A geometrical angle on Feynman integrals

A direct link between a one-loop N-point Feynman diagram and a geometrical representation based on the N-dimensional simplex is established by relating the Feynman parametric representations to the integrals over contents of (N-1)-dimensional simplices in non-Euclidean geometry of constant curvature. In particular, the four-point function in four dimensions is proportional to the volume of a three-dimensional spherical (or hyperbolic) tetrahedron which can be calculated by splitting into birectangular ones. It is also shown that the known formula of reduction of the N-point function in (N-1) dimensions corresponds to splitting the related N-dimensional simplex into N rectangular ones.Comment: 47 pages, including 42 pages of the text (in plain Latex) and 5 pages with the figures (in a separate Latex file, requires axodraw.sty) a note and three references added, minor problem with notation fixe

On the minimization of Dirichlet eigenvalues of the Laplace operator

We study the variational problem \inf \{\lambda_k(\Omega): \Omega\ \textup{open in}\ \R^m,\ |\Omega| < \infty, \ \h(\partial \Omega) \le 1 \}, where $\lambda_k(\Omega)$ is the $k$'th eigenvalue of the Dirichlet Laplacian acting in $L^2(\Omega)$, \h(\partial \Omega) is the $(m-1)$- dimensional Hausdorff measure of the boundary of $\Omega$, and $|\Omega|$ is the Lebesgue measure of $\Omega$. If $m=2$, and $k=2,3, \cdots$, then there exists a convex minimiser $\Omega_{2,k}$. If $m \ge 2$, and if $\Omega_{m,k}$ is a minimiser, then $\Omega_{m,k}^*:= \textup{int}(\overline{\Omega_{m,k}})$ is also a minimiser, and $\R^m\setminus \Omega_{m,k}^*$ is connected. Upper bounds are obtained for the number of components of $\Omega_{m,k}$. It is shown that if $m\ge 3$, and $k\le m+1$ then $\Omega_{m,k}$ has at most $4$ components. Furthermore $\Omega_{m,k}$ is connected in the following cases : (i) $m\ge 2, k=2,$ (ii) $m=3,4,5,$ and $k=3,4,$ (iii) $m=4,5,$ and $k=5,$ (iv) $m=5$ and $k=6$. Finally, upper bounds on the number of components are obtained for minimisers for other constraints such as the Lebesgue measure and the torsional rigidity.Comment: 16 page

Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact

This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value function. In particular, we show that the function is continuous and has the semigroup property, which is strongly related to the Hamilton-Jacobi-Bellman quasi-variational inequality. Moreover, we show that noise in market impact causes risk-neutral assessment to underestimate the impact cost. We also study typical examples under a log-linear/quadratic market impact function with Gamma-distributed noise.Comment: 24 pages, 14 figures. Continuation of the paper arXiv:1301.648

An Optimal Execution Problem with Market Impact

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales, otherwise the value function is continuous. Moreover, we show the semi-group property (Bellman principle) and characterise the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We introduce some examples where the forms of the optimal strategies change completely, depending on the amount of the trader's security holdings and where optimal strategies in the Black-Scholes type market with nonlinear market impact are not block liquidation but gradual liquidation, even when the trader is risk-neutral.Comment: 36 pages, 8 figures, a modified version of the article "An optimal execution problem with market impact" in Finance and Stochastics (2014

Tightness for a stochastic Allen--Cahn equation

We study an Allen-Cahn equation perturbed by a multiplicative stochastic noise which is white in time and correlated in space. Formally this equation approximates a stochastically forced mean curvature flow. We derive uniform energy bounds and prove tightness of of solutions in the sharp interface limit, and show convergence to phase-indicator functions.Comment: 27 pages, final Version to appear in "Stochastic Partial Differential Equations: Analysis and Computations". In Version 4, Proposition 6.3 is new. It replaces and simplifies the old propositions 6.4-6.

Calibration of optimal execution of financial transactions in the presence of transient market impact

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate with real data the optimal execution problem both for risk neutral and for risk averse investors and we derive an efficient frontier of optimal execution. When we include spread costs the problem must be solved numerically and we show that the introduction of such costs regularizes the solution.Comment: 31 pages, 8 figure

Towards a quantitative phase-field model of two-phase solidification

We construct a diffuse-interface model of two-phase solidification that quantitatively reproduces the classic free boundary problem on solid-liquid interfaces in the thin-interface limit. Convergence tests and comparisons with boundary integral simulations of eutectic growth show good accuracy for steady-state lamellae, but the results for limit cycles depend on the interface thickness through the trijunction behavior. This raises the fundamental issue of diffuse multiple-junction dynamics.Comment: 4 pages, 2 figures. Better final discussion. 1 reference adde

Multiscale Random-Walk Algorithm for Simulating Interfacial Pattern Formation

We present a novel computational method to simulate accurately a wide range of interfacial patterns whose growth is limited by a large scale diffusion field. To illustrate the computational power of this method, we demonstrate that it can be used to simulate three-dimensional dendritic growth in a previously unreachable range of low undercoolings that is of direct experimental relevance.Comment: 4 pages RevTex, 6 eps figures; substantial changes in presentation, but results and conclusions remain the sam

Scaling anomalies in the coarsening dynamics of fractal viscous fingering patterns

We analyze a recent experiment of Sharon \textit{et al.} (2003) on the coarsening, due to surface tension, of fractal viscous fingering patterns (FVFPs) grown in a radial Hele-Shaw cell. We argue that an unforced Hele-Shaw model, a natural model for that experiment, belongs to the same universality class as model B of phase ordering. Two series of numerical simulations with model B are performed, with the FVFPs grown in the experiment, and with Diffusion Limited Aggregates, as the initial conditions. We observed Lifshitz-Slyozov scaling $t^{1/3}$ at intermediate distances and very slow convergence to this scaling at small distances. Dynamic scale invariance breaks down at large distances.Comment: 4 pages, 4 eps figures; to appear in Phys. Rev.

Phase-Field Formulation for Quantitative Modeling of Alloy Solidification

A phase-field formulation is introduced to simulate quantitatively microstructural pattern formation in alloys. The thin-interface limit of this formulation yields a much less stringent restriction on the choice of interface thickness than previous formulations and permits to eliminate non-equilibrium effects at the interface. Dendrite growth simulations with vanishing solid diffusivity show that both the interface evolution and the solute profile in the solid are well resolved