Bouquet and join theorems for disentanglements

The disentanglement of certain augmentations is shown to be the topological join of a disentanglement and a Milnor fibre. The kth disentanglement of a finite map is defined and for corank 1 maps from ℂ ⁿ to ℂ ^{n +1} it is shown that they are homotopically equivalent to a wedge of spheres. Applications to the Mond conjecture are given. Oblatum 24-VII-2000 & 5-VII-2001?Published online: 12 October 2001     

To the spectral theory of Krein systems

We consider the Krein systems. For the set of Stummel class coefficients, we establish the criterion in terms of these coefficients for the system to satisfy the Szegö-type estimate on the spectral measure.     

Joint extension of two theorems of Kotzig on 3-polytopes

The weight of an edge in a graph is the sum of the degrees of its end-vertices. It is proved that in each 3-polytope there exists either an edge of weight at most 13 for which both incident faces are triangles, or an edge of weight at most 10 which is incident with a triangle, or else an edge of weight at most 8. All the bounds 13, 10, and 8 are sharp and attained independently of each other.     

Properties of nonparametric estimators of autocovariance for stationary random fields

Summary We introduce nonparametric estimators of the autocovariance of a stationary random field. One of our estimators has the property that it is itself an autocovatiance. This feature enables the estimator to be used as the basis of simulation studies such as those which are necessary when constructing bootstrap confidence intervals for unknown parameters. Unlike estimators proposed recently by other authors, our own do not require assumptions such as isotropy or monotonicity. Indeed, like nonparametric function estimators considered more widely in the context of curve estimation, our approach demands only smoothness and tail conditions on the underlying curve or surface (here, the autocovariance), and moment and mixing conditions on the random field. We show that by imposing the condition that the estimator be a covariance function we actually reduce the numerical value of integrated squared error.     

Parabolic equations of Von Karman type on Kähler manifolds

We study a parabolic version of a system of Von Karman type on a compact Kähler manifold of arbitrary dimension. We provide local in time regular solutions, which can be extended to global bounded ones if the data of the problem are small.     

Lévy processes and their subordination in matrix Lie groups

Lévy processes in matrix Lie groups are studied. Subordination (random time change) is used to show that quasi-invariance of the Brownian motion in a Lie group induces absolute continuity of the laws of the corresponding pure jump processes. These results are applied to several examples which are discussed in detail.     

Global existence of analytic solutions to the Cauchy problem in a complex domain

We present results on the global existence of analytic solutions to the Cauchy problem in starshaped or convex complex domains. No growth conditions are imposed. Our results rely on a notion of solution-tube that we introduce. à la mémoire de Jean Leray     

Symmetric Boundary Value Methods for Second Order Initial and Boundary Value Problems

We introduce symmetric Boundary Value Methods for the solution of second order initial and boundary value problems (in particular Hamiltonian problems). We study the conditioning of the methods and link it to the boundary loci of the roots of the associated characteristic polynomial. Some numerical tests are provided to assess their reliability. Dedicated to the memory of Professor Aldo Cossu     

Risk management of a bond portfolio using options

In this paper, we elaborate a formula for determining the optimal strike price for a bond put option, used to hedge a position in a bond. This strike price is optimal in the sense that it minimizes, for a given budget, either Value-at-Risk or Tail Value-at-Risk. Formulas are derived for both zero-coupon and coupon bonds, which can also be understood as a portfolio of bonds. These formulas are valid for any short rate model that implies an affine term structure model and in particular that implies a lognormal distribution of future zero-coupon bond prices. As an application, we focus on the Hull-White one-factor model, which is calibrated to a set of cap prices. We illustrate our procedure by hedging a Belgian government bond, and take into account the possibility of divergence between theoretical option prices and real option prices. This paper can be seen as an extension of the work of Ahn and co-workers [Ahn, D., Boudoukh, J., Richardson, M., Whitelaw, R., 1999. Optimal risk management using options. J. Financ. 54, 359-375], who consider the same problem for an investment in a share.     

Resolvability properties via independent families

The authors give a consistent affirmative response to a question of Juhász, Soukup and Szentmiklóssy: If GCH fails, there are (many) extraresolvable, not maximally resolvable Tychonoff spaces. They show also in ZFC that for ω<λ?κ, no maximal λ-independent family of λ-partitions of κ is ω-resolvable. In topological language, that theorem translates to this: A dense, ω-resolvable subset of a space of the form (DI(λ)) is λ-resolvable.