An Approach to Wealth Modelling

2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10

On Averaging Null Sequences of Real-Valued Functions

If ξ is a countable ordinal and (fk) a sequence of real-valued functions we define the repeated averages of order ξ of (fk). By using a partition theorem of Nash-Williams for families of finite subsets of positive integers it is proved that if ξ is a countable ordinal then every sequence (fk) of real-valued functions has a subsequence (f'k) such that either every sequence of repeated averages of order ξ of (f'k) converges uniformly to zero or no sequence of repeated averages of order ξ of (f'k) converges uniformly to zero. By the aid of this result we obtain some results stronger than Mazur’s theorem.

A Mean Value Theorem for non Differentiable Mappings in Banach Spaces

We prove that if f is a real valued lower semicontinuous function on a Banach space X and if there exists a C^1, real valued Lipschitz continuous function on X with bounded support and which is not identically equal to zero, then f is Lipschitz continuous of constant K provided all lower subgradients of f are bounded by K. As an application, we give a regularity result of viscosity supersolutions (or subsolutions) of Hamilton-Jacobi equations in infinite dimensions which satisfy a coercive condition. This last result slightly improves some earlier work by G. Barles and H. Ishii.

Strong-weak Stackelberg Problems in Finite Dimensional Spaces

We are concerned with two-level optimization problems called strongweak Stackelberg problems, generalizing the class of Stackelberg problems in the strong and weak sense. In order to handle the fact that the considered two-level optimization problems may fail to have a solution under mild assumptions, we consider a regularization involving ε-approximate optimal solutions in the lower level problems. We prove the existence of optimal solutions for such regularized problems and present some approximation results when the parameter ǫ goes to zero. Finally, as an example, we consider an optimization problem associated to a best bound given in [2] for a system of nondifferentiable convex inequalities.

Dynamical Resonances and SSF Singularities for a Magnetic Schrödinger Operator

We consider the Hamiltonian H of a 3D spinless non-relativistic quantum particle subject to parallel constant magnetic and non-constant electric field. The operator H has infinitely many eigenvalues of infinite multiplicity embedded in its continuous spectrum. We perturb H by appropriate scalar potentials V and investigate the transformation of these embedded eigenvalues into resonances. First, we assume that the electric potentials are dilation-analytic with respect to the variable along the magnetic field, and obtain an asymptotic expansion of the resonances as the coupling constant Ï° of the perturbation tends to zero. Further, under the assumption that the Fermi Golden Rule holds true, we deduce estimates for the time evolution of the resonance states with and without analyticity assumptions; in the second case we obtain these results as a corollary of suitable Mourre estimates and a recent article of Cattaneo, Graf and Hunziker [11]. Next, we describe sets of perturbations V for which the Fermi Golden Rule is valid at each embedded eigenvalue of H; these sets turn out to be dense in various suitable topologies. Finally, we assume that V decays fast enough at infinity and is of definite sign, introduce the Krein spectral shift function for the operator pair (H+V, H), and study its singularities at the energies which coincide with eigenvalues of infinite multiplicity of the unperturbed operator H.

Optimal investment under stochastic volatility and power type utility function

2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20.