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Solutions to a class of polynomially generalized Bers–Vekua equations using Clifford analysis

Min Ku;  Uwe Kähler;  Paula Cerejeiras — 2012

Archivum Mathematicum

In this paper a class of polynomially generalized Vekua–type equations and of polynomially generalized Bers–Vekua equations with variable coefficients defined in a domain of Euclidean space are discussed. Using the methods of Clifford analysis, first the Fischer–type decomposition theorems for null solutions to these equations are obtained. Then we give, under some conditions, the solutions to the polynomially generalized Bers–Vekua equation with variable coefficients. Finally, we present the structure...

Portfolio optimization for pension plans under hybrid stochastic and local volatility

Sung-Jin Yang;  Jeong-Hoon Kim;  Min-Ku Lee — 2015

Applications of Mathematics

Based upon an observation that it is too restrictive to assume a definite correlation of the underlying asset price and its volatility, we use a hybrid model of the constant elasticity of variance and stochastic volatility to study a portfolio optimization problem for pension plans. By using asymptotic analysis, we derive a correction to the optimal strategy for the constant elasticity of variance model and subsequently the fine structure of the corrected optimal strategy is revealed. The result...

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