The interation of particular slender bodies with low Reynolds-number flows is in the limit 'slenderness to 0' described by a linear Fredholm integral equation of the second kind. The integral operator of this equation has a denumerable set of polynomial eigenfunctions whose corresponding eigenvalues are non-positive and of logarithmic growth. A theorem similiar to a classical result of Plemelj-Privalov for integral operators with Cauchy kernels is proven. In contrast to Cauchy kernel operators, the integral operator maps no Hölder space into itself. A spectral analysis of the integral operator restricted to an appropriate class of analytic functions is performed. The spectral properties of this restricted integral operator suggest a collocation-like method to solve the integral equation numerically. For this numerical scheme, convergence is proven and several computations are presented.
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.
Facility Location Problems are concerned with the optimal location of one or several new facilities, with respect to a set of existing ones. The objectives involve the distance between new and existing facilities, usually a weighted sum or weighted maximum. Since the various stakeholders (decision makers) will have different opinions of the importance of the existing facilities, a multicriteria problem with several sets of weights, and thus several objectives, arises. In our approach, we assume the decision makers to make only fuzzy comparisons of the different existing facilities. A geometric mean method is used to obtain the fuzzy weights for each facility and each decision maker. The resulting multicriteria facility location problem is solved using fuzzy techniques again. We prove that the final compromise solution is weakly Pareto optimal and Pareto optimal, if it is unique, or under certain assumptions on the estimates of the Nadir point. A numerical example is considered to illustrate the methodology.
In this paper we deal with the determination of the whole set of Pareto-solutions of location problems with respect to Q general criteria.These criteria include median, center or cent-dian objective functions as particular instances.The paper characterizes the set of Pareto-solutions of a these multicriteria problems. An efficient algorithm for the planar case is developed and its complexity is established. Extensions to higher dimensions as well as to the non-convexcase are also considered.The proposed approach is more general than the previously published approaches to multi-criteria location problems and includes almost all of them as particular instances.
In a discrete-time financial market setting, the paper relates various concepts introduced for dynamic portfolios (both in discrete and in continuous time). These concepts are: value preserving portfolios, numeraire portfolios, interest oriented portfolios, and growth optimal portfolios. It will turn out that these concepts are all associated with a unique martingale measure which agrees with the minimal martingale measure only for complete markets.
Let P c R^n, n >= 2, be a centrally symmetric, convex n-polytope with 2r vertices, and P be a family of m >= n + 1 homothetical copies of P. We show that a hyperplane transversal of all members of P (it it exists) can be found in O(rm) time.
We consider three applications of impulse control in financial mathematics, a cash management problem, optimal control of an exchange rate, and portfolio optimisation under transaction costs. We sketch the different ways of solving these problems with the help of quasi-variational inequalities. Further, some viscosity solution results are presented.