We study the explicit calculation of the set of superhedging portfolios of contingent claims in a discrete-time market model for d assets with proportional transaction costs. The set of superhedging portfolios can be obtained by a recursive construction involving set operations, going backward...

Consider the singular value decomposition (SVD) of a two-parameter function A(x), x∈Ω⊂R2, where Ω is simply connected and compact, with boundary Γ. No matter how differentiable the function A is (even analytic), in general the singular values lose all smoothness at points where they...

The evolution of open systems, subject to both Hamiltonian and dissipative forces, is studied by writing the nm element of the time (t) dependent density matrix in the formρnm(t)=1A∑α=1Aγnα(t)γmα*(t).The so called “square-root factors”, the γ(t)'s, are non-square matrices and are...