Journal of the
Korean Mathematical Society

ISSN(Print) 0304-9914 ISSN(Online) 2234-3008

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  • 2022-11-01

    Robust portfolio optimization under hybrid CEV and stochastic volatility

    Jiling Cao, Beidi Peng, Wenjun Zhang

    Abstract : In this paper, we investigate the portfolio optimization problem under the SVCEV model, which is a hybrid model of constant elasticity of variance (CEV) and stochastic volatility, by taking into account of minimum-entropy robustness. The Hamilton-Jacobi-Bellman (HJB) equation is derived and the first two orders of optimal strategies are obtained by utilizing an asymptotic approximation approach. We also derive the first two orders of practical optimal strategies by knowing that the underlying Ornstein-Uhlenbeck process is not observable. Finally, we conduct numerical experiments and sensitivity analysis on the leading optimal strategy and the first correction term with respect to various values of the model parameters.

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  • 2022-09-01

    Weakly equivariant classification of small covers over a product of simplicies

    Aslı Güçlükan İlhan, Sabri Kaan Gürbüzer

    Abstract : Given a dimension function $\omega$, we introduce the notion of an $\omega$-vector weighted digraph and an $\omega$-equivalence between them. Then we establish a bijection between the weakly $(\mathbb{Z}/2)^n$-equivariant homeomorphism classes of small covers over a product of simplices $\Delta^{\omega(1)}\times\cdots \times \Delta^{\omega(m)}$ and the set of $\omega$-equivalence classes of $\omega$-vector weighted digraphs with $m$-labeled vertices, where $n$ is the sum of the dimensions of the simplicies. Using this bijection, we obtain a formula for the number of weakly $(\mathbb{Z}/2)^n$-equivariant homeomorphism classes of small covers over a product of three simplices.

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  • 2022-07-01

    On $3^k$-regular cubic partitions

    Nayandeep Deka Baruah, Hirakjyoti Das

    Abstract : Recently, Gireesh, Shivashankar, and Naika [11] found some infinite classes of congruences for the 3- and the 9-regular cubic partitions modulo powers of 3. We extend their study to all the $3^k$-regular cubic partitions. We also find new families of congruences.

  • 2023-01-01

    Minimal surface system in Euclidean four-space

    Hojoo Lee

    Abstract : We construct generalized Cauchy-Riemann equations of the first order for a pair of two $\mathbb{R}$-valued functions to deform a minimal graph in ${\mathbb{R}}^{3}$ to the one parameter family of the two dimensional minimal graphs in ${\mathbb{R}}^{4}$. We construct the two parameter family of minimal graphs in ${\mathbb{R}}^{4}$, which include catenoids, helicoids, planes in ${\mathbb{R}}^{3}$, and complex logarithmic graphs in ${\mathbb{C}}^{2}$. We present higher codimensional generalizations of Scherk's periodic minimal surfaces.

  • 2023-03-01

    Ricci-Bourguignon solitons and Fischer-Marsden conjecture on generalized Sasakian-space-forms with $\beta$-Kenmotsu structure

    Sudhakar Kumar Chaubey, Young Jin Suh

    Abstract : Our aim is to study the properties of Fischer-Marsden conjecture and Ricci-Bourguignon solitons within the framework of generalized Sasakian-space-forms with $\beta$-Kenmotsu structure. It is proven that a $(2n+1)$-dimensional generalized Sasakian-space-form with $\beta$-Kenmotsu structure satisfying the Fischer-Marsden equation is a conformal gradient soliton. Also, it is shown that a generalized Sasakian-space-form with $\beta$-Kenmotsu structure admitting a gradient Ricci-Bourguignon soliton is either $\Psi \backslash T^{k} \times M^{2n+1-k}$ or gradient $\eta$-Yamabe soliton.

  • 2023-03-01

    Time periodic solutions to a heat equation with linear forcing and boundary conditions

    In-Jee Jeong, Sun-Chul Kim

    Abstract : In this study, we consider a heat equation with a variable-coefficient linear forcing term and a time-periodic boundary condition. Under some decay and smoothness assumptions on the coefficient, we establish the existence and uniqueness of a time-periodic solution satisfying the boundary condition. Furthermore, possible connections to the closed boundary layer equations were discussed. The difficulty with a perturbed leading order coefficient is demonstrated by a simple example.

