Damir Kinzebulatov

I am NSERC postdoc at The Fields Institute in Toronto



University of Toronto
Mathematics, 2012






MAT 223S - "Linear Algebra" (Spring 2014)

ACT 460F/STA 2502F - "Stochastic Methods for Actuarial Science and Finance" (Fall 2013)

MAT 135Y "Single Variable Calculus" (Summer 2011)

MAT 235Y "Multivariable Calculus" (Spring 2010)

Complex Analysis and PDEs:

[1] "On parabolic equations in Feller space C_0, and some a priori estimates", Preprint (available upon request), 15 p. We obtain new regularity results for parabolic differential equation \partial_t u = \Delta u + b(t,x) \nabla u with drift b(t,x) having critical singularities (both in time and in spacial variables), in space C_\infty of continuous functions on R^d vanishing at infinity, and also in L^p. Our approach uses the iterative procedure of Kovalenko-Semenov and an apriori estimate on L^q norm of the gradient of solution.

[2] "Kohn decomposition for forms on coverings of complex manifolds constrained along the fibres" (with A.Brudnyi), Preprint, arXiv:1403.0967 (2014), 18 p 1403.0967v1.pdf    We extend the classical result of J.J. Kohn on Hodge-type decomposition for forms on compact subdomains of Hermitian manifolds to an infinite-dimensional setting: forms taking values in holomorphic Banach vector bundles. Motivation: applications to study of certain spaces of forms on coverings of complex manifolds.

[3] "Towards Oka-Cartan theory for algebras of holomorphic functions on coverings of Stein manifolds I" (with A.Brudnyi), accepted for publication in Revista Mat. Iberoamericana (2013), 38 p bru_kinz_1.pdf

[4] "Towards Oka-Cartan theory for algebras of holomorphic functions on coverings of Stein manifolds II" (with A.Brudnyi), accepted for publication in Revista Mat. Iberoamericana (2013), 56 p bru_kinz_2.pdf

We develop a Complex Function Theory within some Frechet algebras of holomorphic functions on coverings of Stein manifolds.
  - Bohr's algebra of holomorphic almost periodic functions on tube domains;
  - algebra of all fibrewise bounded holomorphic functions (arising e.g. in study of corona problem for H^\infty).
In particular, we obtain (within these algebras of holomorphic functions) the results on holomorphic extension from complex submanifolds, properties of divisors, corona type theorems, holomorphic analogues of the Peter-Weyl approximation theorem, Hartogs type theorems, characterizations of uniqueness sets, etc. Our approach is based on an extension of the classical Oka-Cartan theory to coherent-type sheaves on the maximal ideal spaces of these algebras - topological spaces having some features of complex manifolds.

[5] "Holomorphic almost periodic functions on coverings of complex manifolds" (with A.Brudnyi)
New York J. Math, 17a (2011), p. 267-300 nyjm.pdf   This paper contains preliminary versions of some results in [3], [4]. We also use some algebro-geometric techniques to give example of a submanifold justifying the need to develop an Oka-Cartan type theory of [3], [4].

[6] "Unique continuation for Schroedinger operators. Towards an optimal result" (with L.Shartser), J. Funct. Anal., 258 (2010), p. 2662-2681 UC_jfa.pdf   We prove the property of unique continuation for solutions of differential inequality |\Delta u| \leq |Vu|, with potential V belonging to a local analogue of a class for which Schroedinger operator -\Delta+V is well defined in the sense of form-sum. We apply our result to the problem of absence of positive eigenvalues for self-adjoint Schroedinger operators with form-bounded potentials V, i.e. potentials that admit critical singularities. Our result stengthens a number of classical results (by E. Stein, D. Jerison and C. Kenig, C. Chanillo and E. Sawyer).

[7] "Holomorphic semi-almost periodic functions" (with A.Brudnyi), Integr. Equ. Operat. Theory, 66 (2010), p.293-325 0911.0954v1.pdf

[8] "On algebras of holomorphic functons with semi-almost periodic boundary values" (with A.Brudnyi), C. R. Math. Rep. Acad. Sci. Canada, 32 (2010), p.1-12.

[9] "On uniform subalgebras of L\infty on the unit circle generated by almost periodic functions" (with A.Brudnyi), St. Petersburg Math. J. 19 (2008), p.495-518 BK - SPbJMath.pdf

How does fixing the type of discontinuity of boundary values of a bounded holomorphic function F on the unit disk D affects the properties of F inside of D?
   Lindelof theorem states that the boundary values f=F|_{\partial D} of F can not have first-kind discontinuities. However, there are functions \Phi such that \Phi(F)|_{\partial D} can be first-kind disconinuous. It turns out that in the case \Phi(z)=|z| there is a connection between bounded holomorphic functions on D whose moduli can have only first-kind boundary discontinuities and Sarason's semi-almost periodic functions on \partial D (a priori, there is nothing almost periodic about bounded holomorphic functions and first-kind discontinuities!).
This link allows us to apply, in our study, the results on almost periodic functions. In particular, we establish
for this algebra of bounded of holomorphic functions:
 - Grothendieck's approximation property (still a conjecture for H^\infty(D)).
 - Corona theorem.
 - Results on completion of matrices with entries in this algebra,
Our methods admit extension to subalgebras determined by other functions \Phi.

