Zobrazeno 1 - 10
of 335
pro vyhledávání: '"Aurell E"'
Autor:
Aurell, E., Muratore-Ginanneschi, P.
Publikováno v:
IJTAF Vol. 7, No. 5 (2004), 645-657
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invest
Externí odkaz:
http://arxiv.org/abs/cond-mat/0211044
Publikováno v:
Physica D186 (2003) 171-184
The evolution of a planar perturbation in a Einstein-de Sitter Universe is studied using a previously introduced Lagrangian scheme. An approximate discrete dynamical system is derived, which describes the mass agglomeration process qualitatively. Qua
Externí odkaz:
http://arxiv.org/abs/astro-ph/0210111
Autor:
Fanelli, D., Aurell, E.
Publikováno v:
Astron.Astrophys. 395 (2002) 399-408
The non-linear evolution of a stratified perturbation in a three dimensional expanding Universe is considered. A general Lagrangian scheme (Q model) is introduced and numerical investigations are performed. The asymptotic contraction of the core of t
Externí odkaz:
http://arxiv.org/abs/astro-ph/0203435
Autor:
Aurell, E., Sneppen, K.
We develop a framework to discuss stability of epigenetic states as first exit problems in dynamical systems with noise. We consider in particular the stability of the lysogenic state of the lambda prophage, which is known to exhibit exceptionally la
Externí odkaz:
http://arxiv.org/abs/cond-mat/0103080
We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. This approach is based on the theory of optimal strategy in repeated mul
Externí odkaz:
http://arxiv.org/abs/cond-mat/9810257
Publikováno v:
J. Fluid Mech. 344 (1997) 339--374
This work is devoted to the decay ofrandom solutions of the unforced Burgers equation in one dimension in the limit of vanishing viscosity. The initial velocity is homogeneous and Gaussian with a spectrum proportional to $k^n$ at small wavenumbers $k
Externí odkaz:
http://arxiv.org/abs/physics/9709002
It is shown that the inverse Lagrangian map for the solution of the Burgers equation (in the inviscid limit) with Brownian initial velocity presents a bifractality (phase transition) similar to that of the Devil's staircase for the standard triadic C
Externí odkaz:
http://arxiv.org/abs/chao-dyn/9611011
We investigate the predictability problem in dynamical systems with many degrees of freedom and a wide spectrum of temporal scales. In particular, we study the case of $3D$ turbulence at high Reynolds numbers by introducing a finite-size Lyapunov exp
Externí odkaz:
http://arxiv.org/abs/chao-dyn/9606014
We discuss the effects of finite perturbations in fully developed turbulence by introducing a measure of the chaoticity degree associated to a given scale of the velocity field. This allows one to determine the predictability time for non-infinitesim
Externí odkaz:
http://arxiv.org/abs/chao-dyn/9604007
In chaotic dynamical systems, an infinitesimal perturbation is exponentially amplified at a time-rate given by the inverse of the maximum Lyapunov exponent $\lambda$. In fully developed turbulence, $\lambda$ grows as a power of the Reynolds number. T
Externí odkaz:
http://arxiv.org/abs/chao-dyn/9505005