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On the Use of Policy Iteration as an Easy Way of Pricing American Options
American Option Linear Complementarity Problem
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2011/3/4
Finite di erence or nite element approximations of the value function of an American option usually result in discrete linear complementarity problems (LCP).
Korovkin type theorem and iterates of certain positive linear operators
Iterates of operators degree of approximation K-functionals modulus of smoothness
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2011/1/18
In this paper we prove Korovkin type theorem for iterates of general positive linear operators T :C [0, 1] ! C [0, 1] and derive quantitative estimates in terms of modulus of smoothness. In particular...
Multiscale Homogenizations for first-order Hamilton-Jacobi-Bellman Equations
Multiscale Homogenizations first-order Hamilton-Jacobi-Bellman Equations
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2011/2/22
In this paper, we are concerned with the asymptotic behaviors of the solu-tions u"(x, t) and u"(x) of the first-order Hamilton-Jacobi-Bellman equations (H-J-Bs in short) as " = ("1, ..., "n, ..., "N)∈...
Invariant higher-order variational problems
Invariant higher-order variational problems
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2011/3/3
We investigate higher-order geometric k-splines for template matching on Lie groups. This is motivated by the need to apply diffeomorphic template matching to a series of images,e.g., in longitudinal ...
The p-support of a holonomic D-module is Lagrangian, for p large enough
p-support of a holonomic D-module Lagrangian large enough
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2011/2/22
Cette thèse traite d’algèbre et de géométrie algébrique, plus précisément de théorie algébrique des D-modules, avec une forte présence de la caractéristique positive. On sait le rôle joué par la...
Lagrangian blow-ups, blow-downs, and applications to real packing
Lagrangian blow-ups blow-downs applications real packing
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2011/1/18
Given a symplectic manifold (M; !) and a Lagrangian submanifold L, we construct versions of the symplectic blow-up and blow-down which are defined relative to L.
Parent formulation at the Lagrangian level
Parent formulation Lagrangian level
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2011/3/2
The recently proposed first-order parent formalism at the level of equations of motion is specialized to the case of Lagrangian systems. It is shown that for diffeomorphism-invariant theories the pare...
On the Stationary Distribution of Iterative Imputations
Multiple imputation Markov chain Monte Carlo
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2011/1/21
Iterative imputation, in which variables are imputed one at a time each given a model predicting from all the others, is a popular technique that can be convenient and exible, as it replaces a potenti...
An Iterative Construction of Irreducible Polynomials Reducible Modulo Every Prime
Iterative Construction Irreducible Polynomials Reducible Modulo Every Prime
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2011/1/21
We give a method of constructing polynomials of arbitrarily large degree irreducible over a global field F but reducible modulo every finite prime of F.The method consists of finding quadratic f ∈ F[x...
On the Support of Minimizers of Causal Variational Principles
Support of Minimizers Causal Variational Principles
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2011/1/19
A class of causal variational principles on a compact manifold is introduced and analyzed both numerically and analytically. It is proved under general assumptions that the support of a minimizing mea...
Invariant higher-order variational problems
Invariant higher-order variational problems
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2010/12/28
We investigate higher-order geometric k-splines for template matching on Lie groups. This
is motivated by the need to apply diffeomorphic template matching to a series of images,
e.g., in longitudin...
Computing material fronts with a Lagrange-Projection approach
Computing material fronts Lagrange-Projection approach
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2011/2/24
This paper reports investigations on the computation of mate-rial fronts in multi-fluid models using a Lagrange-Projection ap-proach. Various forms of the Projection step are considered. Par-ticular a...
Lagrangian subbundles of symplectic bundles over a curve
Symplectic bundle over a curve Lagrangian subbundle
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2011/1/19
A symplectic bundle over an algebraic curve has a natural invariant sLag determined by the maximal degree of its Lagrangian subbundles. This can be viewed as a generalization of the classical Segre in...
Iterative character constructions for algebra groups
Iterative character constructions algebra groups
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2011/1/20
We construct a family of orthogonal characters of an algebra group which decompose the supercharacters defined by Diaconis and Isaacs [6]. Like supercharacters, these characters are
given by nonnegat...
A recursion identity for formal iterated logarithms and iterated exponentials
recursion identity formal iterated logarithms iterated exponentials
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2011/1/18
We prove a recursive identity involving formal iterated logarithms and for-mal iterated exponentials. These iterated logarithms and exponentials appear in a nat-ural extension of the logarithmic forma...