相关论文: Obstacle problems for nonlocal operators: A brief …
We study the regularity of the viscosity solution to the fully nonlinear parabolic thin obstacle problem. In particular, we prove that the solution is local $H^{1+\alpha}$ on each side of the smooth obstacle, for some small $\alpha>0.$…
We consider a new family of derivatives whose payoffs become strictly positive when the price of their underlying asset falls relative to its historical maximum. We derive the solution to the discretionary stopping problems arising in the…
In the present paper, we propose the investigation of variable-exponent, degenerate/singular elliptic equations in non-divergence form. This current endeavor parallels the by now well established theory of functionals satisfying nonstandard…
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed option prices---it provides a perfect fit---the essential…
The one-dimensional Dunkl operator $D_k$ with a non-negative parameter $k$, is considered under an arbitrary nonlocal boundary value condition. The right inverse operator of $D_k$, satisfying this condition is studied. An operational…
The non-local problem is considered for the partial differential equation of mixed-type with Bessel operator and fractional order. An explicit solution is represented by Fourier-Bessel series in the given domain. It is established the…
We derive the short-maturity asymptotics for Asian option prices in local-stochastic volatility (LSV) models. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered. Using large deviations theory methods, the…
By means of topological methods, we provide new results on the existence, non-existence, localization and multiplicity of nontrivial solutions for systems of perturbed Hammerstein integral equations. In order to illustrate our theoretical…
Local volatility is a versatile option pricing model due to its state dependent diffusion coefficient. Calibration is, however, non-trivial as it involves both proposing a hypothesis model of the latent function and a method for fitting it…
In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian option prices with a small volatility interval. By imposing…
We study nonlocal operators acting on functions in the Euclidean space. The operators under consideration generate anisotropic jump processes, e.g., a jump process that behaves like a stable process in each direction but with a different…
In this article we consider a class of non-degenerate elliptic operators obtained by superpositioning the Laplacian and a general nonlocal operator. We study the existence-uniqueness results for Dirichlet boundary value problems, maximum…
We prove a uniqueness theorem for the obstacle problem for linear equations involving the fractional Laplacian with zero Dirichlet exterior condition. The problem under consideration arises as the limit of some logistic-type equations. Our…
In this note we set up the elliptic and the parabolic Dirichlet problem for linear nonlocal operators. As opposed to the classical case of second order differential operators, here the "boundary data" are prescribed on the complement of a…
In this work we present an analytical model, based on the path-integral formalism of Statistical Mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under…
As a class of L\'evy type Markov generators, nonlocal Waldenfels operators appear naturally in the context of investigating stochastic dynamics under L\'evy fluctuations and constructing Markov processes with boundary conditions (in…
In this paper we survey some results on the Dirichlet problem \[\left\{ \begin{array}{rcll} L u &=&f&\textrm{in }\Omega \\ u&=&g&\textrm{in }\mathbb R^n\backslash\Omega \end{array}\right.\] for nonlocal operators of the form…
We put together a general framework to deal with elliptic and parabolic equations associated with (nonlinear) nonlocal (fractional order) operators. Many well-known nonlocal operators enter into our framework, and in addition one may…
We study some critical elliptic problems involving the difference of two nonlocal operators, or the difference of a local operator and a nonlocal operator. The main result is the existence of two nontrivial weak solutions, one with negative…
We study a class of nonlinear non-autonomous nonlocal equations with subcritical and critical exponential nonlinearity. The involved potential can vanish at infinity.