On the regularity of American options with regime-switching uncertainty

We study the regularity of the stochastic representation of the solution of a class of initial–boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal stopping problem such as the price of an American-style option in finance. We show continuity and smoothness of the value function using coupling and time-change techniques. As an application, we find the minimal payoff scenario for the holder of an American-style option in the presence of regime-switching uncertainty under the assumption that the transition rates are known to lie within level-dependent compact sets.     

Global attractor for the Kirchhoff type equation with a strong dissipation

The paper studies the longtime behavior of the Kirchhoff type equation with a strong dissipation utt−M(‖∇u^‖2)Δu−Δut+h(ut)+g(u)=f(x). It proves that the related continuous semigroup S(t) possesses in the phase space with low regularity a global attractor which is connected. And an example is shown.     

Singular and nonsingular first-order initial value problems

Under barrier strip type arguments we investigate the existence of global solutions to the initial value problem x^′=f(t,x,x^′), x(0)=A, where the scalar function f(t,x,p) may be singular at x=A.     

Initial value problems for fractional differential equations involving Riemann-Liouville sequential fractional derivative

In this paper, we shall discuss the properties of the well-known Mittag-Leffler function, and consider the existence and uniqueness of solution of the initial value problem for fractional differential equation involving Riemann-Liouville sequential fractional derivative by using monotone iterative method.     

On the approximate solution to an initial boundary valued problem for the Cahn–Hilliard equation

The particular approximate solution of the initial boundary valued problem to the Cahn–Hilliard equation is provided. The Fourier Method is combined with the Adomian’s decomposition method in order to provide an approximate solution that satisfy the initial and the boundary conditions. The approximate solution also satisfies the mass conservation principle.     

Solving second order initial value problems by a hybrid multistep method without predictors

A three-step seventh order hybrid linear multistep method (HLMM) with three non-step points is proposed for the direct solution of the special second order initial value problems (IVPs) of the form y″ = f(x, y) with an extension to y″ = f(x, y, y′). The main method and additional methods are obtained from the same continuous scheme derived via interpolation and collocation procedures.The stability properties of the methods are discussed by expressing them as a one-step method in higher dimension. The methods are then applied in block form as simultaneous numerical integrators over non-overlapping intervals. Numerical results obtained using the proposed block form reveal that it is highly competitive with existing methods in the literature.     

Finite Codimension Subfields of a Field Complete with Respect to a Real Valuation

Let K be a field complete with respect to a real valuation v and not algebraically closed. We will show that every finite codimension subfield of K is closed in the v-adic topology if and only if the degree of imperfection of K is finite. It follows that there are incomplete finite codimension subfields of K when the degree of imperfection of K is infinite. These examples exhibit other interesting pathologies. We are able to give a necessary (and in the case of a discrete real valuation also sufficient) condition for a given finite codimension subfield to be complete. Finally, we give some applications to fields of Laurent series.

Communicated by A. Prestel.     

Random Motions at Finite Speed in Higher Dimensions

We present a general method of studying the transport process , t≥0, in the Euclidean space ℝ ^m , m≥2, based on the analysis of the integral transforms of its distributions. We show that the joint characteristic functions of are connected with each other by a convolution-type recurrent relation. This enables us to prove that the characteristic function (Fourier transform) of in any dimension m≥2 satisfies a convolution-type Volterra integral equation of second kind. We give its solution and obtain the characteristic function of in terms of the multiple convolutions of the kernel of the equation with itself. An explicit form of the Laplace transform of the characteristic function in any dimension is given. The complete solution of the problem of finding the initial conditions for the governing partial differential equations, is given. We also show that, under the standard Kac condition on the speed of the motion and on the intensity of the switching Poisson process, the transition density of the isotropic transport process converges to the transition density of the m-dimensional homogeneous Brownian motion with zero drift and diffusion coefficient depending on the dimension m. We give the conditional characteristic functions of the isotropic transport process in terms of the inverse Laplace transform of the powers of the Gauss hypergeometric function. Some important models of the isotropic transport processes in lower dimensions are considered and some known results are derived as the particular cases of our general model by means of the method developed.     

四区域法消除偏振棱镜缺陷对波片相位延迟测量的影响

在起偏器-待测波片-检偏器系统基础卜提出一种四区域测量波片相位延迟量的方法.调整待测波片和检偏器的方位角,获得相应的四组光强值,通过线性运算得到待测波片的相位延迟量,完全消除了起偏器和检偏器不完全消光带来的误差.由于测量系统中不存在标准波片或其他相位调制元件,允许测量波长仅受偏振棱镜和探测器的限制,因此四区域法可适用于很大波长范围内的波片测量.以λ/4波片为例,理论分析了测量系统利用四区域测量法后的仪器误差为σφ≤士3.49065×10-3rad(约0.2°),精度比原算法提高约1个数量级.实验验证了四区域法能有效提高系统精度.