The pricing of lookback options and binomial approximation

Refining a discrete model of Cheuk and Vorst we obtain a closed formula for the price of a European lookback option at any time between emission and maturity. We derive an asymptotic expansion of the price as the number of periods tends to infinity, thereby solving a problem posed by Lin and Palmer. We prove, in particular, that the price in the discrete model tends to the price in the continuous Black-Scholes model. Our results are based on an asymptotic expansion of the binomial cumulative distribution function that improves several recent results in the literature.Comment: 30 page

Algebras of frequently hypercyclic vectors

We show that the multiples of the backward shift operator on the spaces $\ell_{p}$, $1\leq p<\infty$, or $c_{0}$, when endowed with coordinatewise multiplication, do not possess frequently hypercyclic algebras. More generally, we characterize the existence of algebras of $\mathcal{A}$-hypercyclic vectors for these operators. We also show that the differentiation operator on the space of entire functions, when endowed with the Hadamard product, does not possess frequently hypercyclic algebras. On the other hand, we show that for any frequently hypercyclic operator $T$ on any Banach space, $FHC(T)$ is algebrable for a suitable product, and in some cases it is even strongly algebrable

Existence and nonexistence of hypercyclic semigroups

In these notes we provide a new proof of the existence of a hypercyclic uniformly continuous semigroup of operators on any separable infinitedimensional Banach space that is very different from –and considerably shorter than– the one recently given by Bermúdez, Bonilla and Martinón. We also show the existence of a strongly dense family of topologically mixing operators on every separable infinite-dimensional Fréchet space. This complements recent results due to Bès and Chan. Moreover, we discuss the Hypercyclicity Criterion for semigroups and we give an example of a separable infinite-dimensional locally convex space which supports no supercyclic strongly continuous semigroup of operators.Plan Andaluz de Investigación (Junta de Andalucía)Ministerio de Ciencia y Tecnología (MCYT). Españ

Frequently hypercyclic bilateral shifts

It is not known if the inverse of a frequently hypercyclic bilateral weighted shift on $c_0(\mathbb{Z})$ is again frequently hypercyclic. We show that the corresponding problem for upper frequent hypercyclicity has a positive answer. We characterise, more generally, when bilateral weighted shifts on Banach sequence spaces are (upper) frequently hypercyclic

Strongly omnipresent operators: general conditions and applications to composition operators

This paper studies the concept of strongly omnipresent operators that was recently introduced by the first two authors. An operator T on the space H(G) of holomorphic functions on a complex domain G is called strongly omnipresent whenever the set of T-monsters is residual in H(G), and a T-monster is a function f such that T f exhibits an extremely ‘wild’ behaviour near the boundary. We obtain sufficient conditions under which an operator is strongly omnipresent, in particular, we show that every onto linear operator is strongly omnipresent. Using these criteria we completely characterize strongly omnipresent composition and multiplication operators.Dirección General de Enseñanza Superior (DGES). EspañaJunta de Andalucí

Strongly omnipresent integral operators

An operator T on the space H(G) of holomorphic functions on a domain G is strongly omnipresent whenever there is a residual set of functions f ∈ H(G) such that T f exhibits an extremely “wild” behaviour near the boundary. The concept of strong omnipresence was recently introduced by the first two authors. In this paper it is proved that a large class of integral operators including Volterra operators with or without a perturbation by differential operators has this property, completing earlier work about differential and antidifferential operators.Dirección General de Enseñanza Superior (DGES). EspañaJunta de Andalucí

Hypercyclic operators on countably dimensional spaces

According to Grivaux, the group $GL(X)$ of invertible linear operators on a separable infinite dimensional Banach space $X$ acts transitively on the set $\Sigma(X)$ of countable dense linearly independent subsets of $X$. As a consequence, each $A\in \Sigma(X)$ is an orbit of a hypercyclic operator on $X$. Furthermore, every countably dimensional normed space supports a hypercyclic operator. We show that for a separable infinite dimensional Fr\'echet space $X$, $GL(X)$ acts transitively on $\Sigma(X)$ if and only if $X$ possesses a continuous norm. We also prove that every countably dimensional metrizable locally convex space supports a hypercyclic operator

Chaotic weighted shifts on directed trees

We study the dynamical behaviour of weighted backward shift operators defined on sequence spaces over a directed tree. We provide a characterization of chaos on very general Fr\'echet sequence spaces in terms of the existence of a large supply of periodic points, or of fixed points. In the special case of the space $\ell^p$, $1\leq p<\infty$, or the space $c_0$ over the tree, we provide a characterization directly in terms of the weights of the shift operators. It has turned out that these characterizations involve certain generalized continued fractions that are introduced in this paper. Special attention is given to weighted backward shifts with symmetric weights, in particular to Rolewicz operators. In an appendix, we complement our previous work by characterizing hypercyclic and mixing weighted backward shifts on very general Fr\'echet sequence spaces over a tree. Also, some of our results have a close link with potential theory on flows over trees; the link is provided by the notion of capacity, as we explain in an epilogue.Comment: 73 p