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Counting Plane Tropical Curves via Lattice Paths in Polygons (open access)

Counting Plane Tropical Curves via Lattice Paths in Polygons

A projective plane tropical curve is a proper immersion of a graph into the real Cartesian plane subject to some conditions such as that the images of all the edges must be lines with rational slopes. Two important combinatorial invariants of a projective plane tropical curve are its degree, d, and genus g. First, we explore Gathmann and Markwig's approach to the study of the moduli spaces of such curves and explain their proof that the number of projective plane tropical curves, counting multiplicity, passing through n = 3d + g -1 points does not depend on the choice of points, provided they are in tropical general position. This number of curves is called a Gromov-Written invariant. Second, we discuss the proof of a theorem of Mikhalkin that allows one to compute the Gromov-Written invariant by a purely combinatorial process of counting certain lattice paths.
Date: December 2021
Creator: Zhang, Yingyu
System: The UNT Digital Library
On the Subspace Dichotomy of Lp[0; 1] for 2 < p < ∞ (open access)

On the Subspace Dichotomy of Lp[0; 1] for 2 < p < ∞

The structure and geometry of subspaces of a given Banach space is among the most fundamental questions in Functional Analysis. In 1961, Kadec and Pelczyński pioneered a field of study by analyzing the structures of subspaces and basic sequences in L_p[0,1] under a naturally occurring restriction of p, 2 < p <\infty. They proved that any infinite-dimensional subspace X\subset L_p[0,1] for 2<p<\infty must either be isomorphic to l_2 and complemented in L_p or must contain a complemented subspace which is isomorphic to l_p. Many works since have studied the relationships between the sides of this dichotomy, chiefly by weakening hypotheses on side of the equation to gain stronger assumptions on the other. In this way, Johnson and Odell were able to show in 1974 that if X contains no further subspace which is isomorphic to l_2, then it must embed into l_p. Kalton and Werner further strengthened this result in 1993 by showing that such an embedding must be almost isometric. We start by analyzing the tools and definitions originally introduced in 1961 and define a natural extension to these methods. By analyzing this extension, we provide a constructive and streamlined reproving of Kalton and Werner's theorem: Let X be …
Date: August 2021
Creator: James, Christopher W
System: The UNT Digital Library
Optimal Look-Ahead Stopping Rules for Simple Random Walk (open access)

Optimal Look-Ahead Stopping Rules for Simple Random Walk

In a stopping rule problem, a real-time player decides to stop or continue at stage n based on the observations up to that stage, but in a k-step look-ahead stopping rule problem, we suppose the player knows k steps ahead. The aim of this Ph.D. dissertation is to study this type of prophet problems for simple random walk, determine the optimal stopping rule and calculate the expected return for them. The optimal one-step look-ahead stopping rule for a finite simple random walk is determined in this work. We also study two infinite horizon stopping rule problems, sum with negative drift problems and discounted sum problems. The optimal one, two and three-step look-ahead stopping rules are introduced for the sum with negative drift problem for simple random walk. We also compare the maximum expected returns and calculate the upper bound for the advantage of the prophet over the decision maker. The last chapter of this dissertation concentrates on the discounted sum problem for simple random walk. Optimal one-step look-ahead stopping rule is defined and lastly we compare the optimal expected return for one-step look-ahead prophet with a real-time decision maker.
Date: August 2021
Creator: Sharif Kazemi, Zohreh
System: The UNT Digital Library

Optimal Pair-Trading Decision Rules for a Class of Non-linear Boundary Crossings by Ornstein-Uhlenbeck Processes

The most useful feature used in finance of the Ornstein-Uhlenbeck (OU) stochastic process is its mean-reverting property: the OU process tends to drift towards its long- term mean (its equilibrium state) over time. This important feature makes the OU process arguably the most popular statistical model for developing best pair-trading strategies. However, optimal strategies depend crucially on the first passage time (FPT) of the OU process to a suitably chosen boundary and its probability density is not analytically available in general. Even for crossing a simple constant boundary, the FPT of the OU process would lead to crossing a square root boundary by a Brownian motion process whose FPT density involves the complicated parabolic cylinder function. To overcome the limitations of the existing methods, we propose a novel class of non-linear boundaries for obtaining optimal decision thresholds. We prove the existence and uniqueness of the maximizer of our decision rules. We also derive simple formulas for some FPT moments without analytical expressions of its density functions. We conduct some Monte Carlo simulations and analyze several pairs of stocks including Coca-Cola and Pepsi, Target and Walmart, Chevron and Exxon Mobil. The results demonstrate that our method outperforms the existing procedures.
Date: December 2021
Creator: Tamakloe, Emmanuel Edem Kwaku
System: The UNT Digital Library

A New Class of Stochastic Volatility Models for Pricing Options Based on Observables as Volatility Proxies

One basic assumption of the celebrated Black-Scholes-Merton PDE model for pricing derivatives is that the volatility is a constant. However, the implied volatility plot based on real data is not constant, but curved exhibiting patterns of volatility skews or smiles. Since the volatility is not observable, various stochastic volatility models have been proposed to overcome the problem of non-constant volatility. Although these methods are fairly successful in modeling volatilities, they still rely on the implied volatility approach for model implementation. To avoid such circular reasoning, we propose a new class of stochastic volatility models based on directly observable volatility proxies and derive the corresponding option pricing formulas. In addition, we propose a new GARCH (1,1) model, and show that this discrete-time stochastic volatility process converges weakly to Heston's continuous-time stochastic volatility model. Some Monte Carlo simulations and real data analysis are also conducted to demonstrate the performance of our methods.
Date: December 2021
Creator: Zhou, Jie
System: The UNT Digital Library

Radial Solutions of Singular Semilinear Equations on Exterior Domains

We prove the existence and nonexistence of radial solutions of singular semilinear equations Δu + k(x)f(u)=0 with boundary condition on the exterior of the ball with radius R>0 in ℝ^N such that lim r →∞ u(r)=0, where f: ℝ \ {0} →ℝ is an odd and locally Lipschitz continuous nonlinear function such that there exists a β >0 with f <0 on (0, β), f >0 on (β, ∞), and K(r) ~ r^-α for some α >0.
Date: May 2021
Creator: Ali, Mageed Hameed
System: The UNT Digital Library