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We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential L\'evy models. Our method extends the effective approach developed by Wang, Wan & Forsyth (2007) for the 1-dimensional…
We consider a L\'evy process $Y(t)$ that is not permanently observed, but rather inspected at Poisson($\omega$) moments only, over an exponentially distributed time $T_\beta$ with parameter $\beta$. The focus lies on the analysis of the…
The tempered fractional diffusion equation could be recognized as the generalization of the classic fractional diffusion equation that the truncation effects are included in the bounded domains. This paper focuses on designing the high…
We study finite element approximations of the nonhomogeneous Dirichlet problem for the fractional Laplacian. Our approach is based on weak imposition of the Dirichlet condition and incorporating a nonlocal analogous of the normal derivative…
In this work, we use the integral definition of the fractional Laplace operator and study a sparse optimal control problem involving a fractional, semilinear, and elliptic partial differential equation as state equation; control constraints…
In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy…
In this paper we give an $L_p$-theory for stochastic parabolic equations with random fractional Laplacian operator. The driving noises are general L\'evy processes.
In this article, we develop a new method to approximate numerically the fractional Laplacian of functions defined on $\mathbb R$, as well as some more general singular integrals. After mapping $\mathbb R$ into a finite interval, we…
We study a class of generalized Laplacian operators by violating the ellipticity with degenerate metric tensors. The theory is motivated by the statistical mechanics of topologically constrained particles. In the context of diffusion…
In this paper the numerical approximation of solutions of Liouville-Master Equations for time-dependent distribution functions of Piecewise Deterministic Processes with memory is considered. These equations are linear hyperbolic PDEs with…
Partial differential equations (PDEs) describing thermodynamically isolated systems typically possess conserved quantities (like mass, momentum, and energy) and dissipated quantities (like entropy). Preserving these conservation and…
We present and analyze an a posteriori error estimator based on mesh refinement for the solution of the hypersingular boundary integral equation governing the Laplacian in three dimensions. The discretization under consideration is a…
We provide series expansions for the tempered stable densities and for the price of European-style contracts in the exponential L\'evy model driven by the tempered stable process. These formulas recover several popular option pricing…
We consider the spectral definition of the fractional Laplace operator and study a basic linear problem involving this operator and singular forcing. In two dimensions, we introduce an appropriate weak formulation in fractional Sobolev…
A bosonic Laplacian is a conformally invariant second order differential operator acting on smooth functions defined on domains in Euclidean space and taking values in higher order irreducible representations of the special orthogonal…
The purpose of this work is the study of solution techniques for problems involving fractional powers of symmetric coercive elliptic operators in a bounded domain with Dirichlet boundary conditions. These operators can be realized as the…
We investigate the lower bound for higher eigenvalues $\lambda_i$ of the poly-Laplace operator on a bounded domain and improve the famous Li-Yau inequality and its related results. Firstly, we consider the low dimensional cases for the…
In this work, we introduce a new discretization to the fractional Laplacian and use it to elaborate an approximation scheme for fractional heat equations perturbed by a multiplicative cylindrical white noise. In particular, we estimate the…
In this paper we introduce new characterizations of spectral fractional Laplacian to incorporate nonhomogeneous Dirichlet and Neumann boundary conditions. The classical cases with homogeneous boundary conditions arise as a special case. We…
We use form methods to define suitable realisations of the Laplacian on a domain $\Omega$ with Wentzell boundary conditions, i.e. such that $\partial_{\mathrm{n}}u + \beta u + \Delta u = 0$ holds in a suitable sense on the boundary of…