In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching Lévy model. For the case of the (dense) class of phase-type jumps and finitely many regimes we derive an explicit expression for the value function. The solution of the corresponding first passage problem under a state-dependent level rests on a path transformation and a new matri...

Abstract: In this paper, a Sinc-collocation method based on the double exponential transformation for solving Fredholm and Volterra Hammerstein integral equations is presented. Some properties of the Sinc-collocation method required for our subsequent development are given and utilized to reduce the computation of solution of the Hammerstein integral equations to some algebraic equations. Numer...

Graph transformation can be used to implement stochastic simulation of dynamic systems based on semi-Markov processes, extending the standard approach based on Markov chains. The result is a discrete event system, where states are graphs, and events are rule matches associated to general distributions, rather than just exponential ones. We present an extension of this model, by introducing a hi...

We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the Lévy triplet is constructed under minimal assumptions by solving the Bellman equation. We use a novel transformation of the model to avoid technical conditions. The consequences...

Monotone Lévy processes with additive increments are defined and studied. It is shown that these processes have natural Markov structure and their Markov transition semigroups are characterized using the monotone Lévy-Khintchine formula. 17 Monotone Lévy processes turn out to be related to classical Lévy processes via Attal's " remarkable transformation. " A monotone analogue of the family of e...

Abstract We present quadrature schemes to calculate matrices where the so-called modified Hilbert transformation is involved. These occur as temporal parts of Galerkin finite element discretizations parabolic or hyperbolic problems when used for variational setting. This work provides calculation these machine precision arbitrary polynomial degrees and non-uniform meshes. The proposed are based...

We consider the problem of learning an unknown product distribution X over {0, 1}n using samples f (X) where f is a known transformation function. Each choice of a transformation function f specifies a learning problem in this framework. Information-theoretic arguments show that for every transformation function f the corresponding learning problem can be solved to accuracy ǫ, using Õ(n/ǫ2) exa...

It has been shown that there exists a transition in the average-case complexity of searching a random tree, from exponential to polynomial in the search depth. We develop a state-space transformation method, called e-transformation, that makes use of this complexity transition to find a suboptimal solution. The expected number of random tree nodes expanded by branch-and-bound (BnB) using e-tran...

In this paper we describe transformation of Clavibacter michiganensis subsp. sepedonicus, the potato ring rot bacterium, with plasmid vectors. Three of the plasmids used, pDM100, pDM302, and pDM306, contain the origin of replication from pCM1, a native plasmid of C. michiganensis subsp. michiganensis. We constructed two new cloning vectors, pHN205 and pHN216, by using the origin of replication ...