No Arabic abstract
This paper concerns the intermediate dimensions, a spectrum of dimensions that interpolate between the Hausdorff and box dimensions. Capacity theoretic methods are used to produce dimension bounds for images of sets under Holder maps and certain stochastic processes. We apply this to compute the almost-sure value of the dimension of Borel sets under index-$alpha$ fractional Brownian motion in terms of capacity theoretic dimension profiles. As a corollary, this establishes continuity of the profiles for all Borel sets, allowing us to obtain an explicit condition showing how the Hausdorff dimension of a set may influence the typical box dimension of Holder images such as projections. The methods used propose a general strategy for related problems; dimensional information about a set may be learned from analysing particular fractional Brownian images of that set. To conclude, we obtain bounds on the Hausdorff dimension of exceptional sets in the setting of projections.
We introduce a probability distribution on $mathcal{P}([0,1]^d)$, the space of all Borel probability measures on $[0,1]^d$. Under this distribution, almost all measures are shown to have infinite upper quasi-Assouad dimension and zero lower quasi-Assouad dimension (hence the upper and lower Assouad dimensions are almost surely infinite or zero). We also indicate how the results extend to other Assouad-like dimensions.
Central limit theorems for the log-volume of a class of random convex bodies in $mathbb{R}^n$ are obtained in the high-dimensional regime, that is, as $ntoinfty$. In particular, the case of random simplices pinned at the origin and simplices where all vertices are generated at random is investigated. The coordinates of the generating vectors are assumed to be independent and identically distributed with subexponential tails. In addition, asymptotic normality is established also for random convex bodies (including random simplices pinned at the origin) when the spanning vectors are distributed according to a radially symmetric probability measure on the $n$-dimensional $ell_p$-ball. In particular, this includes the cone and the uniform probability measure.
In this paper we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze equity warrant in a fractional Brownian motion environment, when the short rate follows the subdiffusive fractional Black-Scholes model. We obtain the pricing formula for zero-coupon bond in the introduced model and derive the partial differential equation with appropriate boundary conditions for the valuation of equity warrant. Finally, the pricing formula for equity warrant is provided under subdiffusive fractional Brownian motion model of the short rate.
We study the Hardy-Henon parabolic equations on $mathbb{R}^{N}$ ($N=2, 3$) under the effect of an additive fractional Brownian noise with Hurst parameter $H>maxleft(1/2, N/4right).$ We show local existence and uniqueness of a mid $L^{q}$-solution under suitable assumptions on $q$.
Replacing Black-Scholes driving process, Brownian motion, with fractional Brownian motion allows for incorporation of a past dependency of stock prices but faces a few major downfalls, including the occurrence of arbitrage when implemented in the financial market. We present the development, testing, and implementation of a simplified alternative to using fractional Brownian motion for pricing derivatives. By relaxing the assumption of past independence of Brownian motion but retaining the Markovian property, we are developing a competing model that retains the mathematical simplicity of the standard Black-Scholes model but also has the improved accuracy of allowing for past dependence. This is achieved by replacing Black-Scholes underlying process, Brownian motion, with a particular Gaussian Markov process, proposed by Vladimir Dobri{c} and Francisco Ojeda.