Ground-breaking recent work by Carr and Lee extends well-known results for variance swaps to arbitrary functions of realized variance, provided a zero-correlation assumption is made. We give a detailed mathematical analysis of some of their computations and work out the cases of volatility swaps and calls on variance. The latter leads to an ill-posed problem that we solve using regularization t...

The spectral representation for stochastic integration operators with respect to the Wiener process is proposed in form of a composition characteristics used mathematical description control systems. This can be defined relative various orthonormal bases. For given deterministic square-integrable kernels, characteristic operator determined as an infinite random matrix. main applications such su...

The one-dimensional Dunkl operator Dk with a non-negative parameter k, is considered under an arbitrary nonlocal boundary value condition. The right inverse operator of Dk, satisfying this condition is studied. An operational calculus of Mikusiński type is developed. In the frames of this operational calculi an extension of the Heaviside algorithm for solution of nonlocal Cauchy boundary value ...

An extended isogeometric analysis (XIGA) approach is proposed for modeling fracturing in a fluid-saturated porous material. XIGA provides definition of the discontinuity independent underlying mesh layout, which obviates need knowing crack extension direction priori. Unlike Lagrange shape functions used standard finite element approach, non-uniform rational B-splines (NURBS) provide higher-orde...

In this paper, the extended finite element method (XFEM) is employed to investigate the statics and vibration problems of cracked isotropic bars and beams. Three kinds of elements namely the standard, the blended and the enriched elements are utilized to discretize the structure and model cracks. Two techniques referred as the increase of the number of Gauss integration points and the rectangle...

This paper presents and studies a residual a posteriori error estimator for Laplace’s equation in two space dimensions approximated by the eXtended Finite Element Method (XFEM). The XFEM allows to perform finite element computations on multi-cracked domains by using meshes of the non-cracked domain. The main idea consists of adding supplementary basis functions of Heaviside type and singular fu...

The set of interval Hausdorff continuous functions constitutes the largest space preserving basic algebraic and topological structural properties of continuous functions, such as linearity, ring structure, Dedekind order completeness, etc. Spaces of interval functions have important applications not only in the construction of numerical methods and algorithms, but to problems in abstract areas ...

here, we have considered the husimi and wigner distribution functions. we have, inparticular, shown how the uncertainty principle works for the two cases of simple and damped harmonicoscillators when either of these two distributions are used. the conclusion shows that the husimidistribution function remains non-negative through the phase space but it does not always satisfies theuncertainty pr...