Mathematical background for a method on quotient signal decomposition

The blind source separation problem is discussed in this article. Focusing on the assumption of independency of the sources in the time-frequency domain, we present a mathematical formulation for the estimation problem of the number of sources. The proposed method uses the quotient of complex valued time-frequency information of only two observed signals to detect the number of sources. No fewer number of observed signals than the detected number of sources is needed to separate sources. The assumption on sources is quite general independence in the time-frequency plane, which is different from that of independent component analysis. We propose algorithms with feedback and give numerical simulations to show the method works well even for noisy case.     

Ergodicity of laminations with singularities in Kähler surfaces

Let $\mathcal F $ be a holomorphic foliation on $\mathcal M $ , a homogeneous compact Kähler surface, with only hyperbolic singularities. Let $\mathcal L $ be a closed set saturated by leaves of the foliation, containing singularities and with every leaf dense on it. If there are no positive closed currents directed by $\mathcal L $ , then there is a unique positive harmonic current directed by $\mathcal L $ of mass one. This result was previously obtained for $\mathbb CP ^2$ by Fornæss and Sibony and we obtain the result for the rest of homogeneous compact Kähler surfaces.     

Modular retractions of numerical semigroups

Let S be a numerical semigroup, let m be a nonzero element of S, and let a be a nonnegative integer. We denote ${\rm R}(S,a,m) = \{ s-as \bmod m \mid s \in S \}$ (where asmodm is the remainder of the division of as by m). In this paper we characterize the pairs (a,m) such that ${\rm R}(S,a,m)$ is a numerical semigroup. In this way, if we have a pair (a,m) with such characteristics, then we can reduce the problem of computing the genus of S=〈n ₁,…,n _p 〉 to computing the genus of a “smaller” numerical semigroup 〈n ₁?an ₁modm,…,n _p ?an _p modm〉. This reduction is also useful for estimating other important invariants of S such as the Frobenius number and the type.     

On the Mosaic Method for Many-Dimensional Modal Logics: A Case Study Combining Tense and Modal Operators

We present an extension of the mosaic method aimed at capturing many-dimensional modal logics. As a proof-of-concept, we define the method for logics arising from the combination of linear tense operators with an “orthogonal” S5-like modality. We show that the existence of a model for a given set of formulas is equivalent to the existence of a suitable set of partial models, called mosaics, and apply the technique not only in obtaining a proof of decidability and a proof of completeness for the corresponding Hilbert-style axiomatization, but also in the development of a mosaic-based tableau system. We further consider extensions for dealing with the case when interactions between the two dimensions exist, thus covering a wide class of bundled Ockhamist branching-time logics, and present for them some partial results, such as a non-analytic version of the tableau system.     

Einstein-Weyl structures on lightlike hypersurfaces

We study Weyl structures on lightlike hypersurfaces endowed with a conformal structure of certain type and specific screen distribution: the Weyl screen structures. We investigate various differential geometric properties of Einstein-Weyl screen structures on lightlike hypersurfaces and show that, for ambient Lorentzian space ? ₁ ⁿ⁺² and a totally umbilical screen foliation, there is a strong interplay with the induced (Riemannian) Weyl-structure on the leaves.     

Closed Formula for Options with Discrete Dividends and Its Derivatives

Abstract

We present a closed pricing formula for European options under the Black–Scholes model as well as formulas for its partial derivatives. The formulas are developed making use of Taylor series expansions and a proposition that relates expectations of partial derivatives with partial derivatives themselves. The closed formulas are attained assuming the dividends are paid in any state of the world. The results are readily extensible to time-dependent volatility models. For completeness, we reproduce the numerical results in Vellekoop and Nieuwenhuis, covering calls and puts, together with results on their partial derivatives. The closed formulas presented here allow a fast calculation of prices or implied volatilities when compared with other valuation procedures that rely on numerical methods.     

Implied Filtering Densities on the Hidden State of Stochastic Volatility

Abstract

We formulate and analyse an inverse problem using derivative prices to obtain an implied filtering density on volatility’s hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using Bayesian filtering. However, derivative data can be considered as conditional expectations that are already observed in the market, and which can be used as input to an inverse problem whose solution is an implied conditional density on volatility. Our analysis relies on a specification of the martingale change of measure, which we refer to as separability. This specification has a multiplicative component that behaves like a risk premium on volatility uncertainty in the market. When applied to SPX options data, the estimated model and implied densities produce variance-swap rates that are consistent with the VIX volatility index. The implied densities are relatively stable over time and pick up some of the monthly effects that occur due to the options’ expiration, indicating that the volatility-uncertainty premium could experience cyclic effects due to the maturity date of the options.     

A note on extreme points in dual spaces

Given a normed space X it can be easily proven that every extreme point in B _X *, the unit ball of X*, is the restriction of an extreme point in B _X ***. Our purpose is to study when the restrictions of extreme points in B _X *** are extreme points in B _X *. Namely, we characterize L ₁-preduals satisfying the aforementioned property.     

Weak Allee effect in a predator–prey model involving memory with a hump

In this paper we consider a predator–prey system which has a factor that allows for a reduction in fitness due to declining population sizes, often termed an Allee effect. We study the influence of the weak Allee effect which is included in the prey equation and we determine conditions for the occurrence of Hopf bifurcation. The prey population is limited by the carrying capacity of the environment, and the predator growth rate depends on past quantities of the prey which is represented by a weight function that specifies a moment in the past when the quantity of food is the most important from the point of view of the present growth of the predator. The stability properties of the system and the biological issues of the memory and Allee effect on the coexistence of the two species are studied. Finally we present some simulations to verify the veracity of the analytical conclusions.