GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION

1991MRSubjectClassification35K05,35K55,60J351IntroductionTileBlack-ScllolesOI)tiollPn(:illgForllllllaalldtlleCapitalAssetPn(:iugMO(l(floff'(trsillll)1(tclosedf'Orlllsolutionto11()ntrivialpartittldifferentialeqllatiollillfillance.Botllhalvesigllifi(f;tlltlyaff'ectedtheactllalbehaviorof1llarkets.TheBlack-ScholesInodelisaspecial'faseofill(f1llztrtillgalesecllritypricillglilodel.D.Duffie(1988)derivedthcBlack-ScllolesFOrlxllllztillfivt!(lift'\-arestw;lyslTheseare:(1)byalilllitfi.olndisc…  

GLOBAL CLASSICAL SOLUTIONS TO QUASILINEAR HYPERBOLIC SYSTEMS WITH WEAK LINEAR DEGENERACY

§1. Introduction and Main Results Consider the following ?rst order quasilinear strictly hyperbolic system ?u ?u A(u) = 0, (1.1) ?t ?xwhere u = (u1, ···,un)T is the unknown vector function of (t,x) and A(u) is an n×n matrixwith suitably smooth elements aij(u) (i,j = 1, ···,n). By the de?nition …  

LIFE-SPAN OF CLASSICAL SOLUTIONS TO QUASILINEAR HYPERBOLIC SYSTEMS WITH SLOWDECAY INITIAL DATA

The author considers the life-span of classical solutions to Cauchy problem for general first order quasilinear strictly hyperbolic systems in two independent variables with “slow“ decay initial data. By constructing an example, first it is illustrated that the classical solution to this kind of Cauchy problem may blow up in a finite time, even if the system is weakly linearly degenerate. Then some lower bounds of the life-span of classical solutions are given in the casethat the system is weakly linearly degenerate. These estimates imply that, when the system is weakly linearly degenerate, the classical solution exists almost globally in time. Finally, it is proved that Theorems 1.1-1.3 in [2] are still valid for this kind of initial data.  

Global Existence of Solutions for the Cauchy Problem of the Kawahara Equation with L^2 Initial Data

In this paper we study solvability of the Cauchy problem of the Kawahara equation 偏导dtu ＋ au偏导dzu ＋ β偏导d^3xu ＋γ偏导d^5xu = 0 with L^2 initial data. By working on the Bourgain space X^r,s（R^2） associated with this equation, we prove that the Cauchy problem of the Kawahara equation is locally solvable if initial data belong to H^r（R） and -1 〈 r ≤ 0. This result combined with the energy conservation law of the Kawahara equation yields that global solutions exist if initial data belong to L^2（R）.  

证券估值Black-Scholes模型的一般化(英文)

本文研究证券估值Ｂｌａｃｋ－Ｓｃｈｏｌｅｓ 模型的一般化．一般化模型推导偏微分方程，然后用分离变量法考虑抛物型方程的Ｃａｕｃｈｙ 问题  

LOCAL C-COSINE FAMILY THEORY AND APPLICATION

ＬＯＣＡＬＣ－ＣＯＳＩＮＥＦＡＭＩＬＹＴＨＥＯＲＹＡＮＤＡＰＰＬＩＣＡＴＩＯＮ￥ＨＵＡＮＧＦＡＬＵＮ；ＨＵＡＮＧＴＩＮＧＷＥＮＡｂｓｔｒａｃｔ：ＴｈｉｓｐａｐｅｒｉｎｔｒｏｄｕｃｅｓｔｈｅｃｏｎｃｅｐｔｏｆｌｏｃａｌＣ－ｃｏｓｉｎｅｆａｍｉｌｙａｎｄ...  

一个反应扩散方程的门槛结果

本文讨论反应扩散方程Ｃａｕｃｈｙ问题解的整体存在性，渐近性质和Ｂｌｏｗｕｐ问题．其中或者１＜ｑ＜ｐ＜＋∞，ｎ＝２．得到门槛结果．  

GLOBAL EXISTENCE OF WEAKLY DISCONTIN UOUS SOLUTIONS TO THE CAUCHY PROBLEM WITH A KIND OF NON-SMOOTH INITIAL DATA FOR QUASILINEAR HYPERBOLIC SYSTEMS

The authors consider the Cauchy problem with a kind of non-smooth initial datafor quasilinear hyperbolic systems and obtain a necessary and sufficient condition toguarantee the existence and uniqueness of global weakly discontinuous solution.  

On a Liouville-type theorem and the Fujita blow-up phenomenon

The main purpose of this paper is to obtain the well-known results of H.Fujita and K.Hayakawa on the nonexistence of nontrivial nonnegative global solutions for the Cauchy problem for the equation

with on the half-space as a consequence of a new Liouville theorem of elliptic type for solutions of () on . This new result is in turn a consequence of other new phenomena established for nonlinear evolution problems. In particular, we prove that the inequality

has no nontrivial solutions on when We also show that the inequality

has no nontrivial nonnegative solutions for , and it has no solutions on bounded below by a positive constant for 1.$">

  

The Self-similar Solution to Some Nonlinear Integro-differential Equations Corresponding to Fractional Order Time Derivative

In this paper we study the self-similar solution to a class of nonlinear integro-differential equations which correspond to fractional order time derivative and interpolate nonlinear heat and wave equation. Using the space-time estimates which were established by Hirata and Miao in [1] we prove the global existence of self-similar solution of Cauchy problem for the nonlinear integro-differential equation in C＊（[0,∞];B^8pp,∞（R^n）.