相关论文: On the asymptotic free boundary for the American p…
Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…
The present paper deals with a free boundary problem modeling the growth process of necrotic multi-layer tumors. We prove the existence of flat stationary solutions and determine the linearization of our model at such an equilibrium.…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
We present a reduced basis method for the simulation of American option pricing. To tackle this model numerically, we formulate the problem in terms of a time dependent variational inequality. Characteristic ingredients are a POD-greedy and…
In this paper, we consider the drawdown and drawup of the fractional Brownian motion with trend, which corresponds to the logarithm of geometric fractional Brownian motion representing the stock price in financial market. We derive the…
In this paper we report and compare the numerical results for an ocean circulation model obtained by the classical truncated boundary formulation, the free boundary approach and a quasi-uniform grid treatment of the problem. We apply a…
In this paper we derive the optimal execution trajectory for a trader who wishes to buy or sell a large position of shares which evolve as a geometric Brownian process in contrast to the arithmetic model which prevails in the existing…
We establish two-term spectral asymptotics for the operator of linear elasticity with mixed boundary conditions on a smooth compact Riemannian manifold of arbitrary dimension. We illustrate our results by explicit examples in dimension two…
We investigate an asymptotic expansion of the solution of the master equation under the modulation of control parameters. In this case, the non-decaying part of the solution becomes the dynamical steady state expressed as an infinite series…
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…
We study boundary inference at $H=3/4$ for mixed fractional Brownian motion and mixed fractional Ornstein--Uhlenbeck models under high-frequency observation. This boundary is economically important because it separates the critical and…
We consider Merton's problem with proportional transaction costs. It is well known that the optimal investment strategy is characterized by two trading boundaries, the buy boundary and the sell boundary, between which lies the no-trading…
In this paper, we consider the problem of hedging Asian options in financial markets with transaction costs. For this, we use the asymptotic hedging approach. The main task of asymptotic hedging in financial markets with transaction costs…
It is well known that in the computational fluid dynamics simulations related to the cardiovascular system the enforcement of outflow boundary conditions is a crucial point. In fact, they highly affect the computed flow and a wrong setup…
The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the final value is available a priori. This information may…
Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that…
As is known, an option price is a solution to a certain partial differential equation (PDE) with terminal conditions (payoff functions). There is a close association between the solution of PDE and the solution of a backward stochastic…
This paper is concerned with a multi-dimensional free boundary problem modeling the growth of a tumor with two species of cells: proliferating cells and quiescent cells. This free boundary problem has a unique radial stationary solution. By…
In this work we numerically compute the bifurcation curve of stationary solutions for the free boundary problem for MEMS in one space dimension. It has a single turning point, as in the case of the small aspect ratio limit. We also find a…
We provide short-time asymptotics with rates of convergence for the Laplace Dirichlet heat kernel in a ball. The boundary behaviour is precisely described. Presented results may be considered as a complement or a generalization of the…