On the probability of hitting the boundary for Brownian motions on the SABR plane

Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models–related to the SABR model in mathematical finance–which can be obtained by geometry-preserving transformations, and show how to translate the properties of the hyperbolic Brownian motion (density, probability mass, drift) to each particular model. Our main result is an explicit expression for the probability of any of these models hitting the boundary of their domains, the proof of which relies on the properties of the aforementioned transformations as well as time-change methods

Implied volatility of basket options at extreme strikes

In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error bound for the left wing of the implied volatility, under the assumption that the dynamics of asset prices are described by the multidimensional Black-Scholes model. Next, we find the leading term of asymptotics of the implied volatility in the case where the asset prices follow the multidimensional Black-Scholes model with time change by an independent increasing stochastic process. Finally, we deal with a general situation in which the dependence between the assets is described by a given copula function. In this setting, we obtain a model-free tail-wing formula that links the implied volatility to a special characteristic of the copula called the weak lower tail dependence function

Mean Dimension of Function Classes with Lebesgue Measurable Spectral Sets

AbstractThe notion of mean dimension was introduced in the 1970s by Tikhomirov. It determines the mean number of linear dimensions required to identify an element of a given function class. Tikhomirov then posed the following problem: find the mean dimension of the unit ball BpE of the space of Lp-functions on Rn with spectra inside a given Lebesgue measurable bounded set E. In the language of signal analysis: determine the amount of linear information carried by generalized band-limited signals. In this paper Tikhomirov′s conjecture on mean dimension is confirmed in certain important cases and yet shown to fail in certain other cases

Rearrangements of Functions on a Locally Compact Abelian Group and Integrability of the Fourier Transform

AbstractWe find in this paper the equimeasurable hulls and kernels of some function classes on a locally compact abelian group. These classes consist of all functions for which the Fourier transform belongs to a given Lorentz space on the dual group. Different special cases of the problems considered in this paper have been originally studied by Hardy, Littlewood, Hewitt, Ross, Cereteli, and the author

Well-Posedness for Semi-Relativistic Hartree Equations of Critical Type

We prove local and global well-posedness for semi-relativistic, nonlinear Schr\"odinger equations $i \partial_t u = \sqrt{-\Delta + m^2} u + F(u)$ with initial data in $H^s(\mathbb{R}^3)$, $s \geq 1/2$. Here $F(u)$ is a critical Hartree nonlinearity that corresponds to Coulomb or Yukawa type self-interactions. For focusing $F(u)$, which arise in the quantum theory of boson stars, we derive a sufficient condition for global-in-time existence in terms of a solitary wave ground state. Our proof of well-posedness does not rely on Strichartz type estimates, and it enables us to add external potentials of a general class.Comment: 18 pages; replaced with revised version; remark and reference on blow up adde

Dynamical Collapse of Boson Stars

We study the time evolution in system of $N$ bosons with a relativistic dispersion law interacting through an attractive Coulomb potential with coupling constant $G$. We consider the mean field scaling where $N$ tends to infinity, $G$ tends to zero and $\lambda = G N$ remains fixed. We investigate the relation between the many body quantum dynamics governed by the Schr\"odinger equation and the effective evolution described by a (semi-relativistic) Hartree equation. In particular, we are interested in the super-critical regime of large $\lambda$ (the sub-critical case has been studied in \cite{ES,KP}), where the nonlinear Hartree equation is known to have solutions which blow up in finite time. To inspect this regime, we need to regularize the Coulomb interaction in the many body Hamiltonian with an $N$ dependent cutoff that vanishes in the limit $N\to \infty$. We show, first, that if the solution of the nonlinear equation does not blow up in the time interval $[-T,T]$, then the many body Schr\"odinger dynamics (on the level of the reduced density matrices) can be approximated by the nonlinear Hartree dynamics, just as in the sub-critical regime. Moreover, we prove that if the solution of the nonlinear Hartree equation blows up at time $T$ (in the sense that the $H^{1/2}$ norm of the solution diverges as time approaches $T$), then also the solution of the linear Schr\"odinger equation collapses (in the sense that the kinetic energy per particle diverges) if $t \to T$ and, simultaneously, $N \to \infty$ sufficiently fast. This gives the first dynamical description of the phenomenon of gravitational collapse as observed directly on the many body level.Comment: 40 page

Rate of Convergence Towards Semi-Relativistic Hartree Dynamics

We consider the semi-relativistic system of $N$ gravitating Bosons with gravitation constant $G$. The time evolution of the system is described by the relativistic dispersion law, and we assume the mean-field scaling of the interaction where $N \to \infty$ and $G \to 0$ while $GN = \lambda$ fixed. In the super-critical regime of large $\lambda$, we introduce the regularized interaction where the cutoff vanishes as $N \to \infty$. We show that the difference between the many-body semi-relativistic Schr\"{o}dinger dynamics and the corresponding semi-relativistic Hartree dynamics is at most of order $N^{-1}$ for all $\lambda$, i.e., the result covers the sub-critical regime and the super-critical regime. The $N$ dependence of the bound is optimal.Comment: 29 page