Finite-time Lyapunov exponents for products of random transformations

It is shown how continuous products of random transformations constrained by a generic group structure can be studied by using Iwasawa's decomposition into ``angular'', ``diagonal'' and ``shear'' degrees of freedom. In the case of a Gaussian process a set of variables, adapted to the Iwasawa decomposition and still having a Gaussian distribution, is introduced and used to compute the statistics of the finite-time Lyapunov spectrum of the process. The variables also allow to show the exponential freezing of the ``shear'' degrees of freedom, which contain information about the Lyapunov eigenvectors

On the Evolution of Preferences

A common feature of the literature on the evolution of preferences is that evolution favors nonmaterialistic preferences only if preference types are observable at least to some degree. We argue that this result is due to the assumption that in each state of the evolutionary dynamics some Bayesian Nash equilibrium is played. We show that under unobservability of preference types, conditional on selecting some self-confirming equilibrium as a rule for mapping preference into behavior, non-selfish preferences may be evolutionarily successful.evolution of preferences, altruism, learning, self-confirming equilibrium

Moduli Spaces of Curves with Homology Chains and c=1 Matrix Models

We show that introducing a periodic time coordinate in the models of Penner-Kontsevich type generalizes the corresponding constructions to the case of the moduli space ${\cal S}_{gn}^k$ of curves $C$ with homology chains \gamma\in H_1(C,\zet_k). We make a minimal extension of the resulting models by adding a kinetic term, and we get a new matrix model which realizes a simple dynamics of \zet_k-chains on surfaces. This gives a representation of $c=1$ matter coupled to two-dimensional quantum gravity with the target space being a circle of finite radius, as studied by Gross and Klebanov.Comment: IFUM 459/FT (LaTeX, 9 pages; a few misprints have been corrected and the introduction has been slightly modified

Impact of strong magnetic fields on collision mechanism for transport of charged particles

One of the main applications in plasma physics concerns the energy production through thermo-nuclear fusion. The controlled fusion is achieved by magnetic confinement i.e., the plasma is confined into a toroidal domain (tokamak) under the action of huge magnetic fields. Several models exist for describing the evolution of strongly magnetized plasmas, most of them by neglecting the collisions between particles. The subject matter of this paper is to investigate the effect of large magnetic fields with respect to a collision mechanism. We consider here linear collision Boltzmann operators and derive, by averaging with respect to the fast cyclotronic motion due to strong magnetic forces, their effective collision kernels

Utility based pricing of contingent claims

In a discrete setting, we develop a model for pricing a contingent claim. Since the presence of hedging opportunities influences the price of a contingent claim, first we introduce the optimal hedging strategy assuming a contingent claim has been issued: a strategy implemented by investing the budget plus the selling price is optimal if it maximizes the expected utility of the agent's revenue, which is the difference between the outcome of the hedging portfolio and the payoff of the claim. Next, we introduce the `reservation price' as a subjective valuation of a contingent claim. This is defined as the minimum price to be added to the initial budget that makes the issue of the claim more preferable than optimally investing in the available securities. We define the reservation price both for a short position (reservation selling price) and for a long position (reservation buying price) in the contingent claim. When the contingent claim is redundant, both the selling and the buying price collapse in the usual Arrow-Debreu price. We develop a numerical procedure to evaluate the reservation price and two applications are provided. Different utility functions are used and some qualitative properties of the reservation price are shown.Incomplete markets, reservation price, expected utility, optimization