相关论文: Limits of Semistatic Trading Strategies
We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling…
We consider the generalized time-dependent Schr\"odinger equation on the half-axis and a broad family of finite-difference schemes with the discrete transparent boundary conditions (TBCs) to solve it. We first rewrite the discrete TBCs in a…
This paper deals with stability of discrete-time switched linear systems whose all subsystems are unstable and the set of admissible switching signals obeys pre-specified restrictions on switches between the subsystems and dwell times on…
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain…
We study the semiclassical distribution of resonances of a $2 \times 2$ matrix Schr\"odinger operator, obtained as a reduction of an Hamiltonian when studying molecular predissociation models under the Born-Oppenheimer approximation. The…
This paper is devoted to the analysis of a semilinear suspension bridge model with pointwise localized dissipation. The main contribution of the work is the development of a robust semigroup framework that substantially simplifies the…
This paper develops a novel operator theoretic framework to study the contraction properties of Markov semigroups with respect to a general class of Kantorovich semi-distances, which notably includes Wasserstein distances. The rather simple…
We consider the dynamics generated by the Schroedinger operator $H=-{1/2}\Delta + V(x) + W(\epsi x)$, where $V$ is a lattice periodic potential and $W$ an external potential which varies slowly on the scale set by the lattice spacing. We…
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes which is, for continuous semimartingales, related to symmetry properties of both their ordinary as well as…
The aim of this paper is to provide a mathematical contribution on the semi-static hedge of timing risk associated to positions in American-style options under a multi-dimensional market model. Barrier options are considered in the paper…
We consider a Schr\"odinger operator with a Hermitian 2x2 matrix-valued potential which is lattice periodic and can be diagonalized smoothly on the whole $R^n.$ In the case of potential taking its minimum only on the lattice, we prove that…
Norm resolvent approximation for a wide class of point interactions in one dimension is constructed. To analyse the limit behaviour of Schr\"odinger operators with localized singular rank-two perturbations coupled with {\delta}-like…
Given a Markovian Brownian martingale $Z$, we build a process $X$ which is a martingale in its own filtration and satisfies $X_1 = Z_1$. We call $X$ a dynamic bridge, because its terminal value $Z_1$ is not known in advance. We compute…
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem,…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
We consider eigenfunctions of a semiclassical Schr{\"o}dinger operator on an interval, with a single-well type potential and Dirichlet boundary conditions. We give upper/lower bounds on the L^2 density of the eigenfunctions that are uniform…
Confining a quantum particle in a compact subinterval of the real line with Dirichlet boundary conditions, we identify the connection of the one-dimensional fractional Schr\"odinger operator with the truncated Toeplitz matrices. We…
For relatively form-compact perturbations of non-negative selfadjoint operators, we obtain an upper bound on the number of discrete eigenvalues in half-planes separated from the positive real axis. The bound is given in terms of a partial…
In this article we prove semiglobal stabilization and exact controllability results for nonlinear plate equations with hinged boundary conditions and analytic nonlinearity. These results hold when the damping or control is localized in a…
The discrete one-dimensional Schr\"odinger operator is studied in the finite interval of length $N=2 M$ with the Dirichlet boundary conditions and an arbitrary potential even with respect to the spacial reflections. It is shown, that the…