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11.
Jose Manuel Corcuera Joao Guerra David Nualart Wim Schoutens 《Applied Mathematics and Optimization》2006,53(3):279-309
In this paper we consider the optimal investment problem in a market where the stock price process is modeled by a geometric
Levy process (taking into account jumps).
Except for the geometric Brownian model and the geometric Poissonian model, the
resulting models are incomplete and there are many equivalent martingale measures.
However, the model can be completed by the so-called power-jump assets. By doing this we allow investment in these new assets
and we can try to maximize the expected utility of these portfolios. As particular cases we obtain the optimal portfolios
based in stocks
and bonds, showing that the new assets are superfluous for certain martingale measures
that depend on the utility function we use. 相似文献
12.
We consider the generalization of the classical P||Cmax problem (assign n jobs to m identical parallel processors by minimizing the makespan) arising when the number of jobs that can be assigned to each processor cannot exceed a given integer k. The problem is strongly NP-hard for any fixed k > 2. We briefly survey lower and upper bounds from the literature. We introduce greedy heuristics, local search and a scatter search approach. The effectiveness of these approaches is evaluated through extensive computational comparison with a depth-first branch-and-bound algorithm that includes new lower bounds and dominance criteria. 相似文献
13.
Models, describing relativistic particles, where Lagrangian densities depend linearly on both the curvature and the torsion of the trajectories, are revisited in D=3 space forms. The moduli spaces of trajectories are completely and explicitly determined using the Lancret program. The moduli subspaces of closed solitons in the three sphere are also determined. 相似文献
14.
Manuel Ritoré Cé sar Rosales 《Transactions of the American Mathematical Society》2004,356(11):4601-4622
We study the problem of existence of regions separating a given amount of volume with the least possible perimeter inside a Euclidean cone. Our main result shows that nonexistence for a given volume implies that the isoperimetric profile of the cone coincides with the one of the half-space. This allows us to give some criteria ensuring existence of isoperimetric regions: for instance, local convexity of the cone at some boundary point.
We also characterize which are the stable regions in a convex cone, i.e., second order minima of perimeter under a volume constraint. From this it follows that the isoperimetric regions in a convex cone are the euclidean balls centered at the vertex intersected with the cone.
15.
A noncooperative game governed by a distributed-parameter predator-prey system is considered, assuming that two players control
initial conditions for predator and prey, respectively. Existence of a Nash equilibrium is shown under the condition that
the desired population profiles and the environmental carrying capacity for the prey are sufficiently small. A conceptual
approximation algorithm is proposed and analyzed. Finally, numerical simulations are performed, too. 相似文献
16.
José F. Cariñena Manuel F. Rañada 《Journal of Mathematical Analysis and Applications》2007,332(2):975-988
Given a smooth vector field Γ and assuming the knowledge of an infinitesimal symmetry X, Hojman [S. Hojman, The construction of a Poisson structure out of a symmetry and a conservation law of a dynamical system, J. Phys. A Math. Gen. 29 (1996) 667-674] proposed a method for finding both a Poisson tensor and a function H such that Γ is the corresponding Hamiltonian system. In this paper, we approach the problem from geometrical point of view. The geometrization leads to the clarification of several concepts and methods used in Hojman's paper. In particular, the relationship between the nonstandard Hamiltonian structure proposed by Hojman and the degenerate quasi-Hamiltonian structures introduced by Crampin and Sarlet [M. Crampin, W. Sarlet, Bi-quasi-Hamiltonian systems, J. Math. Phys. 43 (2002) 2505-2517] is unveiled in this paper. We also provide some applications of our construction. 相似文献
17.
Optimal explicit Runge–Kutta methods consider more stages in order to include a particular spectrum in their stability domain
and thus reduce time-step restrictions. This idea, so far used mostly for real-line spectra, is generalized to more general
spectra in the form of a thin region. In thin regions the eigenvalues may extend away from the real axis into the imaginary
plane. We give a direct characterization of optimal stability polynomials containing a maximal thin region and calculate these
polynomials for various cases. Semi-discretizations of hyperbolic–parabolic equations are a relevant application which exhibit
a thin region spectrum. As a model, linear, scalar advection–diffusion is investigated. The second-order-stabilized explicit
Runge–Kutta methods derived from the stability polynomials are applied to advection–diffusion and compressible, viscous fluid
dynamics in numerical experiments. Due to the stabilization the time step can be controlled solely from the hyperbolic CFL
condition even in the presence of viscous fluxes. 相似文献
18.
In this paper a cubic lattice L(S) is endowed with a symmetric implication structure and it is proved that L(S) \ {0} is a power of the three-element simple symmetric implication algebra. The Metropolis–Rota’s symmetries are obtained as partial terms in the language of symmetric implication algebras. 相似文献
19.
20.
Manuel Barros 《Annals of Global Analysis and Geometry》1992,10(3):219-226
In this paper we deal with the following particular case of a weaker conjecture by B. Y. Chen: Are there 2-type Willmore surfaces in E 3? In particular we prove that the above question has a negative answer when the surface is the image under stereographic projection of a minimal surface in S 3. 相似文献