共查询到20条相似文献,搜索用时 31 毫秒
1.
Dewen Xiong 《随机分析与应用》2013,31(5):793-819
We construct a market of bonds with jumps driven by a general marked point process as well as by a ? n -valued Wiener process based on Björk et al. [6], in which there exists at least one equivalent martingale measure Q 0. Then we consider the mean-variance hedging of a contingent claim H ∈ L 2(? T 0 ) based on the self-financing portfolio based on the given maturities T 1,…, T n with T 0 < T 1 < … <T n ≤ T*. We introduce the concept of variance-optimal martingale (VOM) and describe the VOM by a backward semimartingale equation (BSE). By making use of the concept of ?*-martingales introduced by Choulli et al. [8], we obtain another BSE which has a unique solution. We derive an explicit solution of the optimal strategy and the optimal cost of the mean-variance hedging by the solutions of these two BSEs. 相似文献
2.
Hong Zhang 《随机分析与应用》2017,35(6):1084-1112
Continuing the study of stochastic motion that we started [11], we present in this article the kinematics of such a motion. We begin by defining the quadratic derivative of an S2-process, and show that this derivative of the Brownian motion captures the variance uncertainty. We show, under certain vanishing derivatives and independence conditions, the martingale properties of an S1-process. Starting with an S1-process, we derive the equation of motion, an Itô equation corresponding to a G-diffusion process. 相似文献
3.
Thomas Laurent 《偏微分方程通讯》2013,38(12):1941-1964
The purpose of this work is to develop a satisfactory existence theory for a general class of aggregation equations. An aggregation equation is a non-linear, non-local partial differential equation that is a regularization of a backward diffusion process. The non-locality arises via convolution with a potential. Depending on how regular the potential is, we prove either local or global existence for the solutions. Aggregation equations have been used recently to model the dynamics of populations in which the individuals attract each other (Bodnar and Velazquez, 2005; Holm and Putkaradze, 2005; Mogilner and Edelstein-Keshet, 1999; Morale et al., 2005; Topaz and Bertozzi, 2004; Topaz et al., 2006). 相似文献
4.
GRADINGS OF SIMPLE JORDAN ALGEBRAS AND THEIR RELATION TO THE GRADINGS OF SIMPLE ASSOCIATIVE ALGEBRAS
《代数通讯》2013,41(9):4095-4102
In this paper we describe all group gradings of the simple Jordan algebra of a non-degenerate symmetric form on a vector space over a field of characteristic different from 2. If we use the notion of the Clifford algebra, then we are able to recover some of the gradings on matrix algebras obtained in an entirely different way in [BSZ]. 相似文献
5.
Let 𝒜 be an abelian category. A subcategory 𝒳 of 𝒜 is called coresolving if 𝒳 is closed under extensions and cokernels of monomorphisms and contains all injective objects of 𝒜. In this paper, we introduce and study Gorenstein coresolving categories, which unify the following notions: Gorenstein injective modules [8], Gorenstein FP-injective modules [20], Gorenstein AC-injective modules [3], and so on. Then we define a resolution dimension relative to the Gorenstein coresolving category 𝒢?𝒳(𝒜). We investigate the properties of the homological dimension and unify some important properties possessed by some known homological dimensions. In addition, we study stability of the Gorenstein coresolving category 𝒢?𝒳(𝒜) and apply the obtained properties to special subcategories and in particular to module categories. 相似文献
6.
Mihajlo Cekić 《偏微分方程通讯》2017,42(11):1781-1836
In this paper, we consider the problem of identifying a connection ? on a vector bundle up to gauge equivalence from the Dirichlet-to-Neumann map of the connection Laplacian ?*? over conformally transversally anisotropic (CTA) manifolds. This was proved in [9] for line bundles in the case of the transversal manifold being simple—we generalize this result to the case where the transversal manifold only has an injective ray transform. Moreover, the construction of suitable Gaussian beam solutions on vector bundles is given for the case of the connection Laplacian and a potential, following the works of [11]. This in turn enables us to construct the Complex Geometrical Optics (CGO) solutions and prove our main uniqueness result. We also reduce the problem to a new non-abelian X-ray transform for the case of simple transversal manifolds and higher rank vector bundles. Finally, we prove the recovery of a flat connection in general from the DN map, up to gauge equivalence, using an argument relating the Cauchy data of the connection Laplacian and the holonomy. 相似文献
7.
In [4] anisotropic inverse problems were considered in certain admissible geometries, that is, on compact Riemannian manifolds with boundary which are conformally embedded in a product of the Euclidean line and a simple manifold. In particular, it was proved that a bounded smooth potential in a Schrödinger equation was uniquely determined by the Dirichlet-to-Neumann map in dimensions n ≥ 3. In this article we extend this result to the case of unbounded potentials, namely those in L n/2. In the process, we derive L p Carleman estimates with limiting Carleman weights similar to the Euclidean estimates of Jerison and Kenig [8] and Kenig et al. [9]. 相似文献
8.
Jeremy Marzuola 《偏微分方程通讯》2013,38(5):775-790
In this note, we further develop the methods of Burq and Zworski (2005) to study eigenfunctions for billiards which have rectangular components: these include the Bunimovich billiard, the Sinai billiard, and the recently popular pseudointegrable billiards (Bogomolny et al., 1999). The results are an application of a “black-box” point of view as presented in Burq and Zworski (2004). 相似文献
9.
