Boundedness and Dissipativity of Truncated Rotations on Uniform Planar Lattices

The finiteness of computer arithmetic can lead to some dramatic differences between the behaviour of a continuous dynamical system and a computer simulation. A thorough rigorous theoretical analysis of what may or what does happen is usually extremely difficult and to date little has been done even in relatively simple contexts. The comparative behaviour of a rotation mapping in the plane and on a uniform lattice in the plane is one such example. Simulations show that the rounding operator applied to a planar rotation mapping more or less preserves the qualitative behaviour of the original mapping, whereas the application of the truncation operator to a planar rotation can lead to quite different dynamical features. In this paper a theoretical justification of the properties of the planar rotation mappings under truncation to a, uniform integer lattice is provided, in particular properties of boundedness and dissipativity are investigated.     

Numerical treatment of an asset price model with non-stochastic uncertainty

In contrast to stochastic differential equation models used for the calculation of the term structure of interest rates, we develop an approach based on linear dynamical systems under non-stochastic uncertainty with perturbations. The uncertainty is described in terms of known feasible sets of varying parameters. Observations are used in order to estimate these parameters by minimizing the maximum of the absolute value of measurement errors, which leads to a linear or nonlinear semi-infinite programming problem. A regularized logarithmic barrier method for solving (ill-posed) convex semi-infinite programming problems is suggested. In this method a multi-step proximal regularization is coupled with an adaptive discretization strategy in the framework of an interior point approach. A special deleting rule permits one to use only a part of the constraints of the discretized problems. Convergence of the method and its stability with respect to data perturbations in the cone of convexC ¹-functions are studied. On the basis of the solutions of the semi-infinite programming problems a technical trading system for future contracts of the German DAX is suggested and developed. Supported by the Stiftung Rheinland/Pfalz für Innovation, No. 8312-386261/307.