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In this thesis a mathematical description and analysis of the Cumulative Prospect Theory is presented. Conditions that ensure well-posedness of the problem are provided, as well as existence results concerning optimal policies for discrete-time incomplete market models and for a family of diffusion market models. A brief outline of how this work is organised follows. In Chapter 2 important results on weak convergence and discrete time finance models are described, these facts form the main background to introduce in Chapter 3 the problem of optimal investment under the CPT theorem in a discrete time setting. We describe our model, present some assumptions and main results are derived. The second part of this work comprises the description of the martingale problem formulation of diffusion processes in Chapter 4. A key result on the limits and topological properties of the set of laws of a class of Itô processes is described in Chapter 5. Finally, we introduce a factor model that includes a class of stochastic volatility models, possibly with path-depending coefficients. Under this model, the problem of optimal investment with a behavioural investor is analysed and our main results on well-posedness and existence of optimal strategies are described under the framework of weak solutions. Further research and challenges when applying the techniques developed in this work are described.

In this paper, we consider as an inverse problem the simultaneous estimation of the five parameters of a jump diffusion process from return observations of a price trajectory. We show that there occur some ill-posedness phenomena in the parameter estimation problem, because the forward operator fails to be injective and small perturbations in the data may lead to large changes in the solution. We illustrate the instability effect by a numerical case study. To overcome the difficulty coming from ill-posedness we use a multi-parameter regularization approach that finds a trade-off between a least-squares approach based on empircal densities and a fitting of semi-invariants. In this context, a fixed point iteration is proposed that provides good results for the example under consideration in the case study.

京都大学 / 0048 / 新制・課程博士 / 博士(理学) / 甲第18042号 / 理博第3920号 / 新制||理||1566(附属図書館) / 30900 / 京都大学大学院理学研究科数学・数理解析専攻 / (主査)教授 堤 誉志雄, 教授 加藤 毅, 教授 上田 哲生 / 学位規則第4条第1項該当 / Doctor of Science / Kyoto University / DGAM

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The dissertation gives a rigorous study of surface waves on water of finite depth subjected to gravitational force. As for `water', it is an inviscid and incompressible fluid of constant density and the flow is irrotational. The fluid is bounded above by a free surface separating the fluid from the air above (assumed to be a vacuum) and below by a rigid flat bottom. Then, the governing equations for the motion of the fluid flow are called Euler equations. If the initial fluid flow is prescribed at time zero, i.e., mathematically the initial condition for the Euler equations is given, the long-time existence of a unique solution for the Euler equations is still an open problem, even if the initial condition is small (or initial flow is almost motionless). The dissertation tries to make some progress for proving the long-time existence and show that the time interval of the existence is exponentially long, called almost global well-posedness, if the initial condition is small and satisfies some conditions. The main ideas for the study are from the corresponding almost global well-posedness result for surface waves on water of infinite depth. / Doctor of Philosophy / This dissertation concerns the mathematical study of surface waves on water of finite depth under gravitational force. Mathematically, water is considered as a fluid of constant density that has no viscosity and is incompressible. It is also assumed that any portion of the corresponding fluid flow is not rotating. Furthermore, the water is bounded above by a free surface separating the water from the air above and below by a rigid horizontal flat bottom. A natural question to ask is whether the water surface will keep smooth and will not break as time progresses, if a small disturbance on the flat free surface and the tranquil water-body is initially created. The dissertation tries to make some progress on this question by showing that under some mathematical and technical assumptions, the water surface remains smooth and will not break for a very long time by using the mathematical equations derived from the laws of physics.

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In this paper, we study ill-posedness concepts of nonlinear and linear inverse problems in a Hilbert space setting. We define local ill-posedness of a nonlinear operator equation $F(x) = y_0$ in a solution point $x_0$ and the interplay between the nonlinear problem and its linearization using the Frechet derivative $F\acent(x_0)$ . To find an appropriate ill-posedness concept for the linarized equation we define intrinsic ill-posedness for linear operator equations $Ax = y$ and compare this approach with the ill-posedness definitions due to Hadamard and Nashed.