Related papers: The Heston stochastic volatility model has a bound…
We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with volatility driven by fractional Brownian motion with short…
This paper studies the asymptotic stability of solution to an initial-boundary value problem for a hyperbolic-elliptic coupled system on two-dimensional half space, where the data on the boundary and at the far field are prescribed as $u_-$…
Consider the thin-film equation $h_t + \left(h h_{yyy}\right)_y = 0$ with a zero contact angle at the free boundary, that is, at the triple junction where liquid, gas, and solid meet. Previous results on stability and well-posedness of this…
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is non-negative and mean-reverting, which is what we observe in the markets. Secondly, there…
We announce some new results for proving H\"older continuity of weak solutions to quasilinear parabolic equations whose prototype takes the form $$u_t - div (|\nabla u|^{p-2}\nabla u)= 0 \qquad \text{or} \qquad u_t - div…
The paper concerns boundary value problems for general nonautonomous first order quasilinear hyperbolic systems in a strip. We construct small global classical solutions, assuming that the right hand sides are small. In the case that all…
We extend the results obtained in \cite{Dov22} by introducing a new class of boundary value problems involving non-local dynamic boundary conditions. We focus on the problem to find a solution to a local problem on a domain $\Omega$ with…
We investigate global bounded solutions of higher regularity to boundary value problems for a general linear nonautonomous first order 1D hyperbolic system in a strip. We establish the existence of such solutions under the assumption of…
We consider solutions to linear parabolic SPDEs of the form \[ \mathrm{d} u(t) + A u(t)\, \mathrm{d} t = g(t)\, \mathrm{d} \beta, \qquad u(0)=0, \] where $A$ is a positive, invertible, and self-adjoint operator on a Hilbert space $X$,…
We discuss a class of linear control problems in a Hilbert space setting, which covers diverse systems such as hyperbolic and parabolic equations with boundary control and boundary observation even including memory terms. We introduce…
This paper considers the valuation of a European call option under the Heston stochastic volatility model. We present the asymptotic solution to the option pricing problem in powers of the volatility of variance. Then we introduce the…
We establish sharp higher-order H\"older regularity estimates up to the boundary for solutions to equations of the form $\partial_t u-Lu=f(t,x)$ in $I\times\Omega$ where $I\subset\mathbb{R}$, $\Omega\subset\mathbb{R}^n$ and $f$ is H\"older…
We study a class of degenerate hyperbolic equations in a bounded domain whose degeneracy occurs at a boundary point. We first develop the weighted functional framework, prove well-posedness of the degenerate problem, and establish…
This paper is dedicated to a free boundary system arising in the study of a class of shape optimization problems. The problem involves three variables: two functions $u$ and $v$, and a domain $\Omega$; with $u$ and $v$ being both positive…
We consider front solutions of the Swift-Hohenberg equation $\partial_t u= -(1+\partial_x^2)^2 u +\epsilon ^2 u -u^3$. These are traveling waves which leave in their wake a periodic pattern in the laboratory frame. Using renormalization…
We investigate the qualitative properties of the weak solutions to the boundary value problems for the hyperbolic fourth-order linear equations with constant coefficients in the plane bounded domain convex with respect to characteristics.…
In this manuscript we analyze the weak convergence rate of a discretization scheme for the Heston model. Under mild assumptions on the smoothness of the payoff and on the Feller index of the volatility process, respectively, we establish a…
Hamiltonian variational principles provided, since 60s, the means of developing very successful wave theories for nonlinear free-surface flows, under the assumption of irrotationality. This success, in conjunction with the recognition that…
This paper deals with a family of stochastic control problems in Hilbert spaces which arises in typical applications (such as boundary control and control of delay equations with delay in the control) and for which is difficult to apply the…
Consider the parabolic free boundary problem $$ \Delta u - \partial_t u = 0 \textrm{in} \{u>0\}, |\nabla u|=1 \textrm{on} \partial\{u>0\} . $$ For a realistic class of solutions, containing for example {\em all} limits of the singular…