A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion

In this work we revisit the problem of the hedging of contingent claim using mean-square criterion. We prove that in incomplete market, some probability measure can be identified so that becomes -martingale under .This is in fact a new proposition on the martingale representation theorem. The new results also identify a weight function that serves to be an approximation to the Radon-Nikodým derivative of the unique neutral martingale measure.

How to beat the Rayleigh limit?

The problem of achieving super-resolution, i.e. resolution beyond the classical Rayleigh distance of half a wavelength, is a real challenge in several imaging problems. The development of computer-assisted instruments and the possibility of inverting the recorded data has clearly modified the traditional concept of resolving power of an instrument. We show that, in the framework of inverse problem theory, the achievable resolution limit arises no longer from a universal rule but instead from a practical limitation due to noise amplification in the data inversion process. We analyze under what circumstances super-resolution can be achieved and we show how to assess the actual resolution limits in a given experiment, as a function of the noise level and of the available a priori knowledge about the object function. We emphasize the importance of the a priori knowledge of its effective support and we show that significant super-resolution can be achieved for "subwavelength sources", i.e. objects which are smaller than the probing wavelength.

Object Restoration Beyond the Rayleigh Limit in the Presence of Noise

info:eu-repo/semantics/published

An Afriat theorem for the collective model of household consumption

We provide a nonparametric 'revealed preference’ characterization of rational household behavior in terms of the collective consumption model, while accounting for general (possibly non-convex) individual preferences. We establish a Collective Axiom of Revealed Preference (CARP), which provides a necessary and sufficient condition for data consistency with collective rationality. Our main result takes the form of a ‘collective’ version of the Afriat Theorem for rational behavior in terms of the unitary model. This theorem has some interesting implications. With only a finite set of observations, the nature of consumption externalities (positive or negative) in the intra-household allocation process is non-testable. The same non-testability conclusion holds for privateness (with or without externalities) or publicness of consumption. By contrast, concavity of individual utility functions (representing convex preferences) turns out to be testable. In addition, monotonicity is testable for the model that assumes all household consumption is public.