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

The Mott insulator - 10th order perturbation theory extended to infinite order using QMC

We present a new method, based on the combination of analytical and numerical techniques within the framework of the dynamical mean-field theory (DMFT). Building upon numerically exact results obtained in an improved quantum Monte Carlo (QMC) scheme, 10th order strong-coupling perturbation theory for the Hubbard model on the Bethe lattice is extrapolated to infinite order. We obtain continuous estimates of energy E and double occupancy D with unprecedented precision O(10^{-5}) for the Mott insulator above its stability edge U_{c1}=4.78 as well as critical exponents. The relevance for recent experiments on Cr-doped V_2O_3 is pointed out.Comment: 4 pages, 5 figures. Significant changes in introduction and summary; experimental reference added; Figs. 1 and 3 modifie

Comment on the equivalence of Bakamjian-Thomas mass operators in different forms of dynamics

We discuss the scattering equivalence of the generalized Bakamjian-Thomas construction of dynamical representations of the Poincar\'e group in all of Dirac's forms of dynamics. The equivalence was established by Sokolov in the context of proving that the equivalence holds for models that satisfy cluster separability. The generalized Bakamjian Thomas construction is used in most applications, even though it only satisfies cluster properties for systems of less than four particles. Different forms of dynamics are related by unitary transformations that remove interactions from some infinitesimal generators and introduce them to other generators. These unitary transformation must be interaction dependent, because they can be applied to a non-interacting generator and produce an interacting generator. This suggests that these transformations can generate complex many-body forces when used in many-body problems. It turns out that this is not the case. In all cases of interest the result of applying the unitary scattering equivalence results in representations that have simple relations, even though the unitary transformations are dynamical. This applies to many-body models as well as models with particle production. In all cases no new many-body operators are generated by the unitary scattering equivalences relating the different forms of dynamics. This makes it clear that the various calculations used in applications that emphasize one form of the dynamics over another are equivalent. Furthermore, explicit representations of the equivalent dynamical models in any form of dynamics are easily constructed. Where differences do appear is when electromagnetic probes are treated in the one-photon exchange approximation. This approximation is different in each of Dirac's forms of dynamics.Comment: 6 pages, no figure

Inviscid incompressible limits of the full Navier-Stokes-Fourier system

We consider the full Navier-Stokes-Fourier system in the singular limit for the small Mach and large Reynolds and Peclet numbers, with ill prepared initial data on the three dimensional Euclidean space. The Euler-Boussinesq approximation is identified as the limit system