非线性Black-Scholes模型下Bala期权定价

在非线性Black-Scholes模型下,研究了Bala期权定价问题.首先利用双参数摄动方法,将Bala期权适合的偏微分方程分解成一系列常系数抛物方程.其次通过计算这些常系数抛物型方程的解,给出了Bala期权的近似定价公式.最后利用Green函数分析了近似结论的误差估计.     

非线性Black-Scholes模型下几何平均亚式期权定价

在非线性Black-Scholes模型下,本文研究了几何平均亚式期权定价问题.首先利用单参数摄动方法,将亚式期权适合的偏微分方程分解成一系列常系数抛物方程.其次通过计算这些常系数抛物型方程的解,给出了几何平均亚式期权的近似定价公式.最后利用Green函数分析了近似结论的误差估计.     

Geometry and spectrum of rapidly branching graphs

We study graphs whose vertex degree tends to infinity and which are, therefore, called rapidly branching. We prove spectral estimates, discreteness of spectrum, first order eigenvalue and Weyl asymptotics solely in terms of the vertex degree growth. The underlying techniques are estimates on the isoperimetric constant. Furthermore, we give lower volume growth bounds and we provide a new criterion for stochastic incompleteness.     

Sobolev estimates for (pseudo)‐differential operators and applications

In this work we show that if is a linear differential operator of order ν with smooth complex coefficients in from a complex vector space E to a complex vector space F, the Sobolev a priori estimate holds locally at any point if and only if is elliptic and the constant coefficient homogeneous operator is canceling in the sense of Van Schaftingen for every which means that Here is the homogeneous part of order ν of and is the principal symbol of . This result implies and unifies the proofs of several estimates for complexes and pseudo‐complexes of operators of order one or higher proved recently by other methods as well as it extends —in the local setup— the characterization of Van Schaftingen to operators with variable coefficients.     

Functional A Posteriori Error Estimates for Time-Periodic Parabolic Optimal Control Problems

This article is devoted to the a posteriori error analysis of multiharmonic finite element approximations to distributed optimal control problems with time-periodic state equations of parabolic type. We derive a posteriori estimates of the functional type, which are easily computable and provide guaranteed upper bounds for the state and co-state errors as well as for the cost functional. These theoretical results are confirmed by several numerical tests that show high efficiency of the a posteriori error bounds.     

A posteriori error estimates of stabilized finite volume method for the Stokes equations

In this work, the residual‐type posteriori error estimates of stabilized finite volume method are studied for the steady Stokes problem based on two local Gauss integrations. By using the residuals between the source term and numerical solutions, the computable global upper and local lower bounds for the errors of velocity in H¹ norm and pressure in L² norm are derived. Furthermore, a global upper bound of u ? u_h in L²‐norm is also derived. Finally, some numerical experiments are provided to verify the performances of the established error estimators. Copyright © 2015 John Wiley & Sons, Ltd.     

Stabilized nodal‐based finite element methods for the magnetic induction problem

We consider the time‐dependent magnetic induction model as a step towards the resistive magnetohydrodynamics model in incompressible media. Conforming nodal‐based finite element approximations of the induction model with inf‐sup stable finite elements for the magnetic field and the magnetic pseudo‐pressure are investigated. Based on a residual‐based stabilization technique proposed by Badia and Codina, SIAM J. Numer. Anal. 50 (2012), pp. 398–417, we consider a stabilized nodal‐based finite element method for the numerical solution. Error estimates are given for the semi‐discrete model in space. Finally, we present some examples, for example, for the magnetic flux expulsion problem, Shercliff's test case and singular solutions of the Maxwell problem. Copyright © 2015 John Wiley & Sons, Ltd.     

From the Klein–Gordon–Zakharov system to the Klein–Gordon equation

In a singular limit, the Klein–Gordon (KG) equation can be derived from the Klein–Gordon–Zakharov (KGZ) system. We point out that for the original system posed on a d‐dimensional torus, the solutions of the KG equation do not approximate the solutions of the KGZ system. The KG system has to be modified to make correct predictions about the dynamics of the KGZ system. We explain that this modification is not necessary for the approximation result for the whole space with d≥3. Copyright © 2016 John Wiley & Sons, Ltd.     

Remarks on asymptotic behaviors of strong solutions to a viscous Boussinesq system

In this paper, we first address the space‐time decay properties for higher‐order derivatives of strong solutions to the Boussinesq system in the usual Sobolev space. The decay rates obtained here are optimal. The proof is based on a parabolic interpolation inequality, bootstrap argument, and some weighted estimates. Secondly, we present a new solution integration formula for the Boussinesq system, which will be employed to establish the existence of strong solutions for small initial data in some scaling invariant function spaces. The smallness conditions are somehow weaker than those presented by Brandolese and Schonbek. We further investigate the asymptotic profiles and decay properties of these strong solutions. Copyright © 2016 John Wiley & Sons, Ltd.     

Discrete weighted Hardy inequalities with different kinds of boundary conditions

This paper studies the weighted Hardy inequalities on the discrete intervals with four different kinds of boundary conditions. The main result is the uniform expression of the basic estimate of the optimal constant with the corresponding boundary condition. Firstly, one-side boundary condition is considered, which means that the sequences vanish at the right endpoint (ND-case). Based on the dual method, it can be translated into the case vanishing at left endpoint (DN-case). Secondly, the condition is the case that the sequences vanish at two endpoints (DD-case). The third type of condition is the generality of the mean zero condition (NN-case), which is motivated from probability theory. To deal with the second and the third kinds of inequalities, the splitting technique is presented. Finally, as typical applications, some examples are included.