Topological structure of the maximal ideal space

  [10] "A note on Gagliardo-Nirenberg type inequalities on analytic sets", C. R. Math. Rep. Acad. Sci. Canada, 30 (2009), p.97-105. kinzebulatovC351.pdf We study a new local invariant of singularities of complex analytic sets. This invariant arises as a 'correcting exponent' in a family of Sobolev-type inequalities relating norms of functions on these sets.

[11] "Systems with distributions and viability theorem", J. Math. Anal. Appl., 331 (2007), p. 1046-1067 kinz_viab.pdf

[12] "Dynamical generalized functions and the multiplication problem" (with V.Derr), Russian Math., 51 (2007), p.32-43 0603351.pdf

We study some qualitative properties of ordinary differential equations arising in singular Optimal Control problems. To carry out this study, we had to introduce a new space of measures (distributions) with a continuous operation of multiplication by first-kind discontinuous functions.

Algorithmic and HF trading:

[13] "Algorithmic trading with learning" (with A.Cartea, S.Jaimungal), Preprint, SSRN eLibrary, http://ssrn.com/abstract=2373196 (2013), 20 p. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2373196
    We propose a model where an algorithmic trader takes a view on the distribution of prices at a future date and then decides how to trade in the direction of her predictions using the optimal mix of market and limit orders. Namely, we model the asset midquote price as a randomized Brownian bridge: 

S_t=S_0+\sigma\beta_{tT}+ tD/T 

where D is a random variable that encodes the trader's prior belief on the asset's future price distribution, the `noise' term \beta_{tT} is a standard Brownian bridge over time interval independent of D. As time flows, the trader learns the realized value of D. The trader has access to filtration F_t generated by process S_t, but not to the filtration of \beta_{tT} (the latter would mean that the trader has perfect information, i.e. she would be able to find the realized value of D prior to terminal time T). 

    In particular, we establish that compared to a trader that cannot learn from market dynamics 
or form a view of the market (i.e. D is normally distributed with variance s\igma^2T, in which case term (E[D|F_t]-S_t+S_0)/(T-t) in the SDE is zero, and S_t becomes an arithmetic Brownian motion), the algorithmic trader's profits are higher and more certain. Even though the trader executes a strategy based on a directional view, the sources of profits are both from making the spread as well as capital appreciation of inventories. Higher volatility of prices considerably impairs the trader's ability to learn from price innovations, but this adverse effect can be circumvented by learning from a collection of assets that co-move.

[14] "Optimal accelerated share repurchase" (with S.Jaimungal, D.Rubisov), 
Preprint, SSRN eLibrary, http://ssrn.com/abstract=2360394 (2013), 28 p. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2360394

An accelerated share repurchase (ASR) allows a fi rm to repurchase a signi cant portion of its shares immediately, while shifting the burden of reducing the impact and uncertainty in the trade to an intermediary. The intermediary must then purchase the shares from the market over several days, weeks, or as much as several months. Some contracts allow the intermediary to specify when the repurchase ends, at which point the corporation and the intermediary exchange the di erence between the arrival price and the TWAP over the trading period plus a spread. Hence, the intermediary e ffectively has an American option embedded within an optimal execution problem. As a result, the fi rm receives a discounted spread relative to the no early exercise case.
    In this work, we address the intermediary's optimal execution and exit strategy taking into account the impact that trading has on the market. We demonstrate that it is optimal to exercise when the TWAP exceeds \zeta(t)S_t, where S_t is the fundamental price of the asset and \zeta(t) is deterministic. Moreover, we develop a dimensional reduction of the Stochastic Control and Stopping problem and implement an efficient numerical scheme to compute the optimal trading and exit strategies.

Industry papers

[15] "Optimal acquisition with a price limiter" (with S.Jaimungal), to appear in RISK J.

Earlier research (B.Sc and M.Sc)

[16] "On the extension of Schwartz distributions to the space of discontinuous test functions of several variables" (with V. Derr), Rocky Mountain J. Math, 39 (2009), p. 32-43 (applications to Game Theory, accepted for publication in 2006).

[17] "On linear perturbations of the Ricker model" (with E. Braverman), Math Biosci., 202  (2006), p. 323-339 brav_kinz0.pdf

[18] "Nicholson's blowflies equation with a distributed delay" (with E. Braverman)Canadian Appl. Math. Q., 14 (2006), p. 107-128 brav_kinz.pdf

We study properties of some cassical model of Population Dynamics.

Last update: March 2014