138 research outputs found
The joint law of the extrema, final value and signature of a stopped random walk
A complete characterization of the possible joint distributions of the
maximum and terminal value of uniformly integrable martingale has been known
for some time, and the aim of this paper is to establish a similar
characterization for continuous martingales of the joint law of the minimum,
final value, and maximum, along with the direction of the final excursion. We
solve this problem completely for the discrete analogue, that of a simple
symmetric random walk stopped at some almost-surely finite stopping time. This
characterization leads to robust hedging strategies for derivatives whose value
depends on the maximum, minimum and final values of the underlying asset
The Bismut-Elworthy-Li type formulae for stochastic differential equations with jumps
Consider jump-type stochastic differential equations with the drift,
diffusion and jump terms. Logarithmic derivatives of densities for the solution
process are studied, and the Bismut-Elworthy-Li type formulae can be obtained
under the uniformly elliptic condition on the coefficients of the diffusion and
jump terms. Our approach is based upon the Kolmogorov backward equation by
making full use of the Markovian property of the process.Comment: 29 pages, to appear in Journal of Theoretical Probabilit
Upper estimate of martingale dimension for self-similar fractals
We study upper estimates of the martingale dimension of diffusion
processes associated with strong local Dirichlet forms. By applying a general
strategy to self-similar Dirichlet forms on self-similar fractals, we prove
that for natural diffusions on post-critically finite self-similar sets
and that is dominated by the spectral dimension for the Brownian motion
on Sierpinski carpets.Comment: 49 pages, 7 figures; minor revision with adding a referenc
Robust pricing and hedging of double no-touch options
Double no-touch options, contracts which pay out a fixed amount provided an
underlying asset remains within a given interval, are commonly traded,
particularly in FX markets. In this work, we establish model-free bounds on the
price of these options based on the prices of more liquidly traded options
(call and digital call options). Key steps are the construction of super- and
sub-hedging strategies to establish the bounds, and the use of Skorokhod
embedding techniques to show the bounds are the best possible.
In addition to establishing rigorous bounds, we consider carefully what is
meant by arbitrage in settings where there is no {\it a priori} known
probability measure. We discuss two natural extensions of the notion of
arbitrage, weak arbitrage and weak free lunch with vanishing risk, which are
needed to establish equivalence between the lack of arbitrage and the existence
of a market model.Comment: 32 pages, 5 figure
Programmable models of growth and mutation of cancer-cell populations
In this paper we propose a systematic approach to construct mathematical
models describing populations of cancer-cells at different stages of disease
development. The methodology we propose is based on stochastic Concurrent
Constraint Programming, a flexible stochastic modelling language. The
methodology is tested on (and partially motivated by) the study of prostate
cancer. In particular, we prove how our method is suitable to systematically
reconstruct different mathematical models of prostate cancer growth - together
with interactions with different kinds of hormone therapy - at different levels
of refinement.Comment: In Proceedings CompMod 2011, arXiv:1109.104
Homogenization of weakly coupled systems of Hamilton--Jacobi equations with fast switching rates
We consider homogenization for weakly coupled systems of Hamilton--Jacobi
equations with fast switching rates. The fast switching rate terms force the
solutions converge to the same limit, which is a solution of the effective
equation. We discover the appearance of the initial layers, which appear
naturally when we consider the systems with different initial data and analyze
them rigorously. In particular, we obtain matched asymptotic solutions of the
systems and rate of convergence. We also investigate properties of the
effective Hamiltonian of weakly coupled systems and show some examples which do
not appear in the context of single equations.Comment: final version, to appear in Arch. Ration. Mech. Ana
The RTU Graduate School Executive Master's Program for school year 2011-2012 as viewed by its respondents
This study was conducted to ascertain the views and opinions of the faculty and personnel as recipients of the Rizal Technological University (RTU) Graduate School Executive Master's program as to its reasons for availment, importance of the core and major subjects of the curriculum, lecturers' professional skills, duration/time allotment, level of satisfaction, significant difference of the two programs, problem encountered and gathered possible solutions to the problems; determine whether the Executive Master's Program was able to realize its goals and objectives and find out the overall impression of the recipients about the Executive Master's Program. A total of fifty (50) RTU faculty and personnel graduated from this Executive Master's program, twenty six (26) Master of Arts in Education (MAEd) and twenty four (24) Master of Arts in Engineering (MAE)
Two refreshing views of Fluctuation Theorems through Kinematics Elements and Exponential Martingale
In the context of Markov evolution, we present two original approaches to
obtain Generalized Fluctuation-Dissipation Theorems (GFDT), by using the
language of stochastic derivatives and by using a family of exponential
martingales functionals. We show that GFDT are perturbative versions of
relations verified by these exponential martingales. Along the way, we prove
GFDT and Fluctuation Relations (FR) for general Markov processes, beyond the
usual proof for diffusion and pure jump processes. Finally, we relate the FR to
a family of backward and forward exponential martingales.Comment: 41 pages, 7 figures; version2: 45 pages, 7 figures, minor revisions,
new results in Section
Geodesic rewriting systems and pregroups
In this paper we study rewriting systems for groups and monoids, focusing on
situations where finite convergent systems may be difficult to find or do not
exist. We consider systems which have no length increasing rules and are
confluent and then systems in which the length reducing rules lead to
geodesics. Combining these properties we arrive at our main object of study
which we call geodesically perfect rewriting systems. We show that these are
well-behaved and convenient to use, and give several examples of classes of
groups for which they can be constructed from natural presentations. We
describe a Knuth-Bendix completion process to construct such systems, show how
they may be found with the help of Stallings' pregroups and conversely may be
used to construct such pregroups.Comment: 44 pages, to appear in "Combinatorial and Geometric Group Theory,
Dortmund and Carleton Conferences". Series: Trends in Mathematics.
Bogopolski, O.; Bumagin, I.; Kharlampovich, O.; Ventura, E. (Eds.) 2009,
Approx. 350 p., Hardcover. ISBN: 978-3-7643-9910-8 Birkhause
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