Equivalent formulations for Monge-Kantorovich equation

In this paper, we study some equivalent formulations in divergence form for the optimization problem where and k>0 in Ω. This is the so called dual equation of Monge-Kantorovich problem.     

Operator splitting methods for pricing American options under stochastic volatility

We consider the numerical pricing of American options under Heston’s stochastic volatility model. The price is given by a linear complementarity problem with a two-dimensional parabolic partial differential operator. We propose operator splitting methods for performing time stepping after a finite difference space discretization. The idea is to decouple the treatment of the early exercise constraint and the solution of the system of linear equations into separate fractional time steps. With this approach an efficient numerical method can be chosen for solving the system of linear equations in the first fractional step before making a simple update to satisfy the early exercise constraint. Our analysis suggests that the Crank–Nicolson method and the operator splitting method based on it have the same asymptotic order of accuracy. The numerical experiments show that the operator splitting methods have comparable discretization errors. They also demonstrate the efficiency of the operator splitting methods when a multigrid method is used for solving the systems of linear equations.     

多目标广义对策的良定性

By extending the concept of asymptotic weakly Pareto-Nash equilibrium point to vector-valued case, Tikhonov well-posedness and Hadamard well-posedness results of the multiobjective generalized games are established in this paper.     

Noncommutative Chern Characters of Compact Lie Group C*-Algebras

For compact Lie groups, the Chern characters K^*(G) Q H^* _DR(G;Q) have been already constructed. In this paper, we construct and study the corresponding noncommutative Chern characters. They are homomorphisms ch_C*: K_*(C^*(G)) from quantum K-groups into entire current periodic cyclic homology groups of group C^*-algebras. We also obtain the corresponding algebraic version ch_alg: K_*(C^*(G)) HP_*(C^*(G)), which can be identified with the classical Chern character K_* (C(T)) HP_* (C(T)), where T is the maximal torus of G.     

A van Kampen theorem for equivariant fundamental groupoids

The equivariant fundamental groupoid of a G-space X is a category which generalizes the fundamental groupoid of a space to the equivariant setting. In this paper, we prove a van Kampen theorem for these categories: the equivariant fundamental groupoid of X can be obtained as a pushout of the categories associated to two open G-subsets covering X. This is proved by interpreting the equivariant fundamental groupoid as a Grothendieck semidirect product construction, and combining general properties of this construction with the ordinary (non-equivariant) van Kampen theorem. We then illustrate applications of this theorem by showing that the equivariant fundamental groupoid of a G-CW complex only depends on the 2-skeleton and also by using the theorem to compute an example.     

Hedging electricity swaptions using partial integro-differential equations

The basic contracts traded on energy exchanges are swaps involving the delivery of electricity for fixed-rate payments over a certain period of time. The main objective of this article is to solve the quadratic hedging problem for European options on these swaps, known as electricity swaptions. We consider a general class of Hilbert space valued exponential jump-diffusion models. Since the forward curve is an infinite-dimensional object, but only a finite set of traded contracts are available for hedging, the market is inherently incomplete. We derive the optimization problem for the quadratic hedging problem under the risk neutral measure and state a representation of its solution, which is the starting point for numerical algorithms.     

Computation of sharp bounds on the distribution of a function of dependent risks

We propose a new algorithm to compute numerically sharp lower and upper bounds on the distribution of a function of d dependent random variables having fixed marginal distributions. Compared to the existing literature, the bounds are widely applicable, more accurate and more easily obtained.     

Bayesian analysis of multivariate t linear mixed models using a combination of IBF and Gibbs samplers

The multivariate linear mixed model (MLMM) has become the most widely used tool for analyzing multi-outcome longitudinal data. Although it offers great flexibility for modeling the between- and within-subject correlation among multi-outcome repeated measures, the underlying normality assumption is vulnerable to potential atypical observations. We present a fully Bayesian approach to the multivariate t linear mixed model (MtLMM), which is a robust extension of MLMM with the random effects and errors jointly distributed as a multivariate t distribution. Owing to the introduction of too many hidden variables in the model, the conventional Markov chain Monte Carlo (MCMC) method may converge painfully slowly and thus fails to provide valid inference. To alleviate this problem, a computationally efficient inverse Bayes formulas (IBF) sampler coupled with the Gibbs scheme, called the IBF-Gibbs sampler, is developed and shown to be effective in drawing samples from the target distributions. The issues related to model determination and Bayesian predictive inference for future values are also investigated. The proposed methodologies are illustrated with a real example from an AIDS clinical trial and a careful simulation study.     

An integral representation approach for valuing American-style installment options with continuous payment plan

In this paper, we present an integral equation approach for the valuation of American-style installment derivatives when the payment plan is assumed to be a continuous function of the asset price and time. The contribution of this study is threefold. First, we show that in the Black-Scholes model the option pricing problem can be formulated as a free boundary problem under very general conditions on payoff structure and payment schedule. Second, by applying a Fourier transform-based solution technique, we derive a system of coupled recursive integral equations for the pair of free boundaries along with an analytic representation of the option price. Third, based on these results, we propose a unified framework which generalizes the existing methods and is capable of dealing with a wide range of monotonic payoff functions and continuous payment plans. Finally, by using the illustrative example of American vanilla installment call options, an explicit pricing formula is obtained for time-varying payment schedules.