Mathematics Commons^™

A Stochastic Maximum Principle For Singular Mean-Field Regime-Switching Optimal Control, Maalvladedon Ganet Some, Edward Korveh

Journal of Stochastic Analysis

In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular and a singular control, and the coefficient associated with the singular component is allowed to be regime dependent. We derive both necessary and sufficient singular stochastic maximum principles. Because the regular control domain is not assumed to be convex, we employ the spike variation technique and obtain the necessary maximum principle by introducing a second-order adjoint process. As an application, we use the main theoretical results to …

Generalized Delayed Black–Scholes Formula, Bi Gole Hubert Le, Auguste Aman

Journal of Stochastic Analysis

The aim of this paper is to derive an explicit pricing formula for European options when the underlying asset follows a linear generalized delay differential equation in two distinct financial markets. The pricing methodology is based on the construction of an equivalent martingale measure using Girsanov’s theorem. Our models preserve both the no-arbitrage condition and market completeness. As such, this work extends the framework previously developed by Arriojas et al. in [16], providing a broader class of delay-based option pricing models.

Robust Optimal Consumption, Investment And Reinsurance For Recursive Preferences, Elizabeth Dadzie, Wilfried Kuissi Kamdem, Marcel Ndengo

Journal of Stochastic Analysis

This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer’s surplus follows the diffusion approximation of the Cramér-Lundberg model, and the insurer can purchase proportional reinsurance. Model ambiguity is characterised by a class of equivalent probability measures, and the insurer, being ambiguity-averse, aims to maximise utility under the worst-case scenario. By solving the associated coupled forward-backward stochastic differential equation (FBSDE), we derive closed-form solutions for the optimal strategies and the value function. Our analysis reveals how ambiguity aversion, risk aversion, and the elasticity of intertemporal substitution …

An Itô Integral For A Two-Sided Lévy Process, Raluca Balan, Jaime Garza

Journal of Stochastic Analysis

In this article, we construct an Itô integral with respect to a two-sided finite-variance Lévy process {L(x)}x∈R, without a Gaussian component. Using Rosenthal inequality for discrete-time martingales, we give an estimate for the p-th moment of this integral, for any even integer p ≥ 2. Then, using Poisson-Malliavin calculus, we show that the Itô integral is an extension of the Hitsuda-Skorokhod integral with respect to the compensated Poisson random measure associated to the Lévy process.

Supersymmetric Quantum Fields Via Quantum Probability, Radhakrishnan Balu

Journal of Stochastic Analysis

The super version of imprimitivity theorem is available now to describe global supersymmetry of systems using the representations of super Lie groups (SLG). This result uses the equivalence between super Harish- Chandra pairs and super Lie groups, at the categorical level, and is applicable to super Poincaré group and generalizes a smooth SI to super context. We apply the result to build supersymmetric quantum fields. Towards this end, we set up a super Fock space of a disjoint union of super Hilbert spaces which is equivalent to super tensoring of boson (even) part symmetrically and that of fermion (odd) part …

Convergence To Fractional Brownian Motion For Weighted Random Sums In Besov Space, Ibrahima Mendy

Journal of Stochastic Analysis

We consider infinite sums of weighted i.i.d. random variables, with finite variance and arbitrary distribution, and we derives conditions for the weak convergence in Besov space of normalized sums to fractional Brownian motion (fBm).

Pricing Variance Swaps Using Extended Heston Model, Semere Gebresilasie, Mulue Gebreslasie, Indranil Sengupta

Journal of Stochastic Analysis

Abstract. In this study, we introduce a variance swap for the underlying asset utilizing the Heston model, incorporating a long-term variance that is treated as a stochastic function of time. We develop a closed-form solution for the variance swap under this framework, where the log returns are driven by a compound Poisson process. Our analysis of historical data reveals that long-term variance is not constant; instead, it fluctuates over time, reflecting market dynamics more accurately. By integrating this time-varying long-term variance into the model, we achieve an improvement in prediction performance of approximately 60%. Furthermore, we perform model calibration using …

Momentum Space Algorithm For Electronic Structure Of Double-Incommensurate Trilayer Graphene, Kenneth Silver Beard

LSU Doctoral Dissertations

Numerical algorithms for computing the electronic structure of incommensurate 2D-materials using ab initio models are critical for predicting material properties and guiding experiments. For bilayers, momentum space and continuum models have been introduced to approximate observables of ab initio tight-binding models using a momentum description, despite the lack of periodicity in the tight-binding model required for Bloch theory. A similar structure has been introduced for double-incommensurate trilayers using a continuum model, where the three lattices are mutually incommensurate. However, this description leads to a four-dimensional lattice space, and numerical convergence of the density of states has been observed to be …

