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Option Pricing Under New Classes of Jump-Diffusion Processes

Description: In this dissertation, we introduce novel exponential jump-diffusion models for pricing options. Firstly, the normal convolution gamma mixture jump-diffusion model is presented. This model generalizes Merton's jump-diffusion and Kou's double exponential jump-diffusion. We show that the normal convolution gamma mixture jump-diffusion model captures some economically important features of the asset price, and that it exhibits heavier tails than both Merton jump-diffusion and double exponential jum… more
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Date: December 2023
Creator: Adiele, Ugochukwu Oliver
open access

Uniqueness of Positive Solutions for Elliptic Dirichlet Problems

Description: In this paper we consider the question of uniqueness of positive solutions for Dirichlet problems of the form - Δ u(x)= g(λ,u(x)) in B, u(x) = 0 on ϑB, where A is the Laplace operator, B is the unit ball in RˆN, and A>0. We show that if g(λ,u)=uˆ(N+2)/(N-2) + λ, that is g has "critical growth", then large positive solutions are unique. We also prove uniqueness of large solutions when g(λ,u)=A f(u) with f(0) < 0, f "superlinear" and monotone. We use a number of methods from nonlinear functional … more
Date: December 1990
Creator: Ali, Ismail, 1961-
open access

A Random Walk Version of Robbins' Problem

Description: Robbins' problem is an optimal stopping problem where one seeks to minimize the expected rank of their observations among all observations. We examine random walk analogs to Robbins' problem in both discrete and continuous time. In discrete time, we consider full information and relative ranks versions of this problem. For three step walks, we give the optimal stopping rule and the expected rank for both versions. We also give asymptotic upper bounds for the expected rank in discrete time. Fina… more
Date: December 2018
Creator: Allen, Andrew
open access

Level Curves of the Angle Function of a Positive Definite Symmetric Matrix

Description: Given a real N by N matrix A, write p(A) for the maximum angle by which A rotates any unit vector. Suppose that A and B are positive definite symmetric (PDS) N by N matrices. Then their Jordan product {A, B} := AB + BA is also symmetric, but not necessarily positive definite. If p(A) + p(B) is obtuse, then there exists a special orthogonal matrix S such that {A, SBS^(-1)} is indefinite. Of course, if A and B commute, then {A, B} is positive definite. Our work grows from the following quest… more
Date: December 2009
Creator: Bajracharya, Neeraj
open access

On Sets and Functions in a Metric Space

Description: The purpose of this thesis is to study some of the properties of metric spaces. An effort is made to show that many of the properties of a metric space are generalized properties of R, the set of real numbers, or Euclidean n--space, and are specific cases of the properties of a general topological space.
Date: December 1971
Creator: Beeman, Anne L.
open access

Borel Determinacy and Metamathematics

Description: Borel determinacy states that if G(T;X) is a game and X is Borel, then G(T;X) is determined. Proved by Martin in 1975, Borel determinacy is a theorem of ZFC set theory, and is, in fact, the best determinacy result in ZFC. However, the proof uses sets of high set theoretic type (N1 many power sets of ω). Friedman proved in 1971 that these sets are necessary by showing that the Axiom of Replacement is necessary for any proof of Borel Determinacy. To prove this, Friedman produces a model of ZC and… more
Date: December 2001
Creator: Bryant, Ross
open access

Completeness Axioms in an Ordered Field

Description: The purpose of this paper was to prove the equivalence of the following completeness axioms. This purpose was carried out by first defining an ordered field and developing some basic theorems relative to it, then proving that lim [(u+u)*]^n = z (where u is the multiplicative identity, z is the additive identity, and * indicates the multiplicative inverse of an element), and finally proving the equivalence of the five axioms.
Date: December 1971
Creator: Carter, Louis Marie
open access

Properties of Limit Functions

Description: The purpose of this paper is to investigate properties of functions which are limits of functions with prescribed properties. Chapter II asks the question "Does a function which is the limit of a sequence of functions each of which is endowed with a certain property necessarily have that property?"
Date: December 1972
Creator: Coppin, Anthony M.
open access

Contributions to Descriptive Set Theory

Description: Assume AD+V=L(R). In the first chapter, let W^1_1 denote the club measure on \omega_1. We analyze the embedding j_{W^1_1}\restr HOD from the point of view of inner model theory. We use our analysis to answer a question of Jackson-Ketchersid about codes for ordinals less than \omega_\omega. In the second chapter, we provide an indiscernibles analysis for models of the form L[T_n,x]. We use our analysis to provide new proofs of the strong partition property on \delta^1_{2n+1}
Date: December 2016
Creator: Dance, Cody
open access

Integrability, Measurability, and Summability of Certain Set Functions

Description: The purpose of this paper is to investigate the integrability, measurability, and summability of certain set functions. The paper is divided into four chapters. The first chapter contains basic definitions and preliminary remarks about set functions and absolute continuity. In Chapter i, the integrability of bounded set functions is investigated. The chapter culminates with a theorem that characterizes the transmission of the integrability of a real function of n bounded set functions. In Cha… more
Date: December 1977
Creator: Dawson, Dan Paul
open access

A Partial Characterization of Upper Semi-Continuous Decompositions

Description: The goal of this paper is to characterize, at least partially, upper semi-continuous decompositions of topological spaces and the role that upper semi-continuity plays in preserving certain topological properties under decomposition mappings. Attention is also given to establishing what role upper semi-continuity plays in determining conditions under which decomposition spaces possess certain properties. A number of results for non-upper semi-continuous decompositions are included to help clari… more
Date: December 1973
Creator: Dennis, William Albert
open access

