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.

Riccati-type equations, generalised WZNW equations, and multidimensional Toda systems

We associate to an arbitrary Z-gradation of the Lie algebra of a Lie group a system of Riccati-type first order differential equations. The particular cases under consideration are the ordinary Riccati and the matrix Riccati equations. The multidimensional extension of these equations is given. The generalisation of the associated Redheffer-Reid differential systems appears in a natural way. The connection between the Toda systems and the Riccati-type equations in lower and higher dimensions is established. Within this context the integrability problem for those equations is studied. As an illustration, some examples of the integrable multidimensional Riccati-type equations related to the maximally nonabelian Toda systems are given.

General soliton matrices in the Riemann-Hilbert problem for integrable nonlinear equations

We derive the soliton matrices corresponding to an arbitrary number of higher-order normal zeros for the matrix Riemann-Hilbert problem of arbitrary matrix dimension, thus giving the complete solution to the problem of higher-order solitons. Our soliton matrices explicitly give all higher-order multisoliton solutions to the nonlinear partial differential equations integrable through the matrix Riemann-Hilbert problem. We have applied these general results to the three-wave interaction system, and derived new classes of higher-order soliton and two-soliton solutions, in complement to those from our previous publication [Stud. Appl. Math. 110, 297 (2003)], where only the elementary higher-order zeros were considered. The higher-order solitons corresponding to nonelementary zeros generically describe the simultaneous breakup of a pumping wave (u(3)) into the other two components (u(1) and u(2)) and merger of u(1) and u(2) waves into the pumping u(3) wave. The two-soliton solutions corresponding to two simple zeros generically describe the breakup of the pumping u(3) wave into the u(1) and u(2) components, and the reverse process. In the nongeneric cases, these two-soliton solutions could describe the elastic interaction of the u(1) and u(2) waves, thus reproducing previous results obtained by Zakharov and Manakov [Zh. Eksp. Teor. Fiz. 69, 1654 (1975)] and Kaup [Stud. Appl. Math. 55, 9 (1976)]. (C) 2003 American Institute of Physics.

Numerical simulation of Ginzburg-Landau-Langevin equations

This work is concerned with non-equilibrium phenomena, with focus on the numerical simulation of the relaxation of non-conserved order parameters described by stochastic kinetic equations known as Ginzburg-Landau-Langevin (GLL) equations. We propose methods for solving numerically these type of equations, with additive and multiplicative noises. Illustrative applications of the methods are presented for different GLL equations, with emphasis on equations incorporating memory effects.

Uniform exponential dichotomy and continuity of attractors for singularly perturbed damped wave equations

For eta >= 0, we consider a family of damped wave equations u(u) + eta Lambda 1/2u(t) + au(t) + Lambda u = f(u), t > 0, x is an element of Omega subset of R-N, where -Lambda denotes the Laplacian with zero Dirichlet boundary condition in L-2(Omega). For a dissipative nonlinearity f satisfying a suitable growth restrictions these equations define on the phase space H-0(1)(Omega) x L-2(Omega) semigroups {T-eta(t) : t >= 0} which have global attractors A(eta) eta >= 0. We show that the family {A(eta)}(eta >= 0), behaves upper and lower semi-continuously as the parameter eta tends to 0(+).

ALPHA-CONTRACTIONS AND ATTRACTORS FOR DISSIPATIVE SEMILINEAR HYPERBOLIC-EQUATIONS AND SYSTEMS

In this paper we discuss the existence of compact attractor for the abstract semilinear evolution equation u = Au + f (t, u); the results are applied to damped partial differential equations of hyperbolic type. Our approach is a combination of Liapunov method with the theory of alpha-contractions.

On bifurcation and symmetry of solutions of symmetric nonlinear equations with odd-harmonic forcings

In this work we study existence, bifurcation, and symmetries of small solutions of the nonlinear equation Lx = N(x, p, epsilon) + mu f, which is supposed to be equivariant under the action of a group OHm, and where f is supposed to be OHm-invariant. We assume that L is a linear operator and N(., p, epsilon) is a nonlinear operator, both defined in a Banach space X, with values in a Banach space Z, and p, mu, and epsilon are small real parameters. Under certain conditions we show the existence of symmetric solutions and under additional conditions we prove that these are the only feasible solutions. Some examples of nonlinear ordinary and partial differential equations are analyzed. (C) 1995 Academic Press, Inc.