Greedy Algorithms And Matroids, Kiri M. Strack

LSU Master's Theses

In a connected graph with weights on the edges, a minimum-weight spanning tree can be obtained by repeatedly choosing minimum-weight edges while avoiding choosing the edge set of any cycle. This algorithm is known as Kruskal’s Algorithm, although it was first introduced by Boruvka in 1926. Prim introduced an alternative algorithm in which, at each step, the chosen set of edges forms a connected graph. Both of these algorithms make locally optimal choices that eventually yield a global optimum. This thesis considers how these algorithms can be extended to matroids. In particular, it is shown that matroids are exactly the …

Extremal Connectivity In Graphs And Matroids, Yiwei Ge

LSU Doctoral Dissertations

Connectivity is a central theme in both graph theory and matroid theory. This dissertation investigates extremal connectivity in graphs and matroids, with emphasis on unavoidable structures and minimal connectivity phenomena.

Chapter 2 introduces cycle-contraction minors of graphs and investigates their structural properties. We establish a connection between cc-minors and induced subgraphs via graph duality. The main result gives an unavoidable-families characterization for cc-minors of sufficiently large loopless $2$-connected graphs.

Chapter 3 studies super-minimally $3$-connected graphs, namely $3$-connected graphs that have no proper $3$-connected subgraphs. We establish extremal bounds on structural parameters of these graphs, including the minimum number of degree-$3$ …

Circuits And Enumeration Problems For Matroids, Christine H. Cho

LSU Doctoral Dissertations

This dissertation is a collection of work concerning the structure and enumeration of circuits and other distinguished sets in a matroid. The Tutte polynomial, recognized as the universal deletion-contraction invariant in matroid and graph theory, is a natural starting point when considering enumeration problems for matroids. The main result in Chapter 2 generalizes a theorem of Dean Lucas concerning the Tutte polynomial and its behavior under rank-preserving weak maps. This generalization provides an avenue for comparing the numbers of circuits, bases, rank-k flats, and hyperplanes of a matroid containing an element given two distinct, yet related, elements.

Chapter 3 addresses …

Forbidden Induced Restrictions And Unavoidable Minors In Matroids, Matthew P. Mizell

LSU Doctoral Dissertations

Targets are matroids that arise from a nested sequence of flats in a projective geometry. This class of matroids was introduced by Nelson and Nomoto, who found the forbidden induced restrictions for binary targets. In this dissertation, their result is generalized to targets arising from projective geometries over $GF(q)$. In addition, targets arising from nested sequences of affine flats are introduced and the forbidden induced restrictions for these affine targets are determined.

In 1963, Halin and Jung proved that every simple graph with minimum degree at least four has $K_5$ or $K_{2,2,2}$ as a minor. Mills and Turner proved an …

Minimal Supersolution Of Bsdes Driven By Continuous Martingales In A General Filtration, Badr Elmansouri, Mohamed El Otmani

Journal of Stochastic Analysis

In this paper, we study minimal supersolutions of backward stochastic differential equations (BSDEs) driven by a continuous local martingale in a general filtration. We establish existence, uniqueness, and stability results under various mild conditions on the terminal value and the generator. Additionally, we explore the connection between the concept of non-linear expectation and minimal supersolutions, emphasizing the specific properties that are relevant to our framework. We also prove a general monotonic limit theorem and apply this result to determine the smallest constrained supersolution of a BSDE with a possibly non-convex constraint.

Arbitrage-Free Pricing With Diffusion-Dependent Jumps, Hamza A. Virk, Yihren Wu, Majnu John

Journal of Stochastic Analysis

Standard jump-diffusion models assume independence between jumps and diffusion components. We develop a multi-type jump-diffusion model where jump occurrence and magnitude depend on contemporaneous diffusion movements. Unlike previous one-sided models that create arbitrage opportunities, our framework includes upward and downward jumps triggered by both large upward and large downward diffusion increments. We derive the explicit no-arbitrage condition linking the physical drift to model pa- rameters and market risk premia by constructing an Equivalent Martingale Measure using Girsanov’s theorem and a normalized Esscher transform. This condition provides a rigorous foundation for arbitrage-free pricing in models with diffusion-dependent jumps.

