相关论文: The Heston stochastic volatility model has a bound…
This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large…
We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a random variable. In such a system, we study the small-and…
We study a family of initial boundary value problems associated to mixed hyperbolic-parabolic systems: v^{\epsilon} _t + A (v^{\epsilon}, \epsilon v^{\epsilon}_x ) v^{\epsilon}_x = \epsilon B (v^{\epsilon} ) v^{\epsilon}_{xx} The…
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…
In this paper a strongly degenerate parabolic equation derived from a density dependent particle flow model is studied. Furthermore, a free boundary problem and its connection to the strongly degenerate parabolic equation is investigated.…
We consider vector valued weak solutions $u:\Omega_T\to \mathbb{R}^N$ with $N\in \mathbb{N}$ of degenerate or singular parabolic systems of type \begin{equation*} \partial_t u - \mathrm{div} \, a(z,u,Du) = 0 \qquad\text{in}\qquad \Omega_T=…
In this paper we study the initial boundary value problem for the system $\mbox{div}(\sigma(u)\nabla\varphi)=0,\ \ u_t-\Delta u=\sigma(u)|\nabla\varphi|^2$. This problem is known as the thermistor problem which models the electrical heating…
We consider initial-boundary problems for general linear first-order strictly hyperbolic systems with local or nonlocal nonlinear boundary conditions. While boundary data are supposed to be smooth, initial conditions can contain…
We study elliptic and parabolic boundary value problems in spaces of mixed scales with mixed smoothness on the half space. The aim is to solve boundary value problems with boundary data of negative regularity and to describe the…
We study local H\"older regularity of bounded, weak solutions for the nonlocal quasilinear equations of the form \[ (|u|^{q-2}u)_t + \text{P.V.} \int_{\mathbb{R}^n} \frac{|u(x,t) - u(y,t)|^{p-2}(u(x,t)-u(y,t))}{|x-y|^{n+sp}} dy = 0, \] with…
This paper investigates the regularity of Lipschitz solutions $u$ to the general two-dimensional equation $\text{div}(G(Du))=0$ with highly degenerate ellipticity. Just assuming strict monotonicity of the field $G$ and heavily relying on…
We develop a paradifferential approach for studying non-smooth hyperbolic dynamics and related non-linear PDE from a microlocal point of view. As an application, we describe the microlocal regularity, i.e the $H^s$ wave-front set for all…
$H^2$-spatial regularity of stationary and non-stationary problems for Bingham fluids formulated with the pseudo-stress tensor is discussed. The problem is mathematically described by an elliptic or parabolic variational inequality of the…
We consider non-autonomous wave equations \[ \left\{ \begin{aligned} \&\ddot u(t) + \B(t)\dot u(t) + \A(t)u(t) = f(t) \quad t\text{-a.e.}\\ \&u(0)=u_0,\, \dot u(0) = u_1. \end{aligned} \right. \] where the operators $\A(t)$ and $\B(t)$ are…
In this paper, we consider three stochastic-volatility models, each characterized by distinct dynamics of instantaneous volatility: (1) a CIR process for squared volatility (i.e., the classical Heston model); (2) a mean-reverting lognormal…
In this paper we study the Zakharov system on the upper half--plane $U=\{(x ,y)\in \R^2: y>0\}$ with non-homogenous boundary conditions. In particular we obtain low regularity local well--posedness using the restricted norm method of…
In this paper, we investigate a semilinear stochastic parabolic equation with a linear rough term $du_{t}=\left[L_{t}u_{t}+f\left(t, u_{t}\right)\right]dt+\left(G_{t}u_{t}+g_{t}\right)d\mathbf{X}_{t}+h\left(t, u_{t}\right)dW_{t}$, where…
We solve the Dirichlet problem $\left.u\right|_{\mathbb{B}^n}=\varphi,$ for hyperbolic Poisson's equation $\Delta_h u=\mu$ where $\varphi\in L_1(\partial \mathbb{B}^n)$ and $\mu$ is a measure that satisfies a growth condition. Next we…
In this paper, we investigate the Dirichlet boundary value problem on Cartan-Hadamard manifolds, focusing on the non-existence of bounded (viscosity) solutions to semi-linear elliptic equations of the form $\Delta u + f(u) = 0$ in domains…
We prove a priori H\"older bounds for continuous solutions to degenerate equations with variable coefficients of type $$ \mathrm{div}\left(u^2 A\nabla w\right)=0\quad\mathrm{in \ }\Omega\subset\mathbb R^n,\qquad \mbox{with}\qquad…