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The U(1) Calogero-Sutherland Model with anti-periodic boundary condition is studied. This model is obtained by applying a vertical magnetic field perpendicular to the plane of one dimensional ring of particles. The trigonometric form of the…
Consider the configuration spaces of manifolds. An influential theorem of McDuff, Segal and Church shows that the (co)homology of the unordered configuration space is independent of number of points in a range of degree called the stable…
Mixed boundary conditions are introduced to finite element exterior calculus. We construct smoothed projections from Sobolev de Rham complexes onto finite element de Rham complexes which commute with the exterior derivative, preserve…
We approach the analysis of dynamical and geometrical properties of nonholonomic mechanical systems from the discussion of a more general class of auxiliary constrained Hamiltonian systems. The latter is constructed in a manner that it…
Three geometric formulations of the Hamiltonian structure of the macroscopic Maxwell equations are given: one in terms of the double de Rham complex, one in terms of L2 duality, and one utilizing an abstract notion of duality. The final of…
An effective characterization of chaotic conservative Hamiltonian systems in terms of the curvature associated with a Riemannian metric tensor derived from the structure of the Hamiltonian has been extended to a wide class of potential…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
In this contribution we present how to obtain explicit state space models in port-Hamiltonian form when a mixed finite element method is applied to a linear mechanical system with non-uniform boundary conditions. The key is to express the…
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived. A finite difference method is used to…
In this paper we obtain Sobolev estimates for weak solutions of first oder variational Mean Field Game systems with coupling terms that are local function of the density variable. Under some coercivity condition on the coupling, we obtain…
Using mode-coupling theory, we derive a constitutive equation for the nonlinear rheology of dense colloidal suspensions under arbitrary time-dependent homogeneous flow. Generalizing previous results for simple shear, this allows the full…
In this article we relate the set of structure preserving equivalent martingale measures $(\mathcal{M})$ for financial models driven by semimartingales with conditionally independent increments to a set of measurable and integrable…
We study monotone and convex stochastic orders for processes with independent increments. Our contributions are twofold: First, we relate stochastic orders of the Poisson component to orders of their (generalized) L\'evy measures. The…
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following the terminology of Gozlan, Roberto, Samson and Tetali this…
We consider classical solutions to $-\Delta u = f(u)$ in half-spaces, under homogeneous Dirichlet boundary conditions. We prove that any positive solution is strictly monotone increasing in the direction orthogonal to the boundary, provided…
Using the stress energy tensor, we establish some monotonicity formulae for vector bundle-valued p-forms satisfying the conservation law, provided that the base Riemannian (resp. K\"ahler) manifolds poss some real (resp. complex)…
This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the first part of the paper. In the second part, we determine…
Starting from elementary considerations about independence and Markov processes in classical probability we arrive at the new concept of conditional monotone independence (or operator-valued monotone independence). With the help of product…