Approximation of the solution and its derivative for the singularly perturbed Black-Scholes equation with nonsmooth initial data

A problem for the black-Scholes equation that arises in financial mathematics is reduced, by a transformation of variables, to the Cauchy problem for a singularly perturbed parabolic equation with the variables x, t and a perturbation parameter ɛ, ɛ ∈ (0, 1]. This problem has several singularities such as the unbounded domain, the piecewise smooth initial function (its first-order derivative in x has a discontinuity of the first kind at the point x = 0), an interior (moving in time) layer generated by the piecewise smooth initial function for small values of the parameter ɛ, etc. In this paper, a grid approximation of the solution and its first-order derivative is studied in a finite domain including the interior layer. On a uniform mesh, using the method of additive splitting of a singularity of the interior layer type, a special difference scheme is constructed that allows us to ɛ-uniformly approximate both the solution to the boundary value problem and its first-order derivative in x with convergence orders close to 1 and 0.5, respectively. The efficiency of the constructed scheme is illustrated by numerical experiments. The text was submitted by the authors in English.     

Conditional ɛ-uniform convergence of adaptive algorithms in the finite element method as applied to singularly perturbed problems

The boundary value problem for the ordinary differential equation of reaction-diffusion on the interval [−1, 1] is examined. The highest derivative in this equation appears with a small parameter ɛ² (ɛ ∈ (0, 1]). As the small parameter approaches zero, boundary layers arise in the neighborhood of the interval endpoints. An algorithm for the construction of a posteriori adaptive piecewise uniform grids is proposed. In the adaptation process, the edges of the boundary layers are located more accurately and the grid on the boundary layers is repeatedly refined. To find an approximate solution, the finite element method is used. The sequence of grids constructed by the algorithm is shown to converge “conditionally ɛ-uniformly” to some limit partition for which the error estimate O(N ⁻²ln³ N) is proved. The main results are obtained under the assumption that ɛ ≪ N ⁻¹, where N is number of grid nodes; thus, conditional ɛ-uniform convergence is dealt with. The proofs use the Galerkin projector and its property to be quasi-optimal.     

A finite difference scheme of improved accuracy on a priori adapted grids for a singularly perturbed parabolic convection-diffusion equation

In the case of the Dirichlet problem for a singularly perturbed parabolic convection-diffusion equation with a small parameter ɛ multiplying the higher order derivative, a finite difference scheme of improved order of accuracy that converges almost ɛ-uniformly (that is, the convergence rate of this scheme weakly depends on ɛ) is constructed. When ɛ is not very small, this scheme converges with an order of accuracy close to two. For the construction of the scheme, we use the classical monotone (of the first order of accuracy) approximations of the differential equation on a priori adapted locally uniform grids that are uniform in the domains where the solution is improved. The boundaries of such domains are determined using a majorant of the singular component of the grid solution. The accuracy of the scheme is improved using the Richardson technique based on two embedded grids. The resulting scheme converges at the rate of O((ɛ⁻¹ N ^−K ln² N)² + N ⁻²ln⁴ N + N ₀⁻²) as N, N ₀ → ∞, where N and N ₀ determine the number of points in the meshes in x and in t, respectively, and K is a prescribed number of iteration steps used to improve the grid solution. Outside the σ-neighborhood of the lateral boundary near which the boundary layer arises, the scheme converges with the second order in t and with the second order up to a logarithmic factor in x; here, σ = O(N ^{−(K − 1)}ln² N). The almost ɛ-uniformly convergent finite difference scheme converges with the defect of ɛ-uniform convergence ν, namely, under the condition N ⁻¹ ≪ ɛ^ν, where ν determining the required number of iteration steps K (K = K(ν)) can be chosen sufficiently small in the interval (0, 1]. When ɛ⁻¹ = O(N ^{K − 1}), the scheme converges at the rate of O(N ⁻²ln⁴ N + N ₀⁻²).     

Localization near the corner point of the principal eigenfunction of the Dirichlet problem in a domain with thin edging

We establish that the principal eigenfunction of the Dirichlet problem in a domain with a thin heavy edging admits localization near the corner point of opening angle α > π. The edging amounts to a boundary strip of small width ɛ with the density function ɛ ^−2−m , m > 0, while it is O(1) in the remaining part of the domain. We derive the result by analyzing the essential and discrete spectra of an auxiliary problem in an infinite angle without the small parameter. We state several open questions about the structure of spectra of both problems.     

Order reduction for a system of stochastic differential equations with a small parameter in the coefficient of the leading derivative. Estimate for the rate of convergence

We establish an estimate for the rate of convergence of a solution of an ordinary stochastic differential equation of order p ≥ 2 with a small parameter in the coefficient of the leading derivative to a solution of a stochastic equation of order p − 1 in the metric ρ(X, Y) = (sup_0≤t≤T M|X(t) − Y(t)|²)^1/2 __________ Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 58, No. 12, pp. 1587–1601, December, 2006.     

