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Optimal investment under stochastic volatility and power type utility function

Benchaabane, Abbes, Benchettah, Azzedine (2011)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20.In this work we will study a problem of optimal investment in financial markets with stochastic volatility with small parameter. We used the averaging method of Bogoliubov for limited development for the optimal strategies when the small parameter of the model tends to zero and the limit for the optimal strategy and demonstrated the convergence of these optimal strategies.

Optimal stability and instability results for a class of nearly integrable Hamiltonian systems

Massimiliano Berti, Luca Biasco, Philippe Bolle (2002)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni

We consider nearly integrable, non-isochronous, a-priori unstable Hamiltonian systems with a (trigonometric polynomial) O ⁢ µ -perturbation which does not preserve the unperturbed tori. We prove the existence of Arnold diffusion with diffusion time T d = O ⁢ 1 / μ ⁢ log ⁡ 1 / μ by a variational method which does not require the existence of «transition chains of tori» provided by KAM theory. We also prove that our estimate of the diffusion time T d is optimal as a consequence of a general stability result proved via classical perturbation...

Optimalité systolique infinitésimale de l’oscillateur harmonique

J.C. Álvarez Paiva, Florent Balacheff (2008/2009)

Séminaire de théorie spectrale et géométrie

Nous étudions les aspects infinitésimaux du problème suivant. Soit H un hamiltonien de ℝ 2 n dont la surface d’énergie { H = 1 } borde un domaine compact et étoilé de volume identique à celui de la boule unité de ℝ 2 n . La surface d’énergie { H = 1 } contient-elle une orbite périodique du système hamiltonien q ˙ = ∂ H ∂ p p ˙ = - ∂ H ∂ q dont l’action soit au plus π  ?

Optimisation of time-scheduled regimen for anti-cancer drug infusion

Claude Basdevant, Jean Clairambault, Francis Lévi (2005)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

The chronotherapy concept takes advantage of the circadian rhythm of cells physiology in maximising a treatment efficacy on its target while minimising its toxicity on healthy organs. The object of the present paper is to investigate mathematically and numerically optimal strategies in cancer chronotherapy. To this end a mathematical model describing the time evolution of efficiency and toxicity of an oxaliplatin anti-tumour treatment has been derived. We then applied an optimal control technique...

Optimisation of time-scheduled regimen for anti-cancer drug infusion

Claude Basdevant, Jean Clairambault, Francis Lévi (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

The chronotherapy concept takes advantage of the circadian rhythm of cells physiology in maximising a treatment efficacy on its target while minimising its toxicity on healthy organs. The object of the present paper is to investigate mathematically and numerically optimal strategies in cancer chronotherapy. To this end a mathematical model describing the time evolution of efficiency and toxicity of an oxaliplatin anti-tumour treatment has been derived. We then applied an optimal control...

Orbit equivalence and Kakutani equivalence with Sturmian subshifts

P. Dartnell, F. Durand, A. Maass (2000)

Studia Mathematica

Using dimension group tools and Bratteli-Vershik representations of minimal Cantor systems we prove that a minimal Cantor system and a Sturmian subshift are topologically conjugate if and only if they are orbit equivalent and Kakutani equivalent.

Orbits connecting singular points in the plane

Changming Ding (2005)

Czechoslovak Mathematical Journal

This paper concerns the global structure of planar systems. It is shown that if a positively bounded system with two singular points has no closed orbits, the set of all bounded solutions is compact and simply connected. Also it is shown that for such a system the existence of connecting orbits is tightly related to the behavior of homoclinic orbits. A necessary and sufficient condition for the existence of connecting orbits is given. The number of connecting orbits is also discussed.

Orbits of families of vector fields on subcartesian spaces

Jedrzej Śniatycki (2003)

Annales de l'Institut Fourier

Orbits of complete families of vector fields on a subcartesian space are shown to be smooth manifolds. This allows a description of the structure of the reduced phase space of a Hamiltonian system in terms of the reduced Poisson algebra. Moreover, one can give a global description of smooth geometric structures on a family of manifolds, which form a singular foliation of a subcartesian space, in terms of objects defined on the corresponding family of vector fields. Stratified...

Ordered group invariants for one-dimensional spaces

Inhyeop Yi (2001)

Fundamenta Mathematicae

We show that the Bruschlinsky group with the winding order is a homomorphism invariant for a class of one-dimensional inverse limit spaces. In particular we show that if a presentation of an inverse limit space satisfies the Simplicity Condition, then the Bruschlinsky group with the winding order of the inverse limit space is a dimension group and is a quotient of the dimension group with the standard order of the adjacency matrices associated with the presentation.

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