arXiv subjects

Nan Wu

Publications and source records attributed to Nan Wu.

111 records · Page 7Linked to original sources

arXiv2014

Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact

In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is also a local nonlinear transaction cost associated to the liquidation. The model deals with both the permanent impact and the temporary impact in a regime switching framework. The problem can be solved with the dynamic programming principle. The optimal value function is the unique continuous viscosity solution to the HJB equation and can be computed with the finite difference method.

q-fin.PM↗

arXiv2011

On Measurement and Computation

Inspired by the work of Feynman, Deutsch, We formally propose the theory of physical computability and accordingly, the physical complexity theory. To achieve this, a framework that can evaluate almost all forms of computation using various physical mechanisms is discussed. Here, we focus on using it to review the theory of Quantum Computation. As a preliminary study on more general problems, some examples of other physical mechanism are also given in this paper.

physics.comp-ph↗

arXiv2009

Common Borel radius of an algebroid function and its derivative

In this article, by comparing the characteristic functions, we prove that for any $ν$-valued algebroid function $w(z)$ defined in the unit disk with $\limsup_{r\to1-}T(r,w)/\log\frac{1}{1-r}=\infty$ and the hyper order $ρ_2(w)=0$, the distribution of the Borel radius of $w(z)$ and $w'(z)$ is the same. This is the extension of G. Valiron's conjecture for the meromorphic functions defined in $\widehat{\mathbb{C}}$.

math.CV↗