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The Kurzweil integral in financial market modeling

Pavel Krejčí, Harbir Lamba, Giselle Antunes Monteiro, Dmitrii Rachinskii (2016)

Mathematica Bohemica

Certain financial market strategies are known to exhibit a hysteretic structure similar to the memory observed in plasticity, ferromagnetism, or magnetostriction. The main difference is that in financial markets, the spontaneous occurrence of discontinuities in the time evolution has to be taken into account. We show that one particular market model considered here admits a representation in terms of Prandtl-Ishlinskii hysteresis operators, which are extended in order to include possible discontinuities...

The Lamé family of connections on the projective line

Frank Loray, Marius van der Put, Felix Ulmer (2008)

Annales de la faculté des sciences de Toulouse Mathématiques

This paper deals with rank two connections on the projective line having four simple poles with prescribed local exponents 1/4 and - 1 / 4 . This Lamé family of connections has been extensively studied in the literature. The differential Galois group of a Lamé connection is never maximal : it is either dihedral (finite or infinite) or reducible. We provide an explicit moduli space of those connections having a free underlying vector bundle and compute the algebraic locus of those reducible connections....

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