A Bdg Inequality For Stochastic Volterra Integrals, Alexandre Pannier

Journal of Stochastic Analysis

We establish Burkholder-Davis-Gundy-type inequalities for stochastic Volterra integrals with a completely monotone convolution kernel, which may exhibit singular behaviour at the origin. When the supremum is taken over a finite interval, the upper bound depends linearly on the Lγ-norm of the kernel, for any γ > 2. We demonstrate the utility of this inequality in quantifying the pathwise distance between two stochastic Volterra equations with distinct kernels, with a particular emphasis on the multifactor Markovian approximation. For kernels that decay sufficiently fast, we derive an alternative inequality valid over an infinite time interval, providing uniformin- time bounds for mean-reverting stochastic Volterra …

The Characteristic Function Of The Cube Of A Gaussian Random Variable, Andreas Boukas

Journal of Stochastic Analysis

Using the spectral resolution of the multiplication operator on the Schwartz class of L2(R,C), we compute the characteristic function of the cube of a Gaussian random variable.

Operator Information Quantities Of Semigroups Associated With Functions Of The Number Operator, Ryo Inayoshi, Kimiaki Saito

Journal of Stochastic Analysis

In this paper, we present recent developments on the operator information quantity acting on white noise functionals. In particular, we give a stochastic expression of the operator information quantity of a semigroup generated by some function of the number operator through a white noise delta distribution centered at an infinite dimensional Ornstein-Uhlenbeck process.

Quasistatic Peridynamics, Existence Of Unique Solution In The Presence Of Damage, Nuwanthi N. Samarawickrama

LSU Doctoral Dissertations

A mathematical model for damage propagation based on nonlocal potentials is developed within the framework of peridynamics. This model is applied to simulate damage evolution in cyclically loaded structures. By neglecting inertial effects, a well-posed quasistatic formulation for cyclic loading is obtained.\\ The resulting equation is expressed as a nonlocal and nonlinear integral operator that couples damage evolution to the deformation field.\\ This coupling occurs through the product of a damage factor and the derivative of a force potential. The damage factor ranges between zero and one, where one represents undamaged material and zero indicates complete damage.\\ It serves to …

Quantitative Boundary Doubling Estimates For Elliptic Equations, Jack Dalberg

LSU Doctoral Dissertations

We present an approach for obtaining quantitative boundary doubling inequalities for elliptic equations with Neumann boundary conditions. Carleman estimates are used to prove three-ball inequalities, which are then used to prove quantitative doubling inequalities, with bootstrapping from the interior to the boundary. This approach is illustrated by its application to the Laplace eigenvalue problem with homogeneous Neumann boundary conditions, where sharp doubling inequalities are recovered.

When then consider a equation with non homogeneous Neumann boundary conditions. By following the approach, we are able to obtain potentially sharp results. Finally, we are able to get an improvement on previously obtained results …

Gain Threshold Optimization Using Fano Resonance, Alina Oktiabrskaia

LSU Doctoral Dissertations

The study of resonances in electromagnetics plays a critical role in the design of optical systems. This dissertation investigates the interaction between resonance and gain in optical structures to establish a universal principle for achieving ultra-low-threshold lasing. Through the analysis of geometric symmetries, material properties, and coupling mechanisms, this research develops prototype structures applicable to a wide range of optical and electromagnetic systems. A range of models is considered, starting from a simple onedimensional string-resonator system (based on the model of H. Lamb), then advancing to two- and three-dimensional waveguide models, and culminating with a realistic high-contrast model in open …

A Theory Of Fundamental Strata For Twisted Formal Connections, Sorawit Viwanthananut

LSU Doctoral Dissertations

Let $G$ be a complex reductive group. A fundamental stratum for $G$ is a triple $(x,r,\beta)$ where $x$ is a point in the Bruhat-Tits building of $G$, $r$ is a nonnegative real number called depth of the stratum, and $\beta$ is a semistable functional on the Moy-Prasad filtration of $\fg$ associated to $x$ at level $r$. Fundamental strata were first introduced to classify admissible representations of a $p$-adic reductive group. More recently, Bremer and Sage have shown that fundamental strata play an important role in the geometric Langlands program and developed a theory of fundamental strata for $G$-connections. In this …

Strichartz Estimates For Many Particle Dispersive Equations, Tristan Reynoso

LSU Doctoral Dissertations

Dispersive equations are useful for describing a wide variety of phenomena in which solutions disperse through the space as time progresses. These equations show up frequently in physics, especially when studying quantum mechanical and fluid related systems. The single particle variants of equations such as the Schr\"{o}dinger and Wave equations have been studied at great length throughout modern history. Over the last couple decades progress has been made toward extending single particle dispersive equations to cover their many body counterparts. Space-time Strichartz estimates for the homogenous $N$-particle Schr\"{o}dinger equation with small interacting potentials was recently established on both $\mathbb{R}^d$ and …

