Contingent Claim Pricing In A Dual Expected Utility Theory Framework

This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets. In this framework this dual price is obtained, for the rst time in the literature, without any comonotonicity hypothesis and for contingent claims written on n underlying assets following generic Itô processes. An application is also considered assuming geometric brownian motion for the underlying assets and the Wang transform as distortion function.Contingent Claims Pricing, Dual Utility Theory, Wang Transform.

Specifying Graph Languages with Type Graphs

We investigate three formalisms to specify graph languages, i.e. sets of graphs, based on type graphs. First, we are interested in (pure) type graphs, where the corresponding language consists of all graphs that can be mapped homomorphically to a given type graph. In this context, we also study languages specified by restriction graphs and their relation to type graphs. Second, we extend this basic approach to a type graph logic and, third, to type graphs with annotations. We present decidability results and closure properties for each of the formalisms.Comment: (v2): -Fixed some typos -Added more reference

BRST treatment of zero modes for the worldline formalism in curved space

One-loop quantities in QFT can be computed in an efficient way using the worldline formalism. The latter rests on the ability of calculating 1D path integrals on the circle. In this paper we give a systematic discussion for treating zero modes on the circle of 1D path integrals for both bosonic and supersymmetric nonlinear sigma models, following an approach originally introduced by Friedan. We use BRST techniques and place a special emphasis on the issue of reparametrization invariance. Various examples are extensively analyzed to verify and test the general set-up. In particular, we explicitly check that the chiral anomaly, which can be obtained by the semiclassical approximation of a supersymmetric 1D path integral, does not receive higher order worldline contributions, as implied by supersymmetry.Comment: 37 pages, no figures; misprints correcte

Invited Talk: On the Concurrent Semantics of Transformation Systems with Negative Application Conditions

A rich concurrent semantics has been developed along the years for graphtransformation systems, often generalizing in non-trivial ways concepts and resultsfist introduced for Petri nets. Besides the theoretical elegance, the concurrent semantichas potential applications in verification, e.g. in partial order reduction or in theuse of finite prefixes of the unfolding for model checking. In practice (graph) transformationsystems are often equipped with Negative Application Conditions, thatdescribe forbidden contexts for the application of a rule. The talk will summarizesome recent results showing that if the NACs are sufficiently simple (“incremental”)the concurrent semantics lifts smoothly to systems with NACs, but the general caserequires original definitions and intuitions. Joint work with Reiko Heckel, FrankHermann, Susann Gottmann and Nico Nachtigal

Concurrent Computing: from Petri Nets to Graph Grammars

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Adaptation is a Game

Control data variants of game models such as Interface Automata are suitable for the design and analysis of self-adaptive systems

Modelling and analyzing adaptive self-assembling strategies with Maude

Building adaptive systems with predictable emergent behavior is a challenging task and it is becoming a critical need. The research community has accepted the challenge by introducing approaches of various nature: from software architectures, to programming paradigms, to analysis techniques. We recently proposed a conceptual framework for adaptation centered around the role of control data. In this paper we show that it can be naturally realized in a reflective logical language like Maude by using the Reflective Russian Dolls model. Moreover, we exploit this model to specify, validate and analyse a prominent example of adaptive system: robot swarms equipped with self-assembly strategies. The analysis exploits the statistical model checker PVeStA

A Conceptual Framework for Adapation

We present a white-box conceptual framework for adaptation. We called it CODA, for COntrol Data Adaptation, since it is based on the notion of control data. CODA promotes a neat separation between application and adaptation logic through a clear identification of the set of data that is relevant for the latter. The framework provides an original perspective from which we survey a representative set of approaches to adaptation ranging from programming languages and paradigms, to computational models and architectural solutions

A Conceptual Framework for Adapation

This paper presents a white-box conceptual framework for adaptation that promotes a neat separation of the adaptation logic from the application logic through a clear identification of control data and their role in the adaptation logic. The framework provides an original perspective from which we survey archetypal approaches to (self-)adaptation ranging from programming languages and paradigms, to computational models, to engineering solutions

Modelling and analyzing adaptive self-assembling strategies with Maude

Building adaptive systems with predictable emergent behavior is a challenging task and it is becoming a critical need. The research community has accepted the challenge by introducing approaches of various nature: from software architectures, to programming paradigms, to analysis techniques. We recently proposed a conceptual framework for adaptation centered around the role of control data. In this paper we show that it can be naturally realized in a reflective logical language like Maude by using the Reflective Russian Dolls model. Moreover, we exploit this model to specify, validate and analyse a prominent example of adaptive system: robot swarms equipped with self-assembly strategies. The analysis exploits the statistical model checker PVeStA