Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach

We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on the eigenfunction expansion of the pricing operator. Given the set of call and put dates, the callable and putable bond pricing function is the value function of a stochastic game with stopping times. Under some technical conditions, it is shown to have an eigenfunction expansion in eigenfunctions of the pricing operator with the expansion coefficients determined through a backward recursion. For popular short rate diffusion models, such as CIR, Vasicek, 3/2, the method is orders of magnitude faster than the alternative approaches in the literature. In contrast to the alternative approaches in the literature that have so far been limited to diffusions, the method is equally applicable to short rate jump-diffusion and pure jump models constructed from diffusion models by Bochner's subordination with a L\'{e}vy subordinator

Instruction sequences for the production of processes

Single-pass instruction sequences under execution are considered to produce behaviours to be controlled by some execution environment. Threads as considered in thread algebra model such behaviours: upon each action performed by a thread, a reply from its execution environment determines how the thread proceeds. Threads in turn can be looked upon as producing processes as considered in process algebra. We show that, by apposite choice of basic instructions, all processes that can only be in a finite number of states can be produced by single-pass instruction sequences.Comment: 23 pages; acknowledgement corrected, reference update

On tiered small jump operators

Predicative analysis of recursion schema is a method to characterize complexity classes like the class FPTIME of polynomial time computable functions. This analysis comes from the works of Bellantoni and Cook, and Leivant by data tiering. Here, we refine predicative analysis by using a ramified Ackermann's construction of a non-primitive recursive function. We obtain a hierarchy of functions which characterizes exactly functions, which are computed in O(n^k) time over register machine model of computation. For this, we introduce a strict ramification principle. Then, we show how to diagonalize in order to obtain an exponential function and to jump outside deterministic polynomial time. Lastly, we suggest a dependent typed lambda-calculus to represent this construction

On the expressiveness of single-pass instruction sequences

We perceive programs as single-pass instruction sequences. A single-pass instruction sequence under execution is considered to produce a behaviour to be controlled by some execution environment. Threads as considered in basic thread algebra model such behaviours. We show that all regular threads, i.e. threads that can only be in a finite number of states, can be produced by single-pass instruction sequences without jump instructions if use can be made of Boolean registers. We also show that, in the case where goto instructions are used instead of jump instructions, a bound to the number of labels restricts the expressiveness.Comment: 14 pages; error corrected, acknowledgement added; another error corrected, another acknowledgement adde

Connected Operators for the Totally Asymmetric Exclusion Process

We fully elucidate the structure of the hierarchy of the connected operators that commute with the Markov matrix of the Totally Asymmetric Exclusion Process (TASEP). We prove for the connected operators a combinatorial formula that was conjectured in a previous work. Our derivation is purely algebraic and relies on the algebra generated by the local jump operators involved in the TASEP. Keywords: Non-Equilibrium Statistical Mechanics, ASEP, Exact Results, Algebraic Bethe Ansatz.Comment: 10 page

R-matrix approach to integrable systems on time scales

A general unifying framework for integrable soliton-like systems on time scales is introduced. The $R$-matrix formalism is applied to the algebra of $\delta$-differential operators in terms of which one can construct infinite hierarchy of commuting vector fields. The theory is illustrated by two infinite-field integrable hierarchies on time scales which are difference counterparts of KP and mKP. The difference counterparts of AKNS and Kaup-Broer soliton systems are constructed as related finite-field restrictions.Comment: 21 page

The Veblen functions for computability theorists

We study the computability-theoretic complexity and proof-theoretic strength of the following statements: (1) "If X is a well-ordering, then so is epsilon_X", and (2) "If X is a well-ordering, then so is phi(alpha,X)", where alpha is a fixed computable ordinal and phi the two-placed Veblen function. For the former statement, we show that omega iterations of the Turing jump are necessary in the proof and that the statement is equivalent to ACA_0^+ over RCA_0. To prove the latter statement we need to use omega^alpha iterations of the Turing jump, and we show that the statement is equivalent to Pi^0_{omega^alpha}-CA_0. Our proofs are purely computability-theoretic. We also give a new proof of a result of Friedman: the statement "if X is a well-ordering, then so is phi(X,0)" is equivalent to ATR_0 over RCA_0.Comment: 26 pages, 3 figures, to appear in Journal of Symbolic Logi

A thread calculus with molecular dynamics

We present a theory of threads, interleaving of threads, and interaction between threads and services with features of molecular dynamics, a model of computation that bears on computations in which dynamic data structures are involved. Threads can interact with services of which the states consist of structured data objects and computations take place by means of actions which may change the structure of the data objects. The features introduced include restriction of the scope of names used in threads to refer to data objects. Because that feature makes it troublesome to provide a model based on structural operational semantics and bisimulation, we construct a projective limit model for the theory.Comment: 47 pages; examples and results added, phrasing improved, references replace

A bounded jump for the bounded Turing degrees

We define the bounded jump of A by A^b = {x | Exists i <= x [phi_i (x) converges and Phi_x^[A|phi_i(x)](x) converges} and let A^[nb] denote the n-th bounded jump. We demonstrate several properties of the bounded jump, including that it is strictly increasing and order preserving on the bounded Turing (bT) degrees (also known as the weak truth-table degrees). We show that the bounded jump is related to the Ershov hierarchy. Indeed, for n > 1 we have X <=_[bT] 0^[nb] iff X is omega^n-c.e. iff X <=_1 0^[nb], extending the classical result that X <=_[bT] 0' iff X is omega-c.e. Finally, we prove that the analogue of Shoenfield inversion holds for the bounded jump on the bounded Turing degrees. That is, for every X such that 0^b <=_[bT] X <=_[bT] 0^[2b], there is a Y <=_[bT] 0^b such that Y^b =_[bT] X.Comment: 22 pages. Minor changes for publicatio