相关论文: On non-uniqueness in the option valuation problem
Superselection rules severly constrain the operations which can be implemented on a distributed quantum system. While the restriction to local operations and classical communication gives rise to entanglement as a nonlocal resource,…
We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special case where we can predict the evolution…
We investigate existence and uniqueness of solutions to second-order elliptic boundary value problems containing a power nonlinearity applied to a fractional Laplacian. We detect the critical power separating the existence from the…
There are numerous studies focusing on the convergence of the principal eigenvalue $\lambda(s)$ as $s\to+\infty$ corresponding to the elliptic eigenvalue problem \begin{align*}…
The paper deals with the explicit calculus and the properties of the fundamental solution K of a parabolic operator related to a semilinear equation that models reaction diffusion systems with excitable kinetics. The initial value problem…
We review some uniqueness criteria for the Vlasov--Poisson system, emerging as corollaries of stability estimates in strong or weak topologies, and show how they serve as a guideline to solve problems arising in semiclassical analysis.…
The zero-noise limit of differential equations with singular coefficients is investigated for the first time in the case when the noise is an $\alpha $-stable process. It is proved that extremal solutions are selected and the respective…
For the first time, some hypersingular nonlinear boundary-value problems with a small parameter~$\varepsilon$ at the highest derivative are described. These problems essentially (qualitatively and quantitatively) differ from the usual…
We give a short proof of local well-posedness for the initial boundary value problem in general relativity with sole boundary condition the requirement that the boundary is umbilic. This includes as a special case the totally geodesic…
We give an analytical characterization of the price function of an American option in Heston-type models. Our approach is based on variational inequalities and extends recent results of Daskalopoulos and Feehan (2011). We study the…
We study a family of differential operators $L_\alpha$ in two variables, depending on the coupling parameter $\alpha\ge0$ that appears only in the boundary conditions. Our main concern is the spectral properties of $L_\alpha$, which turn…
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in…
The paper is concerned with comparative analysis of differential and integral formulations for boundary value problems in nonlocal elasticity. For the sake of simplicity, the focus is on an antiplane problem for a half-space for an…
A new formulation of boundary value problems in gradient elasticity is presented in this work. The main outcome is the construction of partial differential systems of second order, which are typically equivalent with the well known fourth…
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we show that common nonparametric assumptions on per-period…
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 paper, we consider a class of initial-boundary value problems governed by pseudo-parabolic total variation flows. The principal characteristic of our problem lies in the velocity term of the diffusion flux, a feature that can bring…
We study a parabolic initial-boundary-value problem for a system of two differential equations with two boundary conditions of different orders, the Dirichlet and Neumann ones. It occurs specifically in the heat-mass transfer theory. We…
We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large…
We study a class of nonlinear eigenvalue problems which involves a convolution operator as well as a superlinear nonlinearity. Our variational existence proof is based on constrained optimization and provides a one-parameter family of…