The present note addresses an open question concerning a sufficient characterization of the variance-optimal martingale measure. Denote by S the discounted price process of an asset and suppose that Q? is an equivalent martingale measure whose density is a multiple of 1− φ • ST for some S-integrable process φ. We show that Q? does not necessarily coincide with the variance-optimal martingale me...

For any discrete-time P–local martingale S there exists a probability measure Q ∼ P such that S is a Q–martingale. A new proof for this result is provided. This proof also yields that, for any ε > 0, the measure Q can be chosen so that dQ/dP ≤ 1 + ε.

A non-universal interaction, which involes only the heavy quarks (t L , b L) and t R , modifies the neutral current couplings and induces flavor changing neutral currents (FCNC). The size of the FCNC effect depends crucially on the dynamics of the fermion mass generation. In this paper, we study the effect of the non-universal interaction on Zbb, Zbs, Zds and Zdb, by using an effective lagrangi...

In this paper we treat, under fairly general conditions, the question of whether asset prices admit a martingale measure when the markets are free of arbitrage opportunities. The arbitrage opportunities we consider are restricted to originate from simple trading strategies, which are most closely related to actual market portfolios. It is shown that if such simple arbitrage profits are excluded...

We discuss the sensitivity of the high-scale supersymmetry (SUSY) at 10–1000 TeV in B, Bs, K and D meson systems together with the neutron electric dipole moment (EDM) and the mercury EDM. In order to estimate the contribution of the squark flavor mixing to these flavor changing neutral currents (FCNCs), we calculate the squark mass spectrum, which is consistent with the recent Higgs discovery....

We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s).

This article synthezises the most important results on the kinematics of cuspidal manipulators i.e. nonredundant manipulators that can change posture without meeting a singularity. The characteristic surfaces, the uniqueness domains and the regions of feasible paths in the workspace are defined. Then, several sufficient geometric conditions for a manipulator to be noncuspidal are enumerated and...

This paper presents a novel and fast scheme to detect different body parts in human motion. Using monocular video sequences, trajectory estimation and body modeling of moving humans are combined in a co-operating processing architecture. More specifically, for every individual person, features of body ratio, silhouette and appearance are integrated into a hybrid model to detect body parts. The ...