Dynamic hedging with stocastic differential utility

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both previous approaches. In all cases, we assume Markovian prices. Stochastic differential utility, SDU, impacts the pure hedging demand ambiguously, but decreases the pure speculative demand, because risk aversion increases. We also show that consumption decision is, in some sense, independent of hedging decision. With terminal wealth utility, we derive a general and compact hedging formula, which nests as special all cases studied in Duffie and Jackson (1990). We then show how to obtain their formulas. With the third approach we find a compact formula for hedging, which makes the second-type utility framework a particular case, and show that the pure hedging demand is not impacted by this specification. In addition, with CRRA- and CARA-type utilities, the risk aversion increases and, consequently the pure speculative demand decreases. If futures price are martingales, then the transformation plays no role in determining the hedging allocation. We also derive the relevant Bellman equation for each case, using semigroup techniques.

Affine and curvature collineations in space-time

Graham Hall

Dynamic Morse decompositions for semigroups of homeomorphisms and control systems

In this paper, we introduce the concept of dynamic Morse decomposition for an action of a semigroup of homeomorphisms. Conley has shown in [5, Sec. 7] that the concepts of Morse decomposition and dynamic Morse decompositions are equivalent for flows in metric spaces. Here, we show that a Morse decomposition for an action of a semigroup of homeomorphisms of a compact topological space is a dynamic Morse decomposition. We also define Morse decompositions and dynamic Morse decompositions for control systems on manifolds. Under certain condition, we show that the concept of dynamic Morse decomposition for control system is equivalent to the concept of Morse decomposition.

Em direção a uma representação para equações algébricas :uma lógica equacional local

The intervalar arithmetic well-known as arithmetic of Moore, doesn't possess the same properties of the real numbers, and for this reason, it is confronted with a problem of operative nature, when we want to solve intervalar equations as extension of real equations by the usual equality and of the intervalar arithmetic, for this not to possess the inverse addictive, as well as, the property of the distributivity of the multiplication for the sum doesn t be valid for any triplet of intervals. The lack of those properties disables the use of equacional logic, so much for the resolution of an intervalar equation using the same, as for a representation of a real equation, and still, for the algebraic verification of properties of a computational system, whose data are real numbers represented by intervals. However, with the notion of order of information and of approach on intervals, introduced by Acióly[6] in 1991, the idea of an intervalar equation appears to represent a real equation satisfactorily, since the terms of the intervalar equation carry the information about the solution of the real equation. In 1999, Santiago proposed the notion of simple equality and, later on, local equality for intervals [8] and [33]. Based on that idea, this dissertation extends Santiago's local groups for local algebras, following the idea of Σ-algebras according to (Hennessy[31], 1988) and (Santiago[7], 1995). One of the contributions of this dissertation, is the theorem 5.1.3.2 that it guarantees that, when deducing a local Σ-equation E t t in the proposed system SDedLoc(E), the interpretations of t and t' will be locally the same in any local Σ-algebra that satisfies the group of fixed equations local E, whenever t and t have meaning in A. This assures to a kind of safety between the local equacional logic and the local algebras

Especificação do tipo intervalar parametrizado em CASL

The interval datatype applications in several areas is important to construct a interval type reusable, i.e., a interval constructor can be applied to any datatype and get intervals this datatype. Since the interval is, of certain form, a set of elements limited for two bounds, left and right, with a order notions, then it s reasonable that interval constructor enclose datatypes with partial order. On the order hand, what we want is work with interval of any datatype like this we work with this datatype then. it s important to guarantee the properties of the datatype when maps to interval of this datatype. Thus, the interval constructor get a theory to parametrized interval type, i.e., a interval with generics parameters (for example rational, real, complex). Sometimes, the interval application in some algebras doesn t guarantee the mainutenance of their properties, for example, when we use interval of real, that satisfies the field properties, it doesn t guarantee the distributivity propertie. A form to surpass this problem Santiago introduced the local equality theory that weakened the notion of strong equality, and thus, allowing some properties are local keeped, what can be discard before. The interval arithmetic generalization aim to apply the interval constructor on ordered algebras weakened for local equality with the purpose of the keep their properties. How the intervals are important in applications with continuous data, it s interesting specify that theory using a specification language that supply a system development using intervals of form disciplined, trustworth and safe. Currently, the algebraic specification language, based in math models, have been use to that intention often. We choose CASL (Common Algebraic Specification Language) among others languages because CASL has several characteristics excellent to parametrized interval type, such as, provide parcialiy and parametrization