  • 2023-01-01

    Geometry of bilinear forms on a normed space $\mathbb{R}^n$

    Sung Guen Kim

    Abstract : For every $n\geq 2$, let $\mathbb{R}^n_{\|\cdot\|}$ be $\mathbb{R}^n$ with a norm $\|\cdot\|$ such that its unit ball has finitely many extreme points more than $2n$. We devote to the description of the sets of extreme and exposed points of the closed unit balls of ${\mathcal L}(^2\mathbb{R}^n_{\|\cdot\|})$ and ${\mathcal L}_s(^2\mathbb{R}^n_{\|\cdot\|})$, where ${\mathcal L}(^2\mathbb{R}^n_{\|\cdot\|})$ is the space of bilinear forms on $\mathbb{R}^n_{\|\cdot\|}$, and ${\mathcal L}_s(^2\mathbb{R}^n_{\|\cdot\|})$ is the subspace of ${\mathcal L}(^2\mathbb{R}^n_{\|\cdot\|})$ consisting of symmetric bilinear forms. Let ${\mathcal F}={\mathcal L}(^2\mathbb{R}^n_{\|\cdot\|})$ or ${\mathcal L}_s(^2\mathbb{R}^n_{\|\cdot\|})$. First we classify the extreme and exposed points of the closed unit ball of ${\mathcal F}$. We also show that every extreme point of the closed unit ball of ${\mathcal F}$ is exposed. It is shown that ${ext}B_{{\mathcal L}_s(^2\mathbb{R}^n_{\|\cdot\|})}={ext}B_{{\mathcal L}(^2\mathbb{R}^n_{\|\cdot\|})}\cap {\mathcal L}_s(^2\mathbb{R}^n_{\|\cdot\|})$ and ${exp}B_{{\mathcal L}_s(^2\mathbb{R}^n_{\|\cdot\|})}={exp}B_{{\mathcal L}(^2\mathbb{R}^n_{\|\cdot\|})}\cap {\mathcal L}_s(^2\mathbb{R}^n_{\|\cdot\|})$, which expand some results of \cite{18, 23, 28, 29, 35, 38, 40, 41, 43}.

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  • 2023-01-01

    Pseudo-Riemannian Sasaki solvmanifolds

    Diego Conti, Federico A. Rossi, Romeo Segnan Dalmasso

    Abstract : We study a class of left-invariant pseudo-Riemannian Sasaki metrics on solvable Lie groups, which can be characterized by the property that the zero level set of the moment map relative to the action of some one-parameter subgroup $\{\exp tX\}$ is a normal nilpotent subgroup commuting with $\{\exp tX\}$, and $X$ is not lightlike. We characterize this geometry in terms of the Sasaki reduction and its pseudo-K\"ahler quotient under the action generated by the Reeb vector field. We classify pseudo-Riemannian Sasaki solvmanifolds of this type in dimension $5$ and those of dimension $7$ whose K\"ahler reduction in the above sense is abelian.

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  • 2023-07-01

    Some algebras having relations like those for the 4-dimensional Sklyanin algebras

    Alexandru Chirvasitu, S. Paul Smith

    Abstract : The 4-dimensional Sklyanin algebras are a well-studied 2-parameter family of non-commutative graded algebras, often denoted $A(E,\tau)$, that depend on a quartic elliptic curve $E \subseteq \mathbb{P}^3$ and a translation automorphism $\tau$ of $E$. They are graded algebras generated by four degree-one elements subject to six quadratic relations and in many important ways they behave like the polynomial ring on four indeterminates except that they are not commutative. They can be seen as ``elliptic analogues'' of the enveloping algebra of $\mathfrak{gl}(2,\mathbb{C})$ and the quantized enveloping algebras $U_q(\mathfrak{gl}_2)$. Recently, Cho, Hong, and Lau conjectured that a certain 2-parameter family of algebras arising in their work on homological mirror symmetry consists of 4-dimensional Sklyanin algebras. This paper shows their conjecture is false in the generality they make it. On the positive side, we show their algebras exhibit features that are similar to, and differ from, analogous features of the 4-dimensional Sklyanin algebras in interesting ways. We show that most of the Cho-Hong-Lau algebras determine, and are determined by, the graph of a bijection between two 20-point subsets of the projective space $\mathbb{P}^3$. The paper also examines a 3-parameter family of 4-generator 6-relator algebras admitting presentations analogous to those of the 4-dimensional Sklyanin algebras. This class includes the 4-dimensional Sklyanin algebras and most of the Cho-Hong-Lau algebras.

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  • 2023-01-01

    Two-weighted conditions and characterizations for a class of multilinear fractional new maximal operators

    Rui Li, Shuangping Tao

    Abstract : In this paper, two weight conditions are introduced and the multiple weighted strong and weak characterizations of the multilinear fractional new maximal operator $\mathcal{M}_{\varphi,\beta}$ are established. Meanwhile, we introduce the $S_{(\vec{p},q),\beta}(\varphi)$ and $B_{(\vec{p},q),\beta}(\varphi)$ conditions and obtain the characterization of two-weighted inequalities for $\mathcal{M}_{\varphi,\beta}$. Finally, the relationships of the conditions $S_{(\vec{p},q),\beta}(\varphi)$, $\mathcal{A}_{(\vec{p},q),\beta}(\varphi)$ and $B_{(\vec{p},q),\beta}(\varphi)$ and the characterization of the one-weight $A_{(\vec{p},q),\beta}(\varphi)$ are given.

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November, 2023
Vol.60 No.6

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