On Excursions Associated With A Certain Local Time Of Simple Symmetric Random Walks, With Applications, Takahiko Fujita, Naohiro Yoshida

Journal of Stochastic Analysis

In this note, some applications of excursions associated with a certain local time of simple symmetric random walks are presented. Specifically, the excursions are applied to calculate some probability distributions of interest regarding the random walks. Furthermore, a solution of the Skorokhod embedding problem for random walks is obtained through the excursions.

The Jacod-Yor Theorem For Sigma Martingales And The Second Fundamental, Moritz Sohns

Journal of Stochastic Analysis

In this paper, we prove the Jacod-Yor Theorem for sigma martingales, a class of processes that generalize local martingales and play a pivotal role in financial mathematics. While the Jacod-Yor Theorem has been extensively studied for L2-martingales, martingales, and local martingales, no prior version exists for sigma martingales. Our result establishes the connection between sigma martingales and their martingale representation properties, addressing a critical gap in the literature. As an application, we prove the Second Fundamental Theorem of Asset Pricing for markets where price processes are modeled as sigma martingales.

My Tunisia Encounters: Inspiration For Some Mathematical Ideas, Hui-Hsiung Kuo

Journal of Stochastic Analysis

No abstract provided.

Chain Theorems For Different Classes Of 3-Connected Graphs, Avin Sunuwar

LSU Doctoral Dissertations

This dissertation explores the structural properties of graphs by extending the classical result of Tutte's Wheel Theorem. In particular, we develop an improved version of Tutte's Wheel Theorem along with new chain theorems for subclasses of 3-connected graphs. These chain theorems provide a systematic approach to characterizing graphs that exclude certain minors, leading to significantly shorter proofs of established results.

In Chapter 5, we present a generalization of the block-tree theorem for connected graphs, which removes the restriction on cut vertices and allows greater flexibility in separator sizes. By integrating the results from Chapters 3, 4, and 5, we …

Gaussian Quantum Markov Semigroups In The Fock-Anti-Fock Representation Of Weyl Algebra, A Dhahri, Franco Fagnola, D Poletti, Hyun Jae Yoo

Journal of Stochastic Analysis

No abstract provided.

Approximations Of Koopman Operator Semigroups, Ibrahem Al Jabea

LSU Doctoral Dissertations

The main purpose of this dissertation is to study approximation methods for nonlinear systems using Bernhard Koopman's Global Linearization Method or Sophus Lie's method of continuous transformation groups. This approach enables the application of linear semigroup methods to a nonlinear system by focusing on the dynamics of the observables of the states, rather than directly studying the dynamics of the states. In this dissertation, we studied the pointwise semigroup and introduce the modified space $C_m(\Omega)$ and the modified Koopman-Lie semigroups. We use a splitting operator and outline a systematic approach for approximating the pointwise Koopman-Lie semigroup flows \begin{equation*} t\to T(t)g(x) …

Unavoidable Immersions And Topological Minors Of K-Edge-Connected Graphs, Brittian Qualls

LSU Doctoral Dissertations

In this work, we present results concerning the unavoidable structures in large and infinite k-edge-connected graphs. These results are inspired by the classical result of Ramsey, who proved that for every positive integer r, every sufficiently large graph contains as an induced subgraph either K_r or $\overline{K_r}$. We consider different graph containment relations, focusing primarily on the immersion relation. In the case of finite graphs, we provide the unavoidable immersions of 4-edge-connected graphs and prove that linear edge-connectivity suffices to immerse the graph C_t,r.

This dissertation also considers infinite graphs. We present the …

On Unavoidable Infinite Hypergraphs, Samuel Weiner

LSU Doctoral Dissertations

Ramsey's Theorem states that every infinite graph contains either K_∞ or $\overline{K_∞}$ as an induced subgraph. For this reason, K_∞ and $\overline{K_∞}$ are often referred to as the unavoidable infinite graphs. Many similar results have characterized the unavoidable members for various classes of infinite graphs; perhaps the most notable of these is König's Infinity Lemma, which states that every infinite, connected, locally finite graph contains a ray as an induced subgraph. From these findings, one can easily deduce that every infinite, connected graph contains an infinite clique, star, or ray as an induced subgraph; …