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.

On Osgood theorem in Banach spaces

Let $X$ be a real Banach space, $\omega:[0,+\infty)\to\R$ be an increasing continuous function such that $\omega(0)=0$ and $\omega(t+s)\leq\omega(t)+\omega(s)$ for all $t,s\in[0,+\infty)$. By the Osgood theorem, if $\int_{0}^1\frac{dt}{\omega(t)}=\infty$, then for any $(t_0,x_0)\in R\times X$ and any continuous map $f: R\times X\to X$ and such that $\|f(t,x)-f(t,y)\|\leq\omega(\|x-y\|)$ for all $t\in R$, $x,y\in X$, the Cauchy problem $\dot x(t)=f(t,x(t))$, $(t_0)=x_0$ has a unique solution in a neighborhood of $t_0$ . We prove that if $X$ has a complemented subspace with an unconditional Schauder basis and $\int_{0}^1\frac{dt}{\omega(t)}

Analyticity of smooth eigenfunctions and spectral analysis of the Gauss map

We provide a sufficient condition of analyticity of infinitely differentiable eigenfunctions of operators of the form Uf(x) = integral a(x, y) f(b( x, y)) mu(dy) acting on functions f: [u, v] --> C ( evolution operators of one-dimensional dynamical systems and Markov processes have this form). We estimate from below the region of analyticity of the eigenfunctions and apply these results for studying the spectral properties of the Frobenius-Perron operator of the continuous fraction Gauss map. We prove that any infinitely differentiable eigenfunction f of this Frobenius-Perron operator, corresponding to a non-zero eigenvalue admits a (unique) analytic extension to the set C\(-infinity, 1]. Analyzing the spectrum of the Frobenius Perron operator in spaces of smooth functions, we extend significantly the domain of validity of the Mayer and Ropstorff asymptotic formula for the decay of correlations of the Gauss map.

Counterexample to Peano's theorem in infinite-dimensional F '-spaces

Let $E$ be a nonnormable Frechet space, and let $E'$ be the space of all continuous linear functionals on $E$ in the strong topology. A continuous mapping $f : E' \to E'$ such that for any $t_0\in R$ and $x_0\in E'$, the Cauchy problem $\dot x= f(x)$, x(t_0) = x_0$ has no solutions is constructed.