Related papers: Jump formulas for singular integrals and layer pot…
We construct a finite element like scheme for fully non-linear integro-partial differential equations arising in optimal control of jump-processes. Special cases of these equations include optimal portfolio and option pricing equations in…
We propose a new, unified approach to solving jump-diffusion partial integro-differential equations (PIDEs) that often appear in mathematical finance. Our method consists of the following steps. First, a second-order operator splitting on…
We describe an algorithm that provably computes the rational torsion subgroup of the Jacobian of a curve without relying on height bounds. Instead, the strategy is to find upper bounds for the torsion subgroup using reduction modulo primes,…
A piecewise constant local martingale $M$ with boundedly many jumps is a uniformly integrable martingale if and only if $M_\infty^-$ is integrable.
We present a family of high order trapezoidal rule-based quadratures for a class of singular integrals, where the integrand has a point singularity. The singular part of the integrand is expanded in a Taylor series involving terms of…
We revisit the classical dual ascent algorithm for minimization of convex functionals in the presence of linear constraints, and give convergence results which apply even for non-convex functionals. We describe limit points in terms of the…
It is proven that for any topological or analytical types of isolated singular points of plane curves, there exists a non-real irreducible plane algebraic curve of degree $d$ which goes through $d^2$ real distinct points and has imaginary…
We provide an alternative proof of a (local) T1 theorem for dual exponents in the non-homogeneous setting of upper doubling measures. This previously known theorem provides necessary and sufficient conditions for the L^p-boundedness of…
The problem of bound states in delta potentials is revisited by means of Fourier transform approach. The problem in a simple delta potential sums up to solve an algebraic equation of degree one for the Fourier transform of the eigenfunction…
In this article, we study a calibrated version of Reifenberg theorem "with holes". In particular we study sets that are suitably approximable at all points and scales by calibrated planes and show that, without any additional hypotheses on…
This paper is a survey of uniqueness results for stochastic differential equations with jumps and regularity results for the corresponding harmonic functions.
For local martingales with nonnegative jumps, we prove a sufficient criterion for the corresponding exponential martingale to be a true martingale. The criterion is in terms of exponential moments of a convex combination of the optional and…
Models of computation operating over the real numbers and computing a larger class of functions compared to the class of general recursive functions invariably introduce a non-finite element of infinite information encoded in an arbitrary…
In earlier work the authors obtained integral formulas for probabilities for a single particle in the asymmetric simple exclusion process. Here formulas are obtained for joint probabilities for several particles. In the case of a single…
A revision of the recursive method proposed by S.A. Shakir [Am. J.Phys. \textbf{52}, 845 (1984)] to solve bound eigenvalues of the Schr\"odinger equation is presented. Equations are further simplified and generalized for computing wave…
We establish local Calder\'on-Zygmund type estimates for weak solutions to nonlinear parabolic systems with $p$-growth and VMO coefficients. In particular, we prove that if the right-hand side belongs locally to $L^{\mu s}$, where the…
We present a simple yet accurate method to compute the adjoint double layer potential, which is used to solve the Neumann boundary value problem for Laplace's equation in three dimensions. An expansion in curvilinear coordinates leads us to…
We prove the invertibility of the relevant single and double layer potentials associated to some generalizations of the Stokes operator on bounded domains. In order to do that, we first develop an ``algebra tool kit'' to deal with limit and…
The existence of solutions of some nonlocal initial value problems for differential inclusions is established. The guiding potential method is used and the topological degree theory for admissible multivalued vector fields is applied. Some…
This article presents a novel approach to enhance the accuracy of classical quadrature rules by incorporating correction terms. The proposed method is particularly effective when the position of an isolated discontinuity in the function and…