相关论文: Limits of Semistatic Trading Strategies
We prove a bound, of Bargmann- Birman-Schwinger type, on the number of eigenvalues of the matrix Schr\"odinger operator on the half line, with the most general self adjoint boundary condition at the origin, and with selfadjoint matrix…
We define a Schr\"odinger operator on the half-space with a discontinuous magnetic field having a piecewise-constant strength and a uniform direction. Motivated by applications in the theory of superconductivity, we study the infimum of the…
We consider the two dimensional Schr\"odinger equation with time dependent delta potential, which represents a model for the dynamics of a quantum particle subject to a point interaction whose strength varies in time. First, we prove global…
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…
We study the semigroups of random Schr\"odinger operators of the form $\widehat{H}f=-\frac12f''+(V+\xi)f$, where $f:I\to\mathbb F^r$ ($\mathbb F=\mathbb R,\mathbb C,\mathbb H$) are vector-valued functions on a possibly infinite interval…
We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two…
This work is concerned with the stability properties of linear stochastic differential equations with random (drift and diffusion) coefficient matrices, and the stability of a corresponding random transition matrix (or exponential…
We consider a Schr\"odinger bridge problem where the Markov process is subject to parameter perturbations, forming an ensemble of systems. Our objective is to steer this ensemble from the initial distribution to the final distribution using…
The transmission eigenvalues corresponding to the half-line Schr\"odinger equation with the general selfadjoint boundary condition is analyzed when the potential is real valued, integrable, and compactly supported. It is shown that a…
We give conditions under which the normalized marginal distribution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions of stochastic differential equations with…
In the present work we explore the potential of models of the discrete nonlinear Schr\"odinger (DNLS) type to support spatially localized and temporally quasiperiodic solutions on top of a finite background. Such solutions are rigorously…
We are interested in quasi-stationarity and quasi-ergodicity when the absorbing boundary is moving. First we show that, in the moving boundary case, the quasi-stationary distribution and the quasi-limiting distribution are not well-defined…
A large time expansion for the propagator associated to a semiclassical non-selfadjoint magnetic Schr\"odinger operator is established, in terms of the low lying eigenvalues of the operator.
Most semantic drift studies report multiple signals e.g., embedding displacement, neighbor changes, distributional divergence, and recursive trajectory instability, without a shared explanatory theory that relates them. This paper proposes…
It is well-known that the controllability of finite-dimensional nonlinear systems can be established by showing the controllability of the linearized system. However, this classical result does not generalize to infinite-dimensional…
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…
In this paper, we investigate constrained control of continuous-time linear stochastic systems. We show that for certain system parameter settings, constrained control policies can never achieve stabilization. Specifically, we explore a…
A conditioned stochastic process can display a very different behavior from the unconditioned process. In particular, a conditioned process can exhibit non-Gaussian fluctuations even if the unconditioned process is Gaussian. In this work,…
The error behavior of exponential operator splitting methods for nonlinear Schr{\"o}dinger equations in the semiclassical regime is studied. For the Lie and Strang splitting methods, the exact form of the local error is determined and the…
We consider Schr\"odinger operators of the form $H_R = - d^2/ d x^2 + q + i \gamma \chi_{[0,R]}$ for large $R>0$, where $q \in L^1(0,\infty)$ and $\gamma > 0$. Bounds for the maximum magnitude of an eigenvalue and for the number of…