Acoustics equations in poroelastic media

We study the acoustics equations in poroelastic mediawhich were obtained by the author previously in result of homogenization of the exact dimensionless equations describing the joint motion of an elastic solid skeleton and a viscous fluid in the pores on the microscopic level. A small parameter in this model is the ratio ɛ of the average size l of the pores to the characteristic size L of the physical region under consideration. The homogenized equations (the limit regimes of the exact model as ɛ tends to zero) depend on the dimensionless parameters of the model, which depend on the small parameter, and are small or large quantities as ɛ tends to zero. On assuming that the solid skeleton is periodic, we analyze the concrete form of acoustics equations for the simplest periodic structures.     

Approximation of singularly perturbed parabolic equations in unbounded domains subject to piecewise smooth boundary conditions in the case of solutions that grow at infinity

The initial-boundary value problem in a domain on a straight line that is unbounded in x is considered for a singularly perturbed reaction-diffusion parabolic equation. The higher order derivative in the equation is multiplied by a parameter ɛ², where ɛ ∈ (0, 1]. The right-hand side of the equation and the initial function grow unboundedly as x → ∞ at a rate of O(x ²). This causes the unbounded growth of the solution at infinity at a rate of O(Ψ(x)), where Ψ(x) = x ² + 1. The initialboundary function is piecewise smooth. When ɛ is small, a boundary and interior layers appear, respectively, in a neighborhood of the lateral part of the boundary and in a neighborhood of the characteristics of the reduced equation passing through the discontinuity points of the initial function. In the problem under examination, the error of the grid solution grows unboundedly in the maximum norm as x → ∞ even for smooth solutions when ɛ is fixed. In this paper, the proximity of solutions of the initial-boundary value problem and its grid approximations is considered in the weighted maximum norm ∥·∥ ^w with the weighting function Ψ⁻¹(x); in this norm, the solution of the initial-boundary value problem is ɛ-uniformly bounded. Using the method of special grids that condense in a neighborhood of the boundary layer or in neighborhoods of the boundary and interior layers, special finite difference schemes are constructed and studied that converge ɛ-uniformly in the weighted norm. It is shown that the convergence rate considerably depends on the type of nonsmoothness in the initial-boundary conditions. Grid approximations of the Cauchy problem with the right-hand side and the initial function growing as O(Ψ(x)) that converge ɛ-uniformly in the weighted norm are also considered.     

Asymptotic analysis of the behavior of a multichannel queueing system functioning in a Markov medium

The asymptotic behavior of some multidimensional characteristics of two Markov queueing systems, in which an incoming flow of units and their service time depend on a small parameter ɛ and the state of the Markov medium where these queueing systems function, is investigated. Bibliography: 6 titles. Translated fromObchyslyuval’na ta Prykladna Matematyka, No. 76, 1992, pp. 91–98.     

Elliptic difference singular perturbations

Summary Difference approximations for differential singular perturbations with small parameter ɛ are considered. We point out ellipticity and coerciveness conditions which arenecessary andsufficient for a two-sided a priori estimate to hold for the solution of difference singular perturbation uniformly with respect to the ratio of both small parameters: the original one ɛ and the meshsize h. Entrata in Redazione il 27 maggio 1978.     

Singularly perturbed elliptic boundary value problems

Summary The paper treats elliptic operators of the form L(ɛ∂₁, ..., ɛ∂_n), where L is a polynomial in a variables of order 2m₁, and ɛ is a small parameter. Solutionsu _ɛ of Lu=0 in a half space satisfyng conditions B_j(ɛ∂₁, ɛ∂₂, ..., ɛ∂_n)u=ɛγ_jϕ_j(x)(j=1, ..., m₁) on the boundary are constructed and estimated using H?lder norms, Poisson kernels, and an elaborate potential theory. Properties of the interior limit u₀=u _ɛ(κ) are studied. The paper is preparatory to a detailed investigation of Schauder estimates for such problems with variables coefficients. Supported in part by N. S. F. Grant GP-11660. Entrata in Redazione il 9 gennaio 1971.     

Fluid flow through a helical pipe

In this paper we study the flow of incompressible Newtonian fluid through a helical pipe with prescribed pressures at its ends. Pipe’s thickness and the helix step are considered as the small parameter ɛ. By rigorous asymptotic analysis, as ɛ→ 0 , the effective behaviour of the flow is found. The error estimate for the approximation is proved.     

Fluid flow through a helical pipe

In this paper we study the flow of incompressible Newtonian fluid through a helical pipe with prescribed pressures at its ends. Pipe’s thickness and the helix step are considered as the small parameter ɛ. By rigorous asymptotic analysis, as ɛ→ 0 , the effective behaviour of the flow is found. The error estimate for the approximation is proved.     

Vector valued Riesz distributions on Euclidian Jordan algebras

Let V be a Euclidean Jordan algebra, Гthe associated symmetric cone and G be the identity component of the linear automorphism group of Г.In this paper we associate to a certain class of spherical representations (ρ, ɛ) of G certain ɛ-valued Riesz distributions generalizing