R₀ Spaces, R₁ Spaces, And Hyperspaces

Description: The purpose of this paper is to further investigate R0 spaces, R1 spaces, and hyperspaces. The R0 axiom was introduced by N. A. Shanin in 1943. Later, in 1961, A. S. Davis investigated R0 spaces and introduced R1 spaces. Then, in 1975, William Dunham further investigated R1 spaces and proved that several well-known theorems can be generalized from a T2 setting to an R1 setting. In Chapter II R0 and R1 spaces are investigated and additional theorems that can be generalized from a T2 setting to a… more
Date: December 1976
Creator: Dorsett, Charles I.
open access

Topologies on Complete Lattices

Description: One of the more important concepts in mathematics is the concept of order, that is, the description or comparison of two elements of a set in terms of one preceding or being smaller than or equal to the other. If the elements of a set, as pairs, exhibit certain order-type characteristics, the set is said to be a partially ordered set. The purpose of this paper is to investigate a special class of partially ordered sets, called lattices, and to investigate topologies induced on these lattices b… more
Date: December 1973
Creator: Dwyer, William Karl
open access

Applications in Fixed Point Theory

Description: Banach's contraction principle is probably one of the most important theorems in fixed point theory. It has been used to develop much of the rest of fixed point theory. Another key result in the field is a theorem due to Browder, Göhde, and Kirk involving Hilbert spaces and nonexpansive mappings. Several applications of Banach's contraction principle are made. Some of these applications involve obtaining new metrics on a space, forcing a continuous map to have a fixed point, and using condi… more
Date: December 2005
Creator: Farmer, Matthew Ray
open access

The Use of Chebyshev Polynomials in Numerical Analysis

Description: The purpose of this paper is to investigate the nature and practical uses of Chebyshev polynomials. Chapter I gives recognition to mathematicians responsible for studies in this area. Chapter II enumerates several mathematical situations in which the polynomials naturally arise and suggests reasons for the pursuance of their study. Chapter III includes: Chebyshev polynomials as related to "best" polynomial approximation, Chebyshev series, and methods of producing polynomial approximations to co… more
Date: December 1975
Creator: Forisha, Donnie R.
open access

Separation Properties

Description: The problem with which this paper is concerned is that of investigating a class of topological properties commonly called separation properties. A topological space which satisfies only the definition may be very limited in open sets. By use of the separation properties, specific families of open sets can be guaranteed.
Date: December 1970
Creator: Garvin, Billy Ray

Hamiltonian cycles in subset and subspace graphs.

Description: In this dissertation we study the Hamiltonicity and the uniform-Hamiltonicity of subset graphs, subspace graphs, and their associated bipartite graphs. In 1995 paper "The Subset-Subspace Analogy," Kung states the subspace version of a conjecture. The study of this problem led to a more general class of graphs. Inspired by Clark and Ismail's work in the 1996 paper "Binomial and Q-Binomial Coefficient Inequalities Related to the Hamiltonicity of the Kneser Graphs and their Q-Analogues," we defin… more
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Date: December 2004
Creator: Ghenciu, Petre Ion
open access

Topological Groups

Description: In the study of groups and topological spaces, the properties of both are often encountered in one system. The following are common examples: groups with discrete topologies, the complex numbers with the usual topology, and matrix groups with metric topologies. The need for a study of how algebraic properties and topological properties affect one another when united and interrelated in one system soon becomes evident. Thus the purpose of this thesis is to study the interrelated group and topolo… more
Date: December 1972
Creator: Haffner, Ophelia Darleen
open access

Minimality of the Special Linear Groups

Description: Let F denote the field of real numbers, complex numbers, or a finite algebraic extension of the p-adic field. We prove that the special linear group SLn(F) with the usual topology induced by F is a minimal topological group. This is accomplished by first proving the minimality of the upper triangular group in SLn(F). The proof for the upper triangular group uses an induction argument on a chain of upper triangular subgroups and relies on general results for locally compact topological groups, q… more
Date: December 1997
Creator: Hayes, Diana Margaret
open access

Differentiation in Banach Spaces

Description: This thesis investigates the properties and applications of derivatives of functions whose domain and range are Banach spaces.
Date: December 1972
Creator: Heath, James Darrell
open access

Nonparametric Estimation of Receiver Operating Characteristic Surfaces Via Bernstein Polynomials

Description: Receiver operating characteristic (ROC) analysis is one of the most widely used methods in evaluating the accuracy of a classification method. It is used in many areas of decision making such as radiology, cardiology, machine learning as well as many other areas of medical sciences. The dissertation proposes a novel nonparametric estimation method of the ROC surface for the three-class classification problem via Bernstein polynomials. The… more
Date: December 2012
Creator: Herath, Dushanthi N.
open access

Equivalent Sets and Cardinal Numbers

Description: The purpose of this thesis is to study the equivalence relation between sets A and B: A o B if and only if there exists a one to one function f from A onto B. In Chapter I, some of the fundamental properties of the equivalence relation are derived. Certain basic results on countable and uncountable sets are given. In Chapter II, a number of theorems on equivalent sets are proved and Dedekind's definitions of finite and infinite are compared with the ordinary concepts of finite and infinite. The… more
Date: December 1975
Creator: Hsueh, Shawing
open access

Algebraic Numbers and Topologically Equivalent Measures

Description: A set-theoretical point of view to study algebraic numbers has been introduced. We extend a result of Navarro-Bermudez concerning shift invariant measures in the Cantor space which are topologically equivalent to shift invariant measures which correspond to some algebraic integers. It is known that any transcendental numbers and rational numbers in the unit interval are not binomial. We proved that there are algebraic numbers of degree greater than two so that they are binomial numbers. Algebra… more
Date: December 1983
Creator: Huang, Kuoduo
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