Star Jasmine : March

https://digitalcommons.library.umaine.edu/mmb-ps/2366/thumbnail.jp

Electron Impact Excitation Cross Sections for Hydrogen-Like Ions

We present cross sections for electron-impact-induced transitions n --> n' in hydrogen-like ions C 5+, Ne 9+, Al 12+, and Ar 17+. The cross sections are computed by Coulomb-Born with exchange and normalization (CBE) method for all transitions with n < n' < 7 and by convergent close-coupling (CCC) method for transitions with n 2s and 1s --> 2p are presented as well. The CCC and CBE cross sections agree to better than 10% with each other and with earlier close-coupling results (available for transition 1 --> 2 only). Analytical expression for n --> n' cross sections and semiempirical formulae are discussed.Comment: RevTeX, 5 pages, 13 PostScript figures, submitted to Phys. Rev.

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Our main contribution to this particular problem is to show that our seller/buyer prices are the upper/lower good deal bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko (2006) and to determine the analytical properties of these prices. Second, we apply our method to price options in the presence of stochastic volatility. Our main contribution to this problem is to show that the instantaneous Sharpe ratio, an integral ingredient in our methodology, is the negative of the market price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar (2000).Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe ratio, correlated assets, stochastic volatility, non-linear partial differential equations, good deal bound

Electron impact excitation cross sections for allowed transitions in atoms

We present a semiempirical Gaunt factor for widely used Van Regemorter formula [Astrophys. J. 136, 906 (1962)] for the case of allowed transitions in atoms with the LS coupling scheme. Cross sections calculated using this Gaunt factor agree with measured cross sections to within the experimental error.Comment: RevTeX, 3 pages, 10 PS figures, 2 PS tables, submitted to Phys. Rev.

Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case

We consider a possibly degenerate porous media type equation over all of $\R^d$ with $d = 1$, with monotone discontinuous coefficients with linear growth and prove a probabilistic representation of its solution in terms of an associated microscopic diffusion. This equation is motivated by some singular behaviour arising in complex self-organized critical systems. The main idea consists in approximating the equation by equations with monotone non-degenerate coefficients and deriving some new analytical properties of the solution

Exact propagators for atom-laser interactions

A class of exact propagators describing the interaction of an $N$-level atom with a set of on-resonance $\delta$-lasers is obtained by means of the Laplace transform method. State-selective mirrors are described in the limit of strong lasers. The ladder, V and $\Lambda$ configurations for a three-level atom are discussed. For the two level case, the transient effects arising as result of the interaction between both a semi-infinite beam and a wavepacket with the on-resonance laser are examined.Comment: 13 pages, 6 figure

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

Singular solutions of fully nonlinear elliptic equations and applications

We study the properties of solutions of fully nonlinear, positively homogeneous elliptic equations near boundary points of Lipschitz domains at which the solution may be singular. We show that these equations have two positive solutions in each cone of $\mathbb{R}^n$, and the solutions are unique in an appropriate sense. We introduce a new method for analyzing the behavior of solutions near certain Lipschitz boundary points, which permits us to classify isolated boundary singularities of solutions which are bounded from either above or below. We also obtain a sharp Phragm\'en-Lindel\"of result as well as a principle of positive singularities in certain Lipschitz domains.Comment: 41 pages, 2 figure

Experimental mathematics on the magnetic susceptibility of the square lattice Ising model

We calculate very long low- and high-temperature series for the susceptibility $\chi$ of the square lattice Ising model as well as very long series for the five-particle contribution $\chi^{(5)}$ and six-particle contribution $\chi^{(6)}$. These calculations have been made possible by the use of highly optimized polynomial time modular algorithms and a total of more than 150000 CPU hours on computer clusters. For $\chi^{(5)}$ 10000 terms of the series are calculated {\it modulo} a single prime, and have been used to find the linear ODE satisfied by $\chi^{(5)}$ {\it modulo} a prime. A diff-Pad\'e analysis of 2000 terms series for $\chi^{(5)}$ and $\chi^{(6)}$ confirms to a very high degree of confidence previous conjectures about the location and strength of the singularities of the $n$-particle components of the susceptibility, up to a small set of ``additional'' singularities. We find the presence of singularities at $w=1/2$ for the linear ODE of $\chi^{(5)}$, and $w^2= 1/8$ for the ODE of $\chi^{(6)}$, which are {\it not} singularities of the ``physical'' $\chi^{(5)}$ and $\chi^{(6)},$ that is to say the series-solutions of the ODE's which are analytic at $w =0$. Furthermore, analysis of the long series for $\chi^{(5)}$ (and $\chi^{(6)}$) combined with the corresponding long series for the full susceptibility $\chi$ yields previously conjectured singularities in some $\chi^{(n)}$, $n \ge 7$. We also present a mechanism of resummation of the logarithmic singularities of the $\chi^{(n)}$ leading to the known power-law critical behaviour occurring in the full $\chi$, and perform a power spectrum analysis giving strong arguments in favor of the existence of a natural boundary for the full susceptibility $\chi$.Comment: 54 pages, 2 figure