10.
Stéphane Launois 《代数通讯》2017,45(3):1294-1313
Cauchon [5] introduced the so-called deleting derivations algorithm. This algorithm was first used in noncommutative algebra to prove catenarity in generic quantum matrices, and then to show that torus-invariant primes in these algebras are generated by quantum minors. Since then this algorithm has been used in various contexts. In particular, the matrix version makes a bridge between torus-invariant primes in generic quantum matrices, torus orbits of symplectic leaves in matrix Poisson varieties and totally non-negative cells in totally non-negative matrix varieties [12]. This led to recent progress in the study of totally non-negative matrices such as new recognition tests [18]. The aim of this article is to develop a Poisson version of the deleting derivations algorithm to study the Poisson spectra of the members of a class 𝒫 of polynomial Poisson algebras. It has recently been shown that the Poisson Dixmier–Moeglin equivalence does not hold for all polynomial Poisson algebras [2]. Our algorithm allows us to prove this equivalence for a significant class of Poisson algebras, when the base field is of characteristic zero. Finally, using our deleting derivations algorithm, we compare topologically spectra of quantum matrices with Poisson spectra of matrix Poisson varieties. 相似文献
11.
Elisabeth Remm 《代数通讯》2017,45(7):2956-2966
The notion of breadth of a nilpotent Lie algebra was introduced and used to approach problems of classification up to isomorphism in [5]. In the present paper, we study this invariant in terms of characteristic sequence, another invariant, introduced by Goze and Ancochea in [1]. This permits to complete the determination of Lie algebras of breadth 2 studied in [5] and to begin the work for Lie algebras with breadth greater than 2. 相似文献
12.
Laurent Duvernet 《随机分析与应用》2013,31(5):763-792
Some asymptotic properties of a Brownian motion in multifractal time, also called multifractal random walk, are established. We show the almost sure and L 1 convergence of its structure function. This is an issue directly connected to the scale invariance and multifractal property of the sample paths. We place ourselves in a mixed asymptotic setting where both the observation length and the sampling frequency may go together to infinity at different rates. The results we obtain are similar to the ones that were given by Ossiander and Waymire [19] and Bacry et al. [1] in the simpler framework of Mandelbrot cascades. 相似文献
13.
Abstract Guided by the self-interaction mechanisms introduced in Benaim et al. [2] and in [5], we present a more general definition of self-interacting Markov chains (SIMCs) (than in Del Moral and Miclo [5] and Benaim et al. [2]). We then establish, for particular self-interaction mechanisms, a stability theorem with error estimation, two central limit theorems, two functional central limit theorems, and the large deviation principle. 相似文献
14.
Be’eri Greenfeld 《代数通讯》2017,45(11):4783-4784
We construct a ring which admits a 2-generated, faithful torsion module but lacks a cyclic faithful torsion module. This answers a question by Oman and Schwiebert [1, 2]. 相似文献
15.
Vesa Julin 《偏微分方程通讯》2013,38(5):934-946
In this paper, we give a new proof for the fact that the distributional weak solutions and the viscosity solutions of the p-Laplace equation ?div(|Du| p?2 Du) = 0 coincide. Our proof is more direct and transparent than the original proof of Juutinen et al. [8], which relied on the full uniqueness machinery of the theory of viscosity solutions. We establish a similar result also for the solutions of the non-homogeneous version of the p-Laplace equation. 相似文献
16.
Viktoriya Ozornova 《代数通讯》2017,45(4):1760-1784
A recent theorem of Dobrinskaya [20] states that the K(π,1)-conjecture holds for an Artin group G if and only if the canonical map BM→BG is a homotopy equivalence, where M denotes the Artin monoid associated to G. The aim of this paper is to give an alternative proof by means of discrete Morse theory and abstract homotopy theory. Moreover, we exhibit a new model for the classifying space of an Artin monoid, in the spirit of [13], and a small chain complex for computing its monoid homology, similar to the one of [44]. 相似文献
17.
A. R. Nasr-Isfahani 《代数通讯》2017,45(1):443-445
In this article, we show that there exists an SCN ring R such that the polynomial ring R[x] is not SCN. This answers a question posed by T. K. Kwak et al. in [2]. 相似文献
18.
We prove the global existence and scattering for the Hartree-type equation in H s (?3) the low regularity space s < 1. We follow the ideas in Colliander et al. (2004) to the Hartree-type nonlinearity, and also develop the theory of the classical multilinear operator modifying the L p estimate in Coifman and Meyer (1978). 相似文献
19.
Yong Kong 《Journal of Difference Equations and Applications》2013,19(15):1265-1271
The Goulden–Jackson cluster method is a powerful method to find generating functions of pattern occurrences in random sequences [1]. The method is clearly explained, extended and implemented by Noonan and Zeilberger [2]. In this paper, we elaborate on one of the several extensions in [2], namely the extension from symmetrical Bernoulli sequences where the occurrences of each symbol have equal probability, to asymmetrical Bernoulli sequences with different probabilities of symbol generations. An explicit formula is derived for the extension, which is implicitly embedded in the treatment of [2]. The extended result is then compared with the method of Régnier–Szpankowski [3], a method which was developed independently to tackle the same problem. By manipulating some matrix inversions, we show that the Régnier–Szpankowski method can be simplified to the extended Goulden–Jackson method. 相似文献
20.