487 research outputs found
The dual optimizer for the growth-optimal portfolio under transaction costs
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar et al.(Math. Oper. Res. 13:277-294, 1988). Similarly as in Kallsen and Muhle-Karbe (Ann. Appl. Probab. 20:1341-1358, 2010) for optimal consumption over an infinite horizon, we tackle this problem by determining a shadow price, which is the solution of the dual problem. It can be calculated explicitly up to determining the root of a deterministic function. This in turn allows one to explicitly compute fractional Taylor expansions, both for the no-trade region of the optimal strategy and for the optimal growth rat
The Radical Technology Inquirer (RTI) tool for technology anticipation and evaluation: introduction and quality criteria analysis
Computer-Assisted Proofs of Some Identities for Bessel Functions of Fractional Order
We employ computer algebra algorithms to prove a collection of identities
involving Bessel functions with half-integer orders and other special
functions. These identities appear in the famous Handbook of Mathematical
Functions, as well as in its successor, the DLMF, but their proofs were lost.
We use generating functions and symbolic summation techniques to produce new
proofs for them.Comment: Final version, some typos were corrected. 21 pages, uses svmult.cl
Quantum aspects of a noncommutative supersymmetric kink
We consider quantum corrections to a kink of noncommutative supersymmetric
phi^4 theory in 1+1 dimensions. Despite the presence of an infinite number of
time derivatives in the action, we are able to define supercharges and a
Hamiltonian by using an unconventional canonical formalism. We calculate the
quantum energy E of the kink (defined as a half-sum of the eigenfrequencies of
fluctuations) which coincides with its' value in corresponding commutative
theory independently of the noncommutativity parameter. The renormalization
also proceeds precisely as in the commutative case. The vacuum expectation
value of the new Hamiltonian is also calculated and appears to be consistent
with the value of the quantum energy E of the kink.Comment: 20 pages, v2: a reference adde
Renormalization of the energy-momentum tensor in noncommutative complex scalar field theory
We study the renormalization of dimension four composite operators and the
energy-momentum tensor in noncommutative complex scalar field theory. The
proper operator basis is defined and it is proved that the bare composite
operators are expressed via renormalized ones with the help of an appropriate
mixing matrix which is calculated in the one-loop approximation. The number and
form of the operators in the basis and the structure of the mixing matrix
essentially differ from those in the corresponding commutative theory and in
noncommutative real scalar field theory. We show that the energy-momentum
tensor in the noncommutative complex scalar field theory is defined up to six
arbitrary constants. The canonically defined energy-momentum tensor is not
finite and must be replaced by the "improved" one, in order to provide
finiteness. Suitable "improving" terms are found. Renormalization of dimension
four composite operators at zero momentum transfer is also studied. It is shown
that the mixing matrices are different for the cases of arbitrary and zero
momentum transfer. The energy-momentum vector, unlike the energy-momentum
tensor, is defined unambigously and does not require "improving", in order to
be conserved and finite, at least in the one-loop approximation.Comment: 23 pages, pictures using axodraw, references are adde
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