Optimal Investment in a Levy Market

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.     

Heuristic Algorithms and Scatter Search for the Cardinality Constrained P||Cmax Problem

We consider the generalization of the classical P||C_max 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.     

Letter: Models of Relativistic Particle with Curvature and Torsion Revisited

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.     

Existence and characterization of regions minimizing perimeter under a volume constraint inside Euclidean cones

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.

     

Nash Equilibria in Noncooperative Predator-Prey Games

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.     

Quasi-Hamiltonian structure and Hojman construction

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.     

Essentially optimal explicit Runge–Kutta methods with application to hyperbolic–parabolic equations

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.     

Representation of Cubic Lattices by Symmetric Implication Algebras

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.     

There exist no 2-type surfaces in E 3 which are images under stereographic projection of minimal surfaces in S 3

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.