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We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle and additional regularity properties. Finally, we make numerical simulations of the solution, by finite element and finite difference methods. https://doi.org/10.1051/m2an:2002018  相似文献   

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In this paper we consider the bifurcation problem

in with . We show that a continuum of positive solutions bifurcates out from the principal eigenvalue of the problem

Here both functions and may change sign.

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We characterize the set of functions which can be approximated by continuous functions with the norm ‖fL(w) for every weight w. This fact allows to determine the closure of the space of polynomials in L(w) for every weight w with compact support. We characterize as well the set of functions which can be approximated by smooth functions with the norm
fW1,∞(w0,w1):=‖fL(w0)+‖fL(w1),  相似文献   

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Let X = (X1, …, Xm) be an infinitely degenerate system of vector fields. We study the existence and regularity of multiple solutions of the Dirichlet problem for a class of semi‐linear infinitely degenerate elliptic operators associated with the sum of square operator δX = ∑j = 1m Xj* Xj (© 2009 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)  相似文献   

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In this work we are interested in the existence and uniqueness of solutions for the Navier problem associated to the degenerate nonlinear elliptic equations■,in the setting of the weighted Sobolev spaces.  相似文献   

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In this paper, we use the domain decomposition method to prove well‐posedness and smoothness results in anisotropic weighted Sobolev spaces for a multidimensional high‐order parabolic equation set in conical time‐dependent domains of . Copyright © 2017 John Wiley & Sons, Ltd.  相似文献   

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Fix strictly increasing right continuous functions with left limits and periodic increments, Wi:RR, i=1,…,d, and let for xRd. We construct the W-Sobolev spaces, which consist of functions f having weak generalized gradients ∇Wf=(W1f,…,Wdf). Several properties, that are analogous to classical results on Sobolev spaces, are obtained. Existence and uniqueness results for W-generalized elliptic equations, and uniqueness results for W-generalized parabolic equations are also established. Finally, an application of this theory to stochastic homogenization is presented.  相似文献   

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The boundedness of the finite Hilbert transform operator on certain weighted Lp spaces is well known. We extend this result to give the boundedness of that operator on certain weighted Sobolev spaces. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)  相似文献   

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This paper is devoted to some mathematical questions related to the three‐dimensional stationary Navier–Stokes equations. Our approach is based on a combination of properties of Oseen problems in ?3. Copyright © 2008 John Wiley & Sons, Ltd.  相似文献   

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We characterize the set of functions which can be approximated by polynomials with the following norm

for a big class of weights w0w1, …, wk  相似文献   

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A complete proof of the trace theorem of Sobolev spaces on Lipschitz domains has not appeared in the literature yet. The purpose of this paper is to give a complete proof of the trace theorem of Sobolev spaces on Lipschitz domains by taking advantage of the intrinsic norm on . It is proved that the trace operator is a linear bounded operator from to for .

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Strong convergence of the numerical solution to a weak solution is proved for a nonlinear coupled flow and transport problem arising in porous media. The method combines a mixed finite element method for the pressure and velocity with an interior penalty discontinuous Galerkin method in space for the concentration. Using functional tools specific to broken Sobolev spaces, the convergence of the broken gradient of the numerical concentration to the weak solution is obtained in the L2 norm. © 2016 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 489–513, 2017  相似文献   

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We prove the boundedness of the maximal operator Mr in the spaces L^p(·)(Г,p) with variable exponent p(t) and power weight p on an arbitrary Carleson curve under the assumption that p(t) satisfies the log-condition on Г. We prove also weighted Sobolev type L^p(·)(Г, p) → L^q(·)(Г, p)-theorem for potential operators on Carleson curves.  相似文献   

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在加权Sobolov空间中讨论了加权的Poincaré不等式,利用嵌入映射给出了加权Poincaré不等式成立的充分和必要条件.  相似文献   

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Second-order parabolic equations degenerating on the boundary of C 1 domains are considered. Existence and uniqueness results are given in weighted Sobolev spaces, and Hölder estimates of the solutions are presented.  相似文献   

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《偏微分方程通讯》2013,38(1-2):207-217
Abstract

We prove the existence and uniqueness of renormalized solutions of the Liouville equation for n particles with an interaction potential in BV loc except at the origin. This implies the existence and uniqueness of a a.e. flow solution of the associated ODE.  相似文献   

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