Detecção de áreas degradadas na sub-bacia hidrográfica do rio taperoá/pb, utilizando parâmetros físicos dos sensores modis/terra e tm/landsat

This study includes the results of the analysis of areas susceptible to degradation by remote sensing in semi-arid region, which is a matter of concern and affects the whole population and the catalyst of this process occurs by the deforestation of the savanna and improper practices by the use of soil. The objective of this research is to use biophysical parameters of the MODIS / Terra and images TM/Landsat-5 to determine areas susceptible to degradation in semi-arid Paraiba. The study area is located in the central interior of Paraíba, in the sub-basin of the River Taperoá, with average annual rainfall below 400 mm and average annual temperature of 28 ° C. To draw up the map of vegetation were used TM/Landsat-5 images, specifically, the composition 5R4G3B colored, commonly used for mapping land use. This map was produced by unsupervised classification by maximum likelihood. The legend corresponds to the following targets: savanna vegetation sparse and dense, riparian vegetation and exposed soil. The biophysical parameters used in the MODIS were emissivity, albedo and vegetation index for NDVI (NDVI). The GIS computer programs used were Modis Reprojections Tools and System Information Processing Georeferenced (SPRING), which was set up and worked the bank of information from sensors MODIS and TM and ArcGIS software for making maps more customizable. Initially, we evaluated the behavior of the vegetation emissivity by adapting equation Bastiaanssen on NDVI for spatialize emissivity and observe changes during the year 2006. The albedo was used to view your percentage of increase in the periods December 2003 and 2004. The image sensor of Landsat TM were used for the month of December 2005, according to the availability of images and in periods of low emissivity. For these applications were made in language programs for GIS Algebraic Space (LEGAL), which is a routine programming SPRING, which allows you to perform various types of algebras of spatial data and maps. For the detection of areas susceptible to environmental degradation took into account the behavior of the emissivity of the savanna that showed seasonal coinciding with the rainy season, reaching a maximum emissivity in the months April to July and in the remaining months of a low emissivity . With the images of the albedo of December 2003 and 2004, it was verified the percentage increase, which allowed the generation of two distinct classes: areas with increased variation percentage of 1 to 11.6% and the percentage change in areas with less than 1 % albedo. It was then possible to generate the map of susceptibility to environmental degradation, with the intersection of the class of exposed soil with varying percentage of the albedo, resulting in classes susceptibility to environmental degradation

CYCLIC CODES THROUGH B[X], B[X; 1/kp Z(0)] and B[X; 1/p(k) Z(0)]: A COMPARISON

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

LOSS of EXPONENTIAL STABILITY FOR A THERMOELASTIC SYSTEM WITH MEMORY

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

SU(2,R)(q) symmetries of Non-Abelian Toda theories

The classical and quantum algebras of a class of conformal NA-Toda models are studied. It is shown that the SL(2,R)(q) Poisson brackets algebra generated by certain chiral and antichiral charges of the nonlocal currents and the global U(1) charge appears as an algebra of the symmetries of these models. (C) 1998 Elsevier B.V. B.V. All rights reserved.

Combinatorial identities and quantum state densities of supersymmetric sigma models on N-folds

There is a remarkable connection between the number of quantum states of conformal theories and the sequence of dimensions of Lie algebras. In this paper, we explore this connection by computing the asymptotic expansion of the elliptic genus and the microscopic entropy of black holes associated with (supersymmetric) sigma models. The new features of these results are the appearance of correct prefactors in the state density expansion and in the coefficient of the logarithmic correction to the entropy.

Classification of states in S0(8) proton-neutron pairing model

lsoscalar (T = 0) plus isovector (T = 1) pairing Hamiltonian in LS-coupling. which is important for heavy N = Z nuclei, is solvable in terms of a SO(8) Lie algebra for three special values of the mixing parameter that measures the competition between the T = 0 aid T = 1 pairing. The SO(8) algebra is generated, amongst others, by the S = 1, T = 0 and S = 0, T = 1 pair creation and annihilation operators and corresponding to the three values of the mixing parameter, there are three chains of subalgebras: SO(8) superset of SOST (6) superset of SOS(3) circle times SOT(3), SO(8) superset of [SOS(5) superset of SOS(3)] circle times SOT(3) and SO(8) superset of [SOT(5) superset of SOT(3)] circle times SOS(3). Shell model Lie algebras, with only particle number conserving generators, that are complementary to these three chains of subalgebras are identified and they are used in the classification of states for a given number of nucleons. The classification problem is solved explicitly tor states with SO(8) seniority nu = 0, 1, 2, 3 and 4. Using them, hand structures in isospin space are identified for states with nu = 0, 1, 2 and 3. (c) 2005 Elsevier B.V. All rights reserved.

Solitons from dressing in an algebraic approach to the constrained KP hierarchy

The algebraic matrix hierarchy approach based on affine Lie sl(n) algebras leads to a variety of 1 + 1 soliton equations. By varying the rank of the underlying sl(n) algebra as well as its gradation in the affine setting, one encompasses the set of the soliton equations of the constrained KP hierarchy.The soliton solutions are then obtained as elements of the orbits of the dressing transformations constructed in terms of representations of the vertex operators of the affine sl(n) algebras realized in the unconventional gradations. Such soliton solutions exhibit non-trivial dependence on the KdV (odd) time flows and KP (odd and even) time Bows which distinguishes them From the conventional structure of the Darboux-Backlund-Wronskian solutions of the constrained KP hierarchy.

Simple derivation of general Fierz-type identities

General Fierz-type identities are examined and their well-known connection with completeness relations in matrix vector spaces is shown. In particular, I derive the chiral Fierz identities in a simple and systematic way by using a chiral basis for the complex 4 X 4 matrices. Other completeness relations for the fundamental representations of SU(N) algebras can be extracted using the same reasoning. (c) 2005 American Association of Physics Teachers.

On Clifford subalgebras, spacetime splittings and applications

Z(2)-gradings of Clifford algebras are reviewed and we shall be concerned with an alpha-grading based on the structure of inner automorphisms, which is closely related to the spacetime splitting, if we consider the standard conjugation map automorphism by an arbitrary, but fixed, splitting vector. After briefly sketching the orthogonal and parallel components of products of differential forms, where we introduce the parallel [orthogonal] part as the space [time] component, we provide a detailed exposition of the Dirac operator splitting and we show how the differential operator parallel and orthogonal components are related to the Lie derivative along the splitting vector and the angular momentum splitting bivector. We also introduce multivectorial-induced alpha-gradings and present the Dirac equation in terms of the spacetime splitting, where the Dirac spinor field is shown to be a direct sum of two quaternions. We point out some possible physical applications of the formalism developed.

Discretizing the deformation parameter in the su(q)(2) quantum algebra

Inspired in recent works of Biedenham [1, 2] on the realization of the q-algebra su(q)(2), We show in this note that the condition [2j + 1](q) = N-q(j) = integer, implies the discretization of the deformation parameter alpha, where q = e(alpha). This discretization replaces the continuum associated to ct by an infinite sequence alpha(1), alpha(2), alpha(3),..., obtained for the values of j, which label the irreps of su(q)(2). The algebraic properties of N-q(j) are discussed in some detail, including its role as a trace, which conducts to the Clebsch-Gordan series for the direct product of irreps. The consequences of this process of discretization are discussed and its possible applications are pointed out. Although not a necessary one, the present prescription is valuable due to its algebraic simplicity especially in the regime of appreciable values of alpha.