Received July 14, 2014, accepted March 26, 2015. Communicated by Eiji Yanagida. 2010 Mathematics Subject Classification: Primary 34A34; Secondary 26A12.

We prove that in smooth Markovian continuous–time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist. JEL subject classification: D52, D53, G12 2010 Mathematics Subject Classification: 91B50, 91G80

The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We de…ne a natural generalization of the notion of a numeraire portfolio proposed by Long and show how such portfolios can be used for constructing growth-optimal investment strategies. The analysis is based on the classical von Neumann-Gale mo...

q-binomial coefficient identity Victor J. W. Guo and Jiang Zeng Department of Mathematics, East China Normal University, Shanghai 200062, People’s Republic of China [email protected], http://math.ecnu.edu.cn/~jwguo Université de Lyon; Université Lyon 1; Institut Camille Jordan, UMR 5208 du CNRS; 43, boulevard du 11 novembre 1918, F-69622 Villeurbanne Cedex, France [email protected], ...

References pa.2010.0090.full.html#ref-list-1 http://rspa.royalsocietypublishing.org/content/early/2010/06/03/rs This article cites 19 articles, 1 of which can be accessed free P<P Published online 9 June 2010 in advance of the print journal. Subject collections (212 articles) applied mathematics • (44 articles) computational mathematics • (39 articles) statistical physics • Articles on simil...

A variable free notation for dynamic logic is proposed which takes its cue from De Bruijn's variable free notation for lambda calculus. De Bruijn indexing replaces variables by indices which indicate the distance to their binders. We propose to use reverse De Bruijn indexing, which works almost the same, only now the indices refer to the depth of the binding operator in the formula. The resulti...

The paper presents a nancial market model that generates stochastic volatility using a minimal set of factors These factors formed by transformations of square root processes model the dynamics of di erent denominations of a benchmark portfolio Benchmarked prices are assumed to be local martin gales Numerical results for the pricing and hedging of basic derivatives on indices are described for ...

In this article the map given by the anticanonical bundle of a Fano manifold is investigated with respect to a number of natural notions of higher order embeddings of projective manifolds. This is of importance in the understanding of higher order embeddings of the special varieties of adjunction theory, which are usually bered by special Fano manifolds. An analysis is carried out of the higher...

We de ne a speci cation language called `timed CRL'. This language is designed to describe communicating processes employing data and time. Timed CRL is the successor of CRL [17]. It di ers in two main aspects. It is possible to make explicit reference to time using a new `at' operator; p,t is the process p where the rst action must take place at time t. Furthermore, a distinction has been made...

A 2nd-order, L-stable Rosenbrock method from the eld of sti ordinary di erential equations is studied for application to atmospheric dispersion problems describing photochemistry, advective and turbulent di usive transport. Partial di erential equation problems of this type occur in the eld of air pollution modelling. The focal point of the paper is to examine the Rosenbrock method for reliable...