In the Black-Scholes type financial market, the risky asset S 1 ( ) is supposed to satisfy dS 1 ( t ) = S 1 ( t )( b ( t ) dt + Sigma ( t ) dW ( t ) where W ( ) is a Brownian motion. The processes b ( ), Sigma ( ) are progressively measurable with respect to the filtration generated by W ( ). They are known as the mean rate of return and the volatility respectively. A portfolio is described by a progressively measurable processes Pi1 ( ), where Pi1 ( t ) gives the amount invested in the risky asset at the time t. Typically, the optimal portfolio Pi1 ( ) (that, which maximizes the expected utility), depends at the time t, among other quantities, on b ( t ) meaning that the mean rate of return shall be known in order to follow the optimal trading strategy. However, in a real-world market, no direct observation of this quantity is possible since the available information comes from the behavior of the stock prices which gives a noisy observation of b ( ). In the present work, we consider the optimal portfolio selection which uses only the observation of stock prices.
We discuss the analytic properties of AdS scalar exchange graphs in the crossed channel. We show that the possible non-analytic terms drop out by virtue of non-trivial properties of generalized hypergeometric functions. The absence of non-analytic terms is a necessary condition for the existence of an operator product expansion for CFT amplitudes obtained from AdS/CFT correspondence.
The paper studies the dynamics of transitions between the levels of a Wannier-Stark ladder induced by a resonant periodic driving. The analysis of the problem is done in terms of resonance quasienergy states, which take into account the metastable character of the Wannier-Stark states. It is shown that the periodic driving creates from a localized Wannier-Stark state an extended Bloch-like state with a spatial length varying in time as ~ t^1/2. Such a state can find applications in the field of atomic optics because it generates a coherent pulsed atomic beam.
Within this paper we review image distortion measures. A distortion measure is a criterion that assigns a "quality number" to an image. We distinguish between mathematical distortion measures and those distortion measures in-cooperating a priori knowledge about the imaging devices ( e.g. satellite images), image processing algorithms or the human physiology. We will consider representative examples of different kinds of distortion measures and are going to discuss them.
Linearized flows past slender bodies can be asymptotically described by a linear Fredholm integral equation. A collocation method to solve this equation is presented. In cases where the spectral representation of the integral operator is explicitly known, the collocation method recovers the spectrum of the continuous operator. The approximation error is estimated for two discretizations of the integral operator and the convergence is proved. The collocation scheme is validated in several test cases and extended to situations where the spectrum is not explicit.
We consider investment problems where an investor can invest in a savings account, stocks and bonds and tries to maximize her utility from terminal wealth. In contrast to the classical Merton problem we assume a stochastic interest rate. To solve the corresponding control problems it is necessary to prove averi cation theorem without the usual Lipschitz assumptions.
The statistics of the resonance widths and the behavior of the survival probability is studied in a particular model of quantum chaotic scattering (a particle in a periodic potential subject to static and time-periodic forces) introduced earlier in Ref. [5,6]. The coarse-grained distribution of the resonance widths is shown to be in good agreement with the prediction of Random Matrix Theory (RMT). The behavior of the survival probability shows, however, some deviation from RMT.
Abstract: It has recently been shown that the equation of motion of a massless scalar field in the background of some specific p branes can be reduced to a modified Mathieu equation. In the following the absorption rate of the scalar by a D3 brane in ten dimensions is calculated in terms of modified Mathieu functions of the first kind, using standard Mathieu coefficients. The relation of the latter to Dougall coefficients (used by others) is investigated. The S-matrix obtained in terms of modified Mathieu functions of the first kind is easily evaluated if known rapidly convergent low energy expansions of these in terms of products of Bessel functions are used. Leading order terms, including the interesting logarithmic contributions, can be obtained analytically.
At present the standardization of third generation (3G) mobile radio systems is the subject of worldwide research activities. These systems will cope with the market demand for high data rate services and the system requirement for exibility concerning the offered services and the transmission qualities. However, there will be de ciencies with respect to high capacity, if 3G mobile radio systems exclusively use single antennas. Very promising technique developed for increasing the capacity of 3G mobile radio systems the application is adaptive antennas. In this thesis, the benefits of using adaptive antennas are investigated for 3G mobile radio systems based on Time Division CDMA (TD-CDMA), which forms part of the European 3G mobile radio air interface standard adopted by the ETSI, and is intensively studied within the standardization activities towards a worldwide 3G air interface standard directed by the 3GPP (3rd Generation Partnership Project). One of the most important issues related to adaptive antennas is the analysis of the benefits of using adaptive antennas compared to single antennas. In this thesis, these bene ts are explained theoretically and illustrated by computer simulation results for both data detection, which is performed according to the joint detection principle, and channel estimation, which is applied according to the Steiner estimator, in the TD-CDMA uplink. The theoretical explanations are based on well-known solved mathematical problems. The simulation results illustrating the benefits of adaptive antennas are produced by employing a novel simulation concept, which offers a considerable reduction of the simulation time and complexity, as well as increased exibility concerning the use of different system parameters, compared to the existing simulation concepts for TD-CDMA. Furthermore, three novel techniques are presented which can be used in systems with adaptive antennas for additionally improving the system performance compared to single antennas. These techniques concern the problems of code-channel mismatch, of user separation in the spatial domain, and of intercell interference, which, as it is shown in the thesis, play a critical role on the performance of TD-CDMA with adaptive antennas. Finally, a novel approach for illustrating the performance differences between the uplink and downlink of TD-CDMA based mobile radio systems in a straightforward manner is presented. Since a cellular mobile radio system with adaptive antennas is considered, the ultimate goal is the investigation of the overall system efficiency rather than the efficiency of a single link. In this thesis, the efficiency of TD-CDMA is evaluated through its spectrum efficiency and capacity, which are two closely related performance measures for cellular mobile radio systems. Compared to the use of single antennas, the use of adaptive antennas allows impressive improvements of both spectrum efficiency and capacity. Depending on the mobile radio channel model and the user velocity, improvement factors range from six to 10.7 for the spectrum efficiency, and from 6.7 to 12.6 for the spectrum capacity of TD-CDMA. Thus, adaptive antennas constitute a promising technique for capacity increase of future mobile communications systems.
Abstract: We develop a method of singularity analysis for conformal graphs which, in particular, is applicable to the holographic image of AdS supergravity theory. It can be used to determine the critical exponents for any such graph in a given channel. These exponents determine the towers of conformal blocks that are exchanged in this channel. We analyze the scalar AdS box graph and show that it has the same critical exponents as the corresponding CFT box graph. Thus pairs of external fields couple to the same exchanged conformal blocks in both theories. This is looked upon as a general structural argument supporting the Maldacena hypothesis.