相关论文: Obstacle problems for nonlocal operators: A brief …
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown.…
We consider the optimal stopping problem with non-linear $f$-expectation (induced by a BSDE) without making any regularity assumptions on the reward process $\xi$. and with general filtration. We show that the value family can be aggregated…
The aim of this paper is twofold: to prove, for L^1-data, the existence and uniqueness of an entropy solution to the obstacle problem for nonlinear elliptic equations with variable growth, and to show some convergence and stability…
We consider the variational inequality problem over the intersection of fixed point sets of firmly nonexpansive operators. In order to solve the problem, we present an algorithm and subsequently show the strong convergence of the generated…
We study nonlinear elliptic equations for operators corresponding to non-stable L\'evy diffusions. We include a sum of fractional Laplacians of different orders. Such operators are infinitesimal generators of non-stable (i.e., non…
In this paper, we study the regularity of the solution for the obstacle problem associated with the linearized Monge-Amp\`ere operator: \begin{align*} \begin{cases} &u\geq\varphi \text{\quad in } \Omega &L_{ w}u=\tr( W D^{2}u)\leq 0…
In this paper we study the existence of solution for the following class of nonlocal problems \[ L_0u =f(x,u)+g(x) , \ \mbox{in} \ \Omega, \] where $\Omega \subset \mathbb{R}^{N}$, $N\geq 1$, is a bounded connected open, $g \in…
In this paper we study coupled fully non-local equations, where a linear non-local operator jointly acts on the time and space variables. We establish existence and uniqueness of the solution. A maximum principle is proved and used to…
Considering evolutionary equations in the sense of Picard, we identify a certain topology for material laws rendering the solution operator continuous if considered as a mapping from the material laws into the set of bounded linear…
In this PhD thesis, we deal with problems related to nonlocal operators, in particular to the fractional Laplacian and to some other types of fractional derivatives (the Caputo and the Marchaud derivatives). We make an extensive…
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in…
A variational inequality for pricing the perpetual American option and the corresponding difference equation are considered. First, the maximum principle and uniqueness of the solution to variational inequality for pricing the perpetual…
In this paper, we aim to study solutions of reflected generalized BSDEs, involving the integral with respect to a continuous process, which is the local time of the diffusion on the boundary. We consider both a finite random terminal and a…
This paper studies the problem of optimally extracting nonrenewable natural resources. Taking into account the fact that the market values of the main natural resources i.e. oil, natural gas, copper,..., etc, fluctuate randomly following…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
We introduce and study renewal processes defined by means of extensions of the standard relaxation equation through ``stretched" non-local operators (of order $\alpha$ and with parameter $\gamma$). In a first case we obtain a generalization…
In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the deterministic version of the Verification Theorem of the…
We study nonlinear parabolic PDEs with Orlicz-type growth conditions. The main result gives the existence of a unique solution to the obstacle problem related to these equations. To achieve this we show the boundedness of weak solutions and…
The existence and uniqueness of probabilistic solutions of variational inequalities for the general American options are proved under the hypothesis of hypoellipticity of the infinitesimal generator of the underlying diffusion process which…
We investigate the solution to the logistic equation involving non-local operators in time. In the linear case such operators lead to the well-known theory of time changes. We provide the probabilistic representation for the non-linear…