2,812 research outputs found
Outline bibliography, and KWIC index on mechanical theorem proving and its applications
Bibliography and KWIC index on mechanical theorem proving and its application
A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes
Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price. But, for Levy processes the S-space transition densities are often very complicated, involving many special functions and infinite summations. Instead, we show that it's much easier to compute the option value as an integral in Fourier space - and interpret this as a Parseval identity. The formula is especially simple because (i) it's a single integration for any payoff and (ii) the integrand is typically a compact expressions with just elementary functions. Our approach clarifies and generalizes previous work using characteristic functions and Fourier inversions. For example, we show how the residue calculus leads to several variation formulas, such as a well-known, but less numerically efficient, 'Black-Scholes style' formula for call options. The result applies to any European-style, simple or exotic option (without path-dependence) under any Lévy process with a known characteristic functionoption pricing, jump-diffusion, Levy processes, Fourier, characteristic function, transforms, residue, call options, discontinuous, jump processes, analytic characteristic, Levy-Khintchine, infinitely divisible, independent increments
Space-time paraproducts for paracontrolled calculus, 3d-PAM and multiplicative Burgers equations
We sharpen in this work the tools of paracontrolled calculus in order to
provide a complete analysis of the parabolic Anderson model equation and
Burgers system with multiplicative noise, in a -dimensional Riemannian
setting, in either bounded or unbounded domains. With that aim in mind, we
introduce a pair of intertwined space-time paraproducts on parabolic H\"older
spaces, with good continuity, that happens to be pivotal and provides one of
the building blocks of higher order paracontrolled calculus.Comment: v3, 56 pages. Different points about renormalisation matters have
been clarified. Typos correcte
Automated Synthesis of Tableau Calculi
This paper presents a method for synthesising sound and complete tableau
calculi. Given a specification of the formal semantics of a logic, the method
generates a set of tableau inference rules that can then be used to reason
within the logic. The method guarantees that the generated rules form a
calculus which is sound and constructively complete. If the logic can be shown
to admit finite filtration with respect to a well-defined first-order semantics
then adding a general blocking mechanism provides a terminating tableau
calculus. The process of generating tableau rules can be completely automated
and produces, together with the blocking mechanism, an automated procedure for
generating tableau decision procedures. For illustration we show the
workability of the approach for a description logic with transitive roles and
propositional intuitionistic logic.Comment: 32 page
Bounded Expectations: Resource Analysis for Probabilistic Programs
This paper presents a new static analysis for deriving upper bounds on the
expected resource consumption of probabilistic programs. The analysis is fully
automatic and derives symbolic bounds that are multivariate polynomials of the
inputs. The new technique combines manual state-of-the-art reasoning techniques
for probabilistic programs with an effective method for automatic
resource-bound analysis of deterministic programs. It can be seen as both, an
extension of automatic amortized resource analysis (AARA) to probabilistic
programs and an automation of manual reasoning for probabilistic programs that
is based on weakest preconditions. As a result, bound inference can be reduced
to off-the-shelf LP solving in many cases and automatically-derived bounds can
be interactively extended with standard program logics if the automation fails.
Building on existing work, the soundness of the analysis is proved with respect
to an operational semantics that is based on Markov decision processes. The
effectiveness of the technique is demonstrated with a prototype implementation
that is used to automatically analyze 39 challenging probabilistic programs and
randomized algorithms. Experimental results indicate that the derived constant
factors in the bounds are very precise and even optimal for many programs
Discrete series characters for affine Hecke algebras and their formal degrees
We introduce the generic central character of an irreducible discrete series
representation of an affine Hecke algebra. Using this invariant we give a new
classification of the irreducible discrete series characters for all abstract
affine Hecke algebras (except for the types E) with arbitrary positive
parameters and we prove an explicit product formula for their formal degrees
(in all cases).Comment: 68 pages, 5 figures. In the second version an appendix was adde
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