On small time asymptotics for rough differential equations driven by fractional Brownian motions

We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible applications to mathematical finance.Comment: This is a survey paper, submitted to proceedings in the memory of Peter Laurenc

An Optimal Execution Problem with Market Impact

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales, otherwise the value function is continuous. Moreover, we show the semi-group property (Bellman principle) and characterise the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We introduce some examples where the forms of the optimal strategies change completely, depending on the amount of the trader's security holdings and where optimal strategies in the Black-Scholes type market with nonlinear market impact are not block liquidation but gradual liquidation, even when the trader is risk-neutral.Comment: 36 pages, 8 figures, a modified version of the article "An optimal execution problem with market impact" in Finance and Stochastics (2014

Light--like Wilson loops and gauge invariance of Yang--Mills theory in 1+1 dimensions

A light-like Wilson loop is computed in perturbation theory up to ${\cal O} (g^4)$ for pure Yang--Mills theory in 1+1 dimensions, using Feynman and light--cone gauges to check its gauge invariance. After dimensional regularization in intermediate steps, a finite gauge invariant result is obtained, which however does not exhibit abelian exponentiation. Our result is at variance with the common belief that pure Yang--Mills theory is free in 1+1 dimensions, apart perhaps from topological effects.Comment: 10 pages, plain TeX, DFPD 94/TH/

Electroweak Gauge-Boson Production at Small q_T: Infrared Safety from the Collinear Anomaly

Using methods from effective field theory, we develop a novel, systematic framework for the calculation of the cross sections for electroweak gauge-boson production at small and very small transverse momentum q_T, in which large logarithms of the scale ratio M_V/q_T are resummed to all orders. These cross sections receive logarithmically enhanced corrections from two sources: the running of the hard matching coefficient and the collinear factorization anomaly. The anomaly leads to the dynamical generation of a non-perturbative scale q_* ~ M_V e^{-const/\alpha_s(M_V)}, which protects the processes from receiving large long-distance hadronic contributions. Expanding the cross sections in either \alpha_s or q_T generates strongly divergent series, which must be resummed. As a by-product, we obtain an explicit non-perturbative expression for the intercept of the cross sections at q_T=0, including the normalization and first-order \alpha_s(q_*) correction. We perform a detailed numerical comparison of our predictions with the available data on the transverse-momentum distribution in Z-boson production at the Tevatron and LHC.Comment: 34 pages, 9 figure

Drell-Yan production at small q_T, transverse parton distributions and the collinear anomaly

Using methods from effective field theory, an exact all-order expression for the Drell-Yan cross section at small transverse momentum is derived directly in q_T space, in which all large logarithms are resummed. The anomalous dimensions and matching coefficients necessary for resummation at NNLL order are given explicitly. The precise relation between our result and the Collins-Soper-Sterman formula is discussed, and as a by-product the previously unknown three-loop coefficient A^(3) is obtained. The naive factorization of the cross section at small transverse momentum is broken by a collinear anomaly, which prevents a process-independent definition of x_T-dependent parton distribution functions. A factorization theorem is derived for the product of two such functions, in which the dependence on the hard momentum transfer is separated out. The remainder factors into a product of two functions of longitudinal momentum variables and x_T^2, whose renormalization-group evolution is derived and solved in closed form. The matching of these functions at small x_T onto standard parton distributions is calculated at O(alpha_s), while their anomalous dimensions are known to three loops.Comment: 32 pages, 2 figures; version to appear in Eur. Phys. J.

Next-to-eikonal corrections to soft gluon radiation: a diagrammatic approach

We consider the problem of soft gluon resummation for gauge theory amplitudes and cross sections, at next-to-eikonal order, using a Feynman diagram approach. At the amplitude level, we prove exponentiation for the set of factorizable contributions, and construct effective Feynman rules which can be used to compute next-to-eikonal emissions directly in the logarithm of the amplitude, finding agreement with earlier results obtained using path-integral methods. For cross sections, we also consider sub-eikonal corrections to the phase space for multiple soft-gluon emissions, which contribute to next-to-eikonal logarithms. To clarify the discussion, we examine a class of log(1 - x) terms in the Drell-Yan cross-section up to two loops. Our results are the first steps towards a systematic generalization of threshold resummations to next-to-leading power in the threshold expansion.Comment: 66 pages, 19 figure

