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Portfolio Theory and Arbitrage: A Course in Mathematical Finance
This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called “Kelly” or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization. The bo...
Analysis of Monge–Ampère Equations
This book presents a systematic analysis of the Monge–Ampère equation, the linearized Monge–Ampère equation, and their applications, with emphasis on both interior and boundary theories. Starting from scratch, it gives an extensive survey of fundamental results, essential techniques, and intriguing phenomena in the solvability, geometry, and regularity of Monge–Ampère equations. It describes in depth diverse applications arising in geometry, fluid mechanics, meteorology, economics, and the calculus of variations. The modern treatment of boundary behaviors of solutions to Monge–Ampère equations, a very important topic of the theory, is thoroughly discussed. The book synthesizes ma...
Stochastic Analysis, Filtering, and Stochastic Optimization
This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
An Introductory Course on Mathematical Game Theory and Applications
Game theory provides a mathematical setting for analyzing competition and cooperation in interactive situations. The theory has been famously applied in economics, but is relevant in many other sciences, such as psychology, computer science, artificial intelligence, biology, and political science. This book presents an introductory and up-to-date course on game theory addressed to mathematicians and economists, and to other scientists having a basic mathematical background. The book is self-contained, providing a formal description of the classic game-theoretic concepts together with rigorous proofs of the main results in the field. The theory is illustrated through abundant examples, applic...
Linear Algebra in Action
This book is based largely on courses that the author taught at the Feinberg Graduate School of the Weizmann Institute. It conveys in a user-friendly way the basic and advanced techniques of linear algebra from the point of view of a working analyst. The techniques are illustrated by a wide sample of applications and examples that are chosen to highlight the tools of the trade. In short, this is material that the author has found to be useful in his own research and wishes that he had been exposed to as a graduate student. Roughly the first quarter of the book reviews the contents of a basic course in linear algebra, plus a little. The remaining chapters treat singular value decompositions, ...
Topics in Applied Mathematics and Modeling
The analysis and interpretation of mathematical models is an essential part of the modern scientific process. Topics in Applied Mathematics and Modeling is designed for a one-semester course in this area aimed at a wide undergraduate audience in the mathematical sciences. The prerequisite for access is exposure to the central ideas of linear algebra and ordinary differential equations. The subjects explored in the book are dimensional analysis and scaling, dynamical systems, perturbation methods, and calculus of variations. These are immense subjects of wide applicability and a fertile ground for critical thinking and quantitative reasoning, in which every student of mathematics should have ...
Commutative Algebra
This book provides an introduction to classical methods in commutative algebra and their applications to number theory, algebraic geometry, and computational algebra. The use of number theory as a motivating theme throughout the book provides a rich and interesting context for the material covered. In addition, many results are reinterpreted from a geometric perspective, providing further insight and motivation for the study of commutative algebra. The content covers the classical theory of Noetherian rings, including primary decomposition and dimension theory, topological methods such as completions, computational techniques, local methods and multiplicity theory, as well as some topics of ...
Bifurcation Theory
This textbook provides a thorough overview of bifurcation theory. Assuming some familiarity with differential equations and dynamical systems, it is suitable for use on advanced undergraduate and graduate level and can, in particular, be used for a graduate course on bifurcation theory. The book combines a solid theoretical basis with a detailed description of classical bifurcations. It is organized in chapters on local, nonlocal, and global bifurcations; a number of appendices develop the toolbox for the study of bifurcations. The discussed local bifurcations include saddle-node and Hopf bifurcations, as well as the more advanced Bogdanov-Takens and Neimark-Sacker bifurcations. The book als...
Lectures on Differential Geometry
Differential geometry is a subject related to many fields in mathematics and the sciences. The authors of this book provide a vertically integrated introduction to differential geometry and geometric analysis. The material is presented in three distinct parts: an introduction to geometry via submanifolds of Euclidean space, a first course in Riemannian geometry, and a graduate special topics course in geometric analysis, and it contains more than enough content to serve as a good textbook for a course in any of these three topics. The reader will learn about the classical theory of submanifolds, smooth manifolds, Riemannian comparison geometry, bundles, connections, and curvature, the Chern?...
A First Course in Fractional Sobolev Spaces
This book provides a gentle introduction to fractional Sobolev spaces which play a central role in the calculus of variations, partial differential equations, and harmonic analysis. The first part deals with fractional Sobolev spaces of one variable. It covers the definition, standard properties, extensions, embeddings, Hardy inequalities, and interpolation inequalities. The second part deals with fractional Sobolev spaces of several variables. The author studies completeness, density, homogeneous fractional Sobolev spaces, embeddings, necessary and sufficient conditions for extensions, Gagliardo-Nirenberg type interpolation inequalities, and trace theory. The third part explores some applic...
