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- Araaya, Tsehaye, 1962-
(författare)
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The Symmetric Meixner-Pollaczek polynomials
- 2003
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- The Symmetric Meixner-Pollaczek polynomials are considered. We denote these polynomials in this thesis by pn(λ)(x) instead of the standard notation pn(λ) (x/2, π/2), where λ > 0. The limiting case of these sequences of polynomials pn(0) (x) =limλ→0 pn(λ)(x), is obtained, and is shown to be an orthogonal sequence in the strip, S = {z ∈ ℂ : −1≤ℭ (z)≤1}.From the point of view of Umbral Calculus, this sequence has a special property that makes it unique in the Symmetric Meixner-Pollaczek class of polynomials: it is of convolution type. A convolution type sequence of polynomials has a unique associated operator called a delta operator. Such an operator is found for pn(0) (x), and its integral representation is developed. A convolution type sequence of polynomials may have associated Sheffer sequences of polynomials. The set of associated Sheffer sequences of the sequence pn(0)(x) is obtained, and is foundto be ℙ = {{pn(λ) (x)} =0 : λ ∈ R}. The major properties of these sequences of polynomials are studied.The polynomials {pn(λ) (x)}∞n=0, λ < 0, are not orthogonal polynomials on the real line with respect to any positive real measure for failing to satisfy Favard’s three term recurrence relation condition. For every λ ≤ 0, an associated nonstandard inner product is defined with respect to which pn(λ)(x) is orthogonal. Finally, the connection and linearization problems for the Symmetric Meixner-Pollaczek polynomials are solved. In solving the connection problem the convolution property of the polynomials is exploited, which in turn helps to solve the general linearization problem.
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| 4. |
- Ekström, Erik, 1977-
(författare)
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Selected Problems in Financial Mathematics
- 2004
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. We also study qualitative behavior of different optimal stopping boundaries appearing in option pricing.In Paper I a new condition on the contract function of an American option is provided under which the option price increases monotonically in the volatility. It is also shown that American option prices are continuous in the volatility.In Paper II an explicit pricing formula for the perpetual American put option in the Constant Elasticity of Variance model is derived. Moreover, different properties of this price are studied.Paper III deals with the Russian option with a finite time horizon. It is shown that the value of the Russian option solves a certain free boundary problem. This information is used to analyze the optimal stopping boundary.A study of perpetual game options is performed in Paper IV. One of the main results provides a condition under which the value of the option is increasing in the volatility.In Paper V options written on several underlying assets are considered. It is shown that, within a large class of models, the only model for the stock prices that assigns convex option prices to all convex contract functions is geometric Brownian motion.Finally, in Paper VI it is shown that the optimal stopping boundary for the American put option is convex in the standard Black-Scholes model.
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- Fill, James A., et al.
(författare)
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Quicksort Asymptotics
- 2001
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Rapport (övrigt vetenskapligt/konstnärligt)
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| 8. |
- Gabrysch, Katja
(författare)
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On Directed Random Graphs and Greedy Walks on Point Processes
- 2016
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of an introduction and five papers, of which two contribute to the theory of directed random graphs and three to the theory of greedy walks on point processes. We consider a directed random graph on a partially ordered vertex set, with an edge between any two comparable vertices present with probability p, independently of all other edges, and each edge is directed from the vertex with smaller label to the vertex with larger label. In Paper I we consider a directed random graph on ℤ2 with the vertices ordered according to the product order and we show that the limiting distribution of the centered and rescaled length of the longest path from (0,0) to (n, [na] ), a<3/14, is the Tracy-Widom distribution. In Paper II we show that, under a suitable rescaling, the closure of vertex 0 of a directed random graph on ℤ with edge probability n−1 converges in distribution to the Poisson-weighted infinite tree. Moreover, we derive limit theorems for the length of the longest path of the Poisson-weighted infinite tree. The greedy walk is a deterministic walk on a point process that always moves from its current position to the nearest not yet visited point. Since the greedy walk on a homogeneous Poisson process on the real line, starting from 0, almost surely does not visit all points, in Paper III we find the distribution of the number of visited points on the negative half-line and the distribution of the index at which the walk achieves its minimum. In Paper IV we place homogeneous Poisson processes first on two intersecting lines and then on two parallel lines and we study whether the greedy walk visits all points of the processes. In Paper V we consider the greedy walk on an inhomogeneous Poisson process on the real line and we determine sufficient and necessary conditions on the mean measure of the process for the walk to visit all points.
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- Ghebreamlak, Kidane Asrat, 1975-
(författare)
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Analysis of Algorithms for Combinatorial Auctions and Related Problems
- 2005
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- The thesis consists of four papers on combinatorial auctions and a summary. The first part is more of a practical nature and contains two papers. In the first paper, we study the performance of a caching technique in an optimal algorithm for a multi-unit combinatorial auction.In the second paper, we compare the revenues from a second-price combinatorial auction against a second-price one-shot simultaneous auction. In particular, we show that when the synergy parameter is small, the combinatorial auction gives a higher expected revenue than the one-shot. This is in contrast to an earliear result by Krishna and Rosenthal. We also compare the two mechanisms under the assumption that bidders are risk-averse. Such bidders are more sensitive to financial loss (winner's curse) that they tend to bid less aggressively, which leads to lower revenues. Since a direct analytical approach turns out to be difficult, we present numerical results that show which auction mechanism maximizes the seller's revenue depending on the values of synergy and aversion parameter.The second part is more theoretical. Here, we analyze the asymptotic performance of a greedy algorithm for a problem inspired by combinatorial auctions. In particular, we consider a special case in which every bid contains exactly 3 items, and use a Poisson process to model an auction with a random (Poisson) No. of bids. For this restricted case, winner determination problem is equivalent to a maximal 3-set packing on a weighted hypergraph, and hence NP-complete. However, the greedy algorithm approximates this special case within a factor of 3.In the third paper, we compute the asymptotic expected size of the partial allocation and its corresponding expected total revenue from the greedy algorithm, for some distribution of bid prices.In the final paper, we study the case of a deterministic number of bids, which is proportional to the number of distinguishable items in the auction, say M. Then, we prove that the number of bids allocated, suitably normalized, converges to a Normal random variable as M goes to infinity. As a prelude, we also prove that, both the number of bids allocated and those submitted, again suitably normalized, jointly converge in distribution to a continuous 2-dimensional Gaussian process as M goes to infinity.
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