Non-global Structure of the O({\alpha}_s^2) Dijet Soft Function

High energy scattering processes involving jets generically involve matrix elements of light- like Wilson lines, known as soft functions. These describe the structure of soft contributions to observables and encode color and kinematic correlations between jets. We compute the dijet soft function to O({\alpha}_s^2) as a function of the two jet invariant masses, focusing on terms not determined by its renormalization group evolution that have a non-separable dependence on these masses. Our results include non-global single and double logarithms, and analytic results for the full set of non-logarithmic contributions as well. Using a recent result for the thrust constant, we present the complete O({\alpha}_s^2) soft function for dijet production in both position and momentum space.Comment: 55 pages, 8 figures. v2: extended discussion of double logs in the hard regime. v3: minor typos corrected, version published in JHEP. v4: typos in Eq. (3.33), (3.39), (3.43) corrected; this does not affect the main result, numerical results, or conclusion

Instanton Contribution to the Quark Form Factor

The nonperturbative effects in the quark form factor are considered in the Wilson loop formalism. The properties of the Wilson loops with cusp singularities are studied taking into account the perturbative and nonperturbative contributions, where the latter are considered within the framework of the instanton liquid model. For the integration path corresponding to this form factor -- the angle with infinite sides -- the explicit expression for the vacuum expectation value of the Wilson operator is found to leading order. The calculations are performed in the weak-field limit for the instanton vacuum contribution and compared with the one- and two-loop order results for the perturbative part. It is shown that the instantons produce the powerlike corrections to the perturbative result, which are comparable in magnitude with the perturbative part at the scale of order of the inverse average instanton size. It is demonstrated that the instanton contributions to the quark form factor are exponentiated to high orders in the small instanton density parameter.Comment: Version coincident with the journal publication. LaTeX, 15 pages, 1 figur

Factorization Properties of Soft Graviton Amplitudes

We apply recently developed path integral resummation methods to perturbative quantum gravity. In particular, we provide supporting evidence that eikonal graviton amplitudes factorize into hard and soft parts, and confirm a recent hypothesis that soft gravitons are modelled by vacuum expectation values of products of certain Wilson line operators, which differ for massless and massive particles. We also investigate terms which break this factorization, and find that they are subleading with respect to the eikonal amplitude. The results may help in understanding the connections between gravity and gauge theories in more detail, as well as in studying gravitational radiation beyond the eikonal approximation.Comment: 35 pages, 5 figure

Quality control for multiple breath washout tests in multicentre bronchiectasis studies:Experiences from the BRONCH-UK clinimetrics study

Multiple Breath Washout (MBW) to measure Lung Clearance Index (LCI) is increasingly being used as a secondary endpoint in multicentre bronchiectasis studies. LCI data quality control or “over-reading” is resource intensive and the impact is unclear. Objectives: To assess the proportion of MBW tests deemed unacceptable with over-reading, and to assess the change in LCI (number of turnovers), LCI coefficient of variation (CV%) and tidal volume (VT) CV% results after over-reading. Methods: Data were analysed from 250 MBW tests (from 98 adult bronchiectasis patients) collected as part of the Bronch-UK Clinimetrics study in 5 UK centres. Each MBW test was over-read centrally using pre-defined criteria. MBW tests with <2 technically valid and repeatable trials were deemed unacceptable to include in analysis. In accepted tests, values for LCI, LCI CV% and VT CV% before and after over-reading, were compared. Results: Insufficient data was collected in 10/250 tests. With over-reading, 30/240 (12%) were deemed unacceptable to include in analysis. In those accepted tests, overall the change in LCI, LCI CV% and VT CV% with over-reading was not statistically significant. When MBW new sites were compared to MBW expert sites, the change in LCI with over-reading was significantly greater in MBW new sites (p = 0.047). Data suggests that over-reading could be important up to at least 12 months post initiation of MBW activity. Conclusion: MBW over-reading was important in this study as 12% of tests were considered unacceptable. Over-reading improved test result accuracy in sites new to MBW