We present some new general results on the existence and form of value preserving portfolio strategies in a general semimartingale setting. The concept of value preservation will be derived via a mean-variance argument. It will also be embedded into a framework for local approaches to the problem of portfolio optimisation.
We discuss how neural networks may be used to estimate conditional means, variances and quantiles of nancial time series nonparametrically. These estimates may be used to forecast, to derive trading rules and to measure market risk.
A discrete velocity model with spatial and velocity discretization based on a lattice Boltzmann method is considered in the low Mach number limit. A uniform numerical scheme for this model is investigated. In the limit, the scheme reduces to a finite difference scheme for the incompressible Navier-Stokes equation which is a projection method with a second order spatial discretization on a regular grid. The discretization is analyzed and the method is compared to Chorin's original spatial discretization. Numerical results supporting the analytical statements are presented.
In this paper we derive fluid dynamic equations byperforming asymptotic analysis for the generalized Boltzmann equationfor polyatomic gases. In particular, we consider the steady state,one-dimensional Boltzmann equation with one additional internal energyand different relaxation times. Moreover, we present a new approachto define coupling procedures for the Boltzmann equation and Navier-Stokesequations based on the 14-moments expansion of Levermore. These coupledmodels are validated by numerical simulations.
We consider a scale discrete wavelet approach on the sphere based on spherical radial basis functions. If the generators of the wavelets have a compact support, the scale and detail spaces are finite-dimensional, so that the detail information of a function is determined by only finitely many wavelet coefficients for each scale. We describe a pyramid scheme for the recursive determination of the wavelet coefficients from level to level, starting from an initial approximation of a given function. Basic tools are integration formulas which are exact for functions up to a given polynomial degree and spherical convolutions.
Some inequalities for the Boltzmann collision integral are proved. These inequalities can be considered as a generalization of the well-known Povzner inequality. The inequalities are used to obtain estimates of moments of solution to the spatially homogeneous Boltzmann equation for a wide class of intermolecular forces. We obtained simple necessary and sufficient conditions (on the potential) for the uniform boundedness of all moments. For potentials with compact support the following statement is proved. .....
The problem of providing connectivity for a collection of applications is largely one of data integration: the communicating parties must agree on thesemantics and syntax of the data being exchanged. In earlier papers [#!mp:jsc1!#,#!sg:BSG1!#], it was proposed that dictionaries of definitions foroperators, functions, and symbolic constants can effectively address the problem of semantic data integration. In this paper we extend that earlier work todiscuss the important issues in data integration at the syntactic level and propose a set of solutions that are both general, supporting a wide range of dataobjects with typing information, and efficient, supporting fast transmission and parsing.
Chains of Recurrences (CRs) are a tool for expediting the evaluation of elementary expressions over regular grids. CR based evaluations of elementaryexpressions consist of 3 major stages: CR construction, simplification, and evaluation. This paper addresses CR simplifications. The goal of CRsimplifications is to manipulate a CR such that the resulting expression is more efficiently to evaluate. We develop CR simplification strategies which takethe computational context of CR evaluations into account. Realizing that it is infeasible to always optimally simplify a CR expression, we give heuristicstrategies which, in most cases, result in a optimal, or close-to-optimal expressions. The motivations behind our proposed strategies are discussed and theresults are illustrated by various examples.