This paper studies the optimal investment problem of utility maximization with taxes, dividends and transaction costs under the constant elasticity of variance (CEV) model. The Hamilton-Jacobi-Bellman (HJB) equation associated with the optimization problem is established via stochastic control approach. Applying power transform and variable change technique, we obtain explicit solutions for the...

We use the well-known observation that solutions of Jacobi's differential equation can be represented via non-oscillatory phase and amplitude functions to develop a fast algorithm for computing multi-dimensional Jacobi polynomial transforms. More explicitly, it follows from this matrix corresponding discrete transform is Hadamard product numerically low-rank Fourier (DFT) matrix. The applicatio...

In this work, we are interested by the q-Bessel Fourier transform with a new approach. Many important results of this q-integral transform are proved with a new constructive demonstrations and we establish in particular the associated q-Fourier-Neumen expansion which involves the q-little Jacobi polynomials.

In this work, we are interested by the q-Bessel Fourier transform with a new approach. Many important results of this q-integral transform are proved with a new constructive demonstrations and we establish in particular the associated q-Fourier-Neumen expansion which involves the q-little Jacobi polynomials.

By using the three-term recurrence equation satisfied by a family of orthogonal polynomials, the Christoffel-Darboux-type bilinear generating function and their asymptotic expressions, we obtain quadrature formulas for integral transforms generated by the classical orthogonal polynomials. These integral transforms, related to the so-called Poisson integrals, correspond to a modified Fourier Tra...

The finite Fourier transform of a family of orthogonal polynomials is the usual transform of these polynomials extended by 0 outside their natural domain of orthogonality. Explicit expressions are given for the Legendre, Jacobi, Gegenbauer and Chebyshev families. 2010 Mathematics subject classification: primary 33C45; secondary 44A38, 33C47, 33C10, 42C10.

To explore band structures of three-dimensional photonic crystals numerically, we need to solve the eigenvalue problems derived from the governing Maxwell equations. The solutions of these eigenvalue problems cannot be computed effectively unless a suitable combination of eigenvalue solver and preconditioner is chosen. Taking eigenvalue problems due to Yee’s scheme as examples, we propose using...

Orthogonality of the Jacobi and of Laguerre polynomials, P (α,β) n and L (α) n , is established for α, β ∈ C \ Z−, α + β 6= −2,−3, . . . using the Hadamard finite part of the integral which gives their orthogonality in the classical cases. Riemann-Hilbert problems that these polynomials satisfy are found. The results are formally similar to the ones in the classical case (when Rα,Rβ > −1).

We consider the broken ray transform on Riemann surfaces in the presence of an obstacle. If the surface has nonpositive curvature and the obstacle is strictly convex, we show that a function is determined by its integrals over broken geodesic rays that reflect on the boundary of the obstacle. Our proof is based on a Pestov identity with boundary terms, and it involves Jacobi fields on broken ra...