We focus on closed-form option pricing in Heston’s stochastic volatility model, where closed-form formulas exist only for a few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this closed-form approach and derive multivariate characteristic functions depending on at least two spot values for different points in time. The derived charact...

Given f : X → R ∪ {+∞} a convex and lower semi-continuous function defined on a reflexive Banach space X, and L, a closed linear manifold of X over which f takes at least a real value, the aim of this note is to prove the following Baire category result: in the Euclidean setting, the set of affine functions dominated by f on L for which there is no dominated extension to X is always of first Ba...

We characterize generalized extreme points of compact convex sets. In particular, we show that if the polyconvex hull is convex in m×n , min(m,n) 6 2, then it is constructed from polyconvex extreme points via sequential lamination. Further, we give theorems ensuring equality of the quasiconvex (polyconvex) and the rank-1 convex envelopes of a lower semicontinuous function without explicit conve...

We prove the existence of solutions for third-order nonconvex state-dependent sweeping process with unbounded perturbations of the form: −A x 3 t ∈ N K t, ẋ t ; A ẍ t F t, x t , ẋ t , ẍ t G x t , ẋ t , ẍ t a.e. 0, T , A ẍ t ∈ K t, ẋ t , a.e. t ∈ 0, T , x 0 x0, ẋ 0 u0, ẍ 0 υ0, where T > 0, K is a nonconvex Lipschitz set-valued mapping, F is an unbounded scalarly upper semicontinuous convex set-v...

‎Let $L$ be a Lie algebra‎, ‎$mathrm{Der}(L)$ be the set of all derivations of $L$ and $mathrm{Der}_c(L)$ denote the set of all derivations $alphainmathrm{Der}(L)$ for which $alpha(x)in [x,L]:={[x,y]vert yin L}$ for all $xin L$‎. ‎We obtain an upper bound for dimension of $mathrm{Der}_c(L)$ of the finite dimensional nilpotent Lie algebra $L$ over algebraically closed fields‎. ‎Also‎, ‎we classi...

The construction of appearance-based object detection systems is time-consuming and difficult because a large number of training examples must be collected and manually labeled in order to capture variations in object appearance. Semi-supervised training is a means for reducing the effort needed to prepare the training set by training the model with a small number of fully labeled examples and ...

In this paper, we introduce several concepts of tightness for a sequence of random variables taking values in the space of normal and upper-semicontinuous fuzzy sets with compact support in Rp and give some characterizations of their concepts. Also, counter-examples for the relationships between the concepts of tightness are given.

In this paper, we introduce the concept of free abstract fuzzy economy and, using Wu’s existence theorem of maximal elements for lower semicontinuous correspondences [26] and Kim and Lee’s existence theorems of best proximity pairs [14], we prove the existence of fuzzy equilibrium pairs for free abstract fuzzy economies first with upper semicontinuous and then with lower semicontinuous constrai...

In this paper, we establish some results on strong convergence for weighted sums of uniformly integrable fuzzy random variables taking values in the space of upper-semicontinuous fuzzy sets in Rp.