相关论文: Limits of Semistatic Trading Strategies

It was found recently that processes of multidimensional tunneling are generally described at high energies by unstable semiclassical trajectories. We study two observational signatures related to the instability of trajectories. First, we…

Time-periodic solitons of the parametrically driven damped nonlinear Schr\"odinger equation are obtained as solutions of the boundary-value problem on a two-dimensional spatiotemporal domain. We follow the transformation of the periodic…

This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…

We present an overview over recent results concerning semi-classical spectral estimates for magnetic Schroedinger operators. We discuss how the constants in magnetic and non-magnetic eigenvalue bounds are related and we prove, in an…

Let $\{X_j\}$ be independent, identically distributed random variables. It is well known that the functional CUSUM statistic and its randomly permuted version both converge weakly to a Brownian bridge if second moments exist. Surprisingly,…

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…

We study the Heisenberg spin-1/2 model on a semi-infinite chain - or, equivalently, a trotterized unitary SU(2) symmetric six-vertex quantum circuit - with a boundary defect where the interaction between the two spins nearest the edge…

Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used…

The spin coherent state path integral describing the dynamics of a spin-1/2-system in a magnetic field of arbitrary time-dependence is considered. Defining the path integral as the limit of a Wiener regularized expression, the semiclassical…

We study the small-time approximate controllability of bilinear Schr{\"o}dinger equations, where the drift is a magnetic Schr{\"o}dinger operator and the control is an electric potential. We prove this property in two circumstances: (i) in…

In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values. Zero or close-to-zero durations can be caused by either…

Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…

We consider random Schr\"odinger operators with Dirichlet boundary conditions outside lattice approximations of a smooth Euclidean domain and study the behavior of its lowest-lying eigenvalues in the limit when the lattice spacing tends to…

We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…

We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients…

In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a…

In this paper we give a simple and short proof of asymptotic stability of soliton for discrete nonlinear Schr\"odinger equation near anti-continuous limit. Our novel insight is that the analysis of linearized operator, usually…

Many natural dynamic processes -- such as in vivo cellular differentiation or disease progression -- can only be observed through the lens of static sample snapshots. While challenging, reconstructing their temporal evolution to decipher…

A successful method to describe the asymptotic behavior of various deterministic and stochastic processes such as asymptotically autonomous differential equations or stochastic approximation processes is to relate it to an appropriately…

This article is devoted to prove a stability result for two independent coefficients for a Schr\"odinger operator in an unbounded strip. The result is obtained with only one observation on an unbounded subset of the boundary and the data of…