Search results for "FOS: Mathematics"
showing 10 items of 1448 documents
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015
In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to be the classical Black and Scholes solution, the correction terms appear at $O(\varepsilon^{1/2})$ and $O(\varepsilon)$. The optimal hedging strategy is then explicitly obtained for the Scott's model.
Highly transitive actions of free products
2013
We characterize free products admitting a faithful and highly transitive action. In particular, we show that the group $\PSL_2(\Z)\simeq (\Z/2\Z)*(\Z/3\Z)$ admits a faithful and highly transitive action on a countable set.
Algebraic (2, 2)-transformation groups
2009
This paper contains the more significant part of the article with the same title that will appear in the Volume 12 of Journal of Group Theory (2009). In this paper we determine all algebraic transformation groups $G$, defined over an algebraically closed field $\sf k$, which operate transitively, but not primitively, on a variety $\Omega$, provided the following conditions are fulfilled. We ask that the (non-effective) action of $G$ on the variety of blocks is sharply 2-transitive, as well as the action on a block $\Delta$ of the normalizer $G_\Delta$. Also we require sharp transitivity on pairs $(X,Y)$ of independent points of $\Omega$, i.e. points contained in different blocks.
Robust existence of nonhyperbolic ergodic measures with positive entropy and full support
2021
We prove that for some manifolds $M$ the set of robustly transitive partially hyperbolic diffeomorphisms of $M$ with one-dimensional nonhyperbolic centre direction contains a $C^1$-open and dense subset of diffeomorphisms with nonhyperbolic measures which are ergodic, fully supported and have positive entropy. To do so, we formulate abstract conditions sufficient for the construction of an ergodic, fully supported measure $\mu$ which has positive entropy and is such that for a continuous function $\phi\colon X\to\mathbb{R}$ the integral $\int\phi\,d\mu$ vanishes. The criterion is an extended version of the control at any scale with a long and sparse tail technique coming from the previous w…
Transverse instability of periodic and generalized solitary waves for a fifth-order KP model
2017
We consider a fifth-order Kadomtsev-Petviashvili equation which arises as a two-dimensional model in the classical water-wave problem. This equation possesses a family of generalized line solitary waves which decay exponentially to periodic waves at infinity. We prove that these solitary waves are transversely spectrally unstable and that this instability is induced by the transverse instability of the periodic tails. We rely upon a detailed spectral analysis of some suitably chosen linear operators.
Modeling multiple taxis: Tumor invasion with phenotypic heterogeneity, haptotaxis, and unilateral interspecies repellence
2021
We provide a short review of existing models with multiple taxis performed by (at least) one species and consider a new mathematical model for tumor invasion featuring two mutually exclusive cell phenotypes (migrating and proliferating). The migrating cells perform nonlinear diffusion and two types of taxis in response to non-diffusing cues: away from proliferating cells and up the gradient of surrounding tissue. Transitions between the two cell subpopulations are influenced by subcellular (receptor binding) dynamics, thus conferring the setting a multiscale character. We prove global existence of weak solutions to a simplified model version and perform numerical simulations for the full se…
Unbounded derivations and *-automorphisms groups of Banach quasi *-algebras
2018
This paper is devoted to the study of unbounded derivations on Banach quasi *-algebras with a particular emphasis to the case when they are infinitesimal generators of one parameter automorphisms groups. Both of them, derivations and automorphisms are considered in a weak sense; i.e., with the use of a certain families of bounded sesquilinear forms. Conditions for a weak *-derivation to be the generator of a *-automorphisms group are given.
Continuous frames for unbounded operators
2021
Few years ago G\u{a}vru\c{t}a gave the notions of $K$-frame and atomic system for a linear bounded operator $K$ in a Hilbert space $\mathcal{H}$ in order to decompose $\mathcal{R}(K)$, the range of $K$, with a frame-like expansion. These notions are here generalized to the case of a densely defined and possibly unbounded operator on a Hilbert space $A$ in a continuous setting, thus extending what have been done in a previous paper in a discrete framework.
Induced and reduced unbounded operator algebras
2012
The induction and reduction precesses of an O*-vector space \({{\mathfrak M}}\) obtained by means of a projection taken, respectively, in \({{\mathfrak M}}\) itself or in its weak bounded commutant \({{\mathfrak M}^\prime_{\rm w}}\) are studied. In the case where \({{\mathfrak M}}\) is a partial GW*-algebra, sufficient conditions are given for the induced and the reduced spaces to be partial GW*-algebras again.
Riesz-like bases in rigged Hilbert spaces
2015
The notions of Bessel sequence, Riesz-Fischer sequence and Riesz basis are generalized to a rigged Hilbert space $\D[t] \subset \H \subset \D^\times[t^\times]$. A Riesz-like basis, in particular, is obtained by considering a sequence $\{\xi_n\}\subset \D$ which is mapped by a one-to-one continuous operator $T:\D[t]\to\H[\|\cdot\|]$ into an orthonormal basis of the central Hilbert space $\H$ of the triplet. The operator $T$ is, in general, an unbounded operator in $\H$. If $T$ has a bounded inverse then the rigged Hilbert space is shown to be equivalent to a triplet of Hilbert spaces.