On convexity of solutions of ordinary differential equations

We prove a result on the convex dependence of solutions of ordinary differential equations on an ordered finite-dimensional real vector space with respect to the initial data.Comment: 10 page

Optimal Transport and Skorokhod Embedding

The Skorokhod embedding problem is to represent a given probability as the distribution of Brownian motion at a chosen stopping time. Over the last 50 years this has become one of the important classical problems in probability theory and a number of authors have constructed solutions with particular optimality properties. These constructions employ a variety of techniques ranging from excursion theory to potential and PDE theory and have been used in many different branches of pure and applied probability. We develop a new approach to Skorokhod embedding based on ideas and concepts from optimal mass transport. In analogy to the celebrated article of Gangbo and McCann on the geometry of optimal transport, we establish a geometric characterization of Skorokhod embeddings with desired optimality properties. This leads to a systematic method to construct optimal embeddings. It allows us, for the first time, to derive all known optimal Skorokhod embeddings as special cases of one unified construction and leads to a variety of new embeddings. While previous constructions typically used particular properties of Brownian motion, our approach applies to all sufficiently regular Markov processes.Comment: Substantial revision to improve the readability of the pape

Model-independent pricing with insider information: a Skorokhod embedding approach

In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling assumptions, but that she observes market information in the form of the prices of vanilla call options on the asset. We also assume that both the insider's information, which takes the form of a set of impossible paths, and the payoff of the derivative are time-invariant. This setup allows us to adapt recent work of Beiglboeck, Cox and Huesmann (2016) to prove duality results and a monotonicity principle, which enables us to determine geometric properties of the optimal models. Moreover, we show that this setup is powerful, in that we are able to find analytic and numerical solutions to certain pricing and hedging problems

Quantum Feynman-Kac perturbations

We develop fully noncommutative Feynman-Kac formulae by employing quantum stochastic processes. To this end we establish some theory for perturbing quantum stochastic flows on von Neumann algebras by multiplier cocycles. Multiplier cocycles are constructed via quantum stochastic differential equations whose coefficients are driven by the flow. The resulting class of cocycles is characterised under alternative assumptions of separability or Markov regularity. Our results generalise those obtained using classical Brownian motion on the one hand, and results for unitarily implemented flows on the other.Comment: 27 pages. Minor corrections to version 2. To appear in the Journal of the London Mathematical Societ

Rotational cooling of trapped polyatomic molecules

Controlling the internal degrees of freedom is a key challenge for applications of cold and ultracold molecules. Here, we demonstrate rotational-state cooling of trapped methyl fluoride molecules (CH3F) by optically pumping the population of 16 M-sublevels in the rotational states J=3,4,5, and 6 into a single level. By combining rotational-state cooling with motional cooling, we increase the relative number of molecules in the state J=4, K=3, M=4 from a few percent to over 70%, thereby generating a translationally cold (~30mK) and nearly pure state ensemble of about 10^6 molecules. Our scheme is extendable to larger sets of initial states, other final states and a variety of molecule species, thus paving the way for internal-state control of ever larger molecules

Pathwise super-replication via Vovk's outer measure

Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk's approach to mathematical finance we derive a model-independent super-replication theorem in continuous time, given information on finitely many marginals. Our result covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance.Comment: 18 page

A wave function based ab initio non-equilibrium Green's function approach to charge transport

We present a novel ab initio non-equilibrium approach to calculate the current across a molecular junction. The method rests on a wave function based description of the central region of the junction combined with a tight binding approximation for the electrodes in the frame of the Keldysh Green's function formalism. In addition we present an extension so as to include effects of the two-particle propagator. Our procedure is demonstrated for a dithiolbenzene molecule between silver electrodes. The full current-voltage characteristic is calculated. Specific conclusions for the contribution of correlation and two-particle effects are derived. The latter are found to contribute about 5% to the current. The order of magnitude of the current coincides with experiments.Comment: 21 pages, 3 figure