call option prices, and we compare it to a method proposed by Kahalé (An arbitrage-free interpolation of volatilities. Risk, 17(5), 102–106, May 2004). Orozco Rodriguez and Santosa (Estimation of asset distributions from option prices: Analysis and regularization. SIAM Journal on Financial Mathematics, 3(1), 374–401, 2012.) have produced examples in which the Buchen–Kelly algorithm becomes numerically unstable, and we use these as test cases to show that the algorithm given here remains stable and leads to good results.     

New approach for the identification of power system economic dispatch parameters

It is well known that the coefficients of the input-output characteristics of the thermal steam-turbine model as well as the network model parameters have a great effect on the optimal economic operation of all thermal-electric power systems. Until today, these coefficients, the loss formula coefficients, theB-coefficients, and the active-reactive power loss models have been estimated using the well-known least-square estimation algorithm.In this paper, we present a new algorithm to estimate the power system parameters for economic dispatch calculation (EDC); this algorithm is based on the least absolute-value approximation (LAV)l ₁-norm. We compare the results obtained using the proposed algorithms with those obtained using the least-square error algorithm (LS). Optimal costs as well as overall network performance resulting from the implementation of each technique provide the basis of our conclusion.This work was supported by the Natural Science and Engineering Research Council of Canada, Grant No. A4146.     

A generalized contraction proximal point algorithm with two monotone operators

Abstract

In this work, we introduce a generalized contraction proximal point algorithm and use it to approximate common zeros of maximal monotone operators A and B in a real Hilbert space setting. The algorithm is a two step procedure that alternates the resolvents of these operators and uses general assumptions on the parameters involved. For particular cases, these relaxed parameters improve the convergence rate of the algorithm. A strong convergence result associated with the algorithm is proved under mild conditions on the parameters. Our main result improves and extends several results in the literature.     

On the Ramsey number of trees versus graphs with large clique number

Chvátal established that r(T_m, K_n) = (m – 1)(n – 1) + 1, where T_m is an arbitrary tree of order m and K_n is the complete graph of order n. This result was extended by Chartrand, Gould, and Polimeni who showed K_n could be replaced by a graph with clique number n and order n + 1 provided n ≧ 3 and m ≧ 3. We further extend these results to show that K_n can be replaced by any graph on n + 2 vertices with clique number n, provided n ≧ 5 and m ≧ 4. We then show that further extensions, in particular to graphs on n + 3 vertices with clique number n are impossible. We also investigate the Ramsey number of trees versus complete graphs minus sets of independent edges. We show that r(T_m, K_n –tK₂) = (m – 1)(n – t – 1) + 1 for m ≧ 3, n ≧ 6, where T_m is any tree of order m except the star, and for each t, O ≦ t ≦ [(n – 2)/2].     

Fixed Points of Automorphisms of Graphs with 1 – Factorizations

We consider sets of fixed points of finite simple undirected connected graphs with 1 – factorizations. The maximum number of fixed points of complete graphs K_2n (n > 2) is n if n ≡ 0 mod 4, n — 1 if n ≡ 3 mod 4 or n ≡ 5 mod 12, n — 2 if n ≡ 2 mod 4, n — 3 if n ≡ 1 mod 4 and n ≢ 5 (mod 12). The maximum number of fixed points of 1 – factorizations of (non – complete) graphs with 2n vertices is less than or equal to n. If n is a prime number, then there are graphs with 2n vertices whose 1 – factorizations have automorphisms with n fixed points. Moreover, a result on the structure of a group of fixed – point – free automorphisms is presented.     

Multifilters with and without Prefilters

To explore the full approximation order and thus compression power of a multifilter, it is usually necessary to incorporate prefilters. Using matrix factorization techniques, we describe an explicit construction of such prefilters. Although in the case of approximation order 1 these prefilters are simply bi-infinite block diagonal matrices, they can become very intricate as soon as one aims for higher approximation order. For this reason, we introduce a particular class of multifilters which we call full rank multifilters. These filters have a peculiar structure which allows us to obtain approximation order without the use of prefilters. The construction of such filters via the lifting scheme is pointed out and examples of the performance of these filters for image compression are given.     

On Binary Computation Structures

Based on a modification of Moss' and Parikh's topological modal language [8], we study a generalization of a weakly expressive fragment of a certain propositional modal logic of time. We define a bimodal logic comprising operators for knowledge and nexttime. These operators are interpreted in binary computation structures. We present an axiomatization of the set T of theorems valid for this class of semantical domains and prove – as the main result of this paper – its completeness. Moreover, the question of decidability of T is treated.     

On the power of standard information for <Emphasis Type="Italic">L</Emphasis><Subscript>∞</Subscript> approximation in the randomized setting

We study approximation of multivariate functions from a general separable reproducing kernel Hilbert space in the randomized setting with the error measured in the L _∞ norm. We consider algorithms that use standard information consisting of function values or general linear information consisting of arbitrary linear functionals. The power of standard or linear information is defined as, roughly speaking, the optimal rate of convergence of algorithms using n function values or linear functionals. We prove under certain assumptions that the power of standard information in the randomized setting is at least equal to the power of linear information in the worst case setting, and that the powers of linear and standard information in the randomized setting differ at most by 1/2. These assumptions are satisfied for spaces with weighted Korobov and Wiener reproducing kernels. For the Wiener case, the parameters in these assumptions are prohibitively large, and therefore we also present less restrictive assumptions and obtain other bounds on the power of standard information. Finally, we study tractability, which means that we want to guarantee that the errors depend at most polynomially on the number of variables and tend to zero polynomially in n ⁻¹ when n function values are used.     

Zeros of Fredholm Operator Valued Hp–Functions

This paper is concerned with Fredholm operator valued H^p – functions on the unit disc, where the Fredholm operators action a Banach space. Sufficient conditions are presented which guarantee that Fatou's theorem is valid. Using the theory of traces and determinants on quasi – Banach operator ideals, we develop conditions that guarantee that the zeros of Fredholm operator valued H^p – functions satisfy the Blaschke condition.     

A note on convergence of an approximate hedging portfolio with liquidity risk

When the underlying asset price depends on activities of traders, hedging errors include costs due to the illiquidity of the underlying asset and the size of this cost can be substantial. Cetin et al. (2004), Liquidity risk and arbitrage pricing theory, Finance and Stochastics, 8(3), 311-341, proposed a hedging strategy that approximates the classical Black–Scholes hedging strategy and produces zero liquidity costs. Here, we compute the rate of convergence of the final value of this hedging portfolio to the option payoff in case of a European call option; i.e. we see how fast its hedging error converges to zero. The hedging strategy studied here is meaningful due to its simple liquidity cost structure and its smoothness relative to the classical Black–Scholes delta.