We consider a general wealth process with a drift coefficient which is a function of the wealth process and the portfolio process with convex constraint. Existence and uniqueness of a minimal solution are established. We convert the problem of hedging American contingent claims into the problem of minimal solution of backward stochastic differential equation, and obtain the upper hedging price ...

In this paper we prove the existence of solutions to 1-dimensional anticipated backward stochastic differential equations with continuous coefficients. We also establish the existence of a minimal solution. Finally we derive a related comparison theorem for these minimal solutions.

We determine the most general near-horizon geometry of a supersymmetric, asymptotically anti-de Sitter, black hole solution of five-dimensional minimal gauged supergravity that admits two rotational symmetries. The near-horizon geometry is that of the supersymmetric, topologically spherical, black hole solution of Chong et al. This proves that regular supersymmetric anti-de Sitter black rings w...

A TU-game in characteristic function form generates a unique minimal dominant set. This set is non-empty. For a game with a non-empty core, the core and the minimal dominant set coincide; in this case the core is the smallest (for inclusion) set of outcomes that satisfies accessibility. For an abstract game, the minimal dominant set and Shenoy’s dynamic solution coincide.

a common method to determine the order of minimal realization of a continuous linear time invariant descriptor system is to decompose it into slow and fast subsystems using the weierstrass canonical form. the weierstrass decomposition should be avoided because it is generally an ill-conditioned problem that requires many complex calculations especially for high-dimensional systems. the present ...

The iterative solution of large linear discrete ill-posed problems with an error contaminated data vector requires the use of specially designed methods in order to avoid severe error propagation. Range restricted minimal residual methods have been found to be well suited for the solution of many such problems. This paper discusses the structure of matrices that arise in a range restricted mini...

The solution of large linear systems of equations with a matrix of ill-determined rank and an error-contaminated right-hand side requires the use of specially designed iterative methods in order to avoid severe error propagation. The choice of solution subspace is important for the quality of the computed approximate solution, because this solution typically is determined in a subspace of fairl...

We study the traveling wave front solutions for a two-dimensional periodic lattice dynamical system with monostable nonlinearity. We first show that there is a minimal speed such that a traveling wave solution exists if and only if its speed is above this minimal speed. Then we prove that any wave profile is strictly monotone. Finally, we derive the convergence of discretized minimal speed to t...

This paper introduces interdiction branching, a new branching method for binary integer programs that is designed to overcome the difficulties encountered in solving problems for which branching on variables is inherently weak. Unlike traditional methods, selection of the disjunction in interdiction branching takes into account the best feasible solution found so far. In particular, the method ...