Necessary conditions of optimality for state constrained infinite horizon differential inclusions

This article presents and discusses necessary conditions of optimality for infinite horizon dynamic optimization problems with inequality state constraints and set inclusion constraints at both endpoints of the trajectory. The cost functional depends on the state variable at the final time, and the dynamics are given by a differential inclusion. Moreover, the optimization is carried out over asymptotically convergent state trajectories. The novelty of the proposed optimality conditions for this class of problems is that the boundary condition of the adjoint variable is given as a weak directional inclusion at infinity. This improves on the currently available necessary conditions of optimality for infinite horizon problems. © 2011 IEEE.

Description of the attainable sets of one-dimensional differential inclusions

The role played by the attainable set of a differential inclusion, in the study of dynamic control systems and fuzzy differential equations, is widely acknowledged. A procedure for estimating the attainable set is rather complicated compared to the numerical methods for differential equations. This article addresses an alternative approach, based on an optimal control tool, to obtain a description of the attainable sets of differential inclusions. In particular, we obtain an exact delineation of the attainable set for a large class of nonlinear differential inclusions.

Differential cross sections for elastic and inelastic positronium-hydrogen-atom scattering

A time reversal symmetric regularized electron exchange model was used to elastic scattering, target elastic Ps excitations and target inelastic excitation of hydrogen in a five state coupled model. A singlet Ps-H-S-wave resonance at 4.01 eV of width 0.15 eV and a P-wave resonance at 5.08 eV of width 0.004 eV were obtained using this model. The effect on the convergence of the coupled-channel scheme due to the inclusion of the excited Ps and H states was also analyzed.

Continuity of Dynamical Structures for Nonautonomous Evolution Equations Under Singular Perturbations

In this paper we study the continuity of invariant sets for nonautonomous infinite-dimensional dynamical systems under singular perturbations. We extend the existing results on lower-semicontinuity of attractors of autonomous and nonautonomous dynamical systems. This is accomplished through a detailed analysis of the structure of the invariant sets and its behavior under perturbation. We prove that a bounded hyperbolic global solutions persists under singular perturbations and that their nonlinear unstable manifold behave continuously. To accomplish this, we need to establish results on roughness of exponential dichotomies under these singular perturbations. Our results imply that, if the limiting pullback attractor of a nonautonomous dynamical system is the closure of a countable union of unstable manifolds of global bounded hyperbolic solutions, then it behaves continuously (upper and lower) under singular perturbations.

Influence of the magnetization damping on dynamic hysteresis loops in single domain particles

This article reports on the influence of the magnetization damping on dynamic hysteresis loops in single-domain particles with uniaxial anisotropy. The approach is based on the Neel-Brown theory and the hierarchy of differential recurrence relations, which follow from averaging over the realizations of the stochastic Landau-Lifshitz equation. A new method of solution is proposed, where the resulting system of differential equations is solved directly using optimized algorithms to explore its sparsity. All parameters involved in uniaxial systems are treated in detail, with particular attention given to the frequency dependence. It is shown that in the ferromagnetic resonance region, novel phenomena are observed for even moderately low values of the damping. The hysteresis loops assume remarkably unusual shapes, which are also followed by a pronounced reduction of their heights. Also demonstrated is that these features remain for randomly oriented ensembles and, moreover, are approximately independent of temperature and particle size. (C) 2012 American Institute of Physics. [doi:10.1063/1.3684629]

Periodic averaging theorems for various types of equations

We prove a periodic averaging theorem for generalized ordinary differential equations and show that averaging theorems for ordinary differential equations with impulses and for dynamic equations on time scales follow easily from this general theorem. We also present a periodic averaging theorem for a large class of retarded equations.

On a new class of abstract integral equations and applications

In this paper we introduce a new class of abstract integral equations which enables us to study in a unified manner several different types of differential equations. (C) 2012 Elsevier Inc. All rights reserved.

EXISTENCE OF SOLUTIONS FOR A FRACTIONAL NEUTRAL INTEGRO-DIFFERENTIAL EQUATION WITH UNBOUNDED DELAY

In this article, we study the existence of mild solutions for fractional neutral integro-differential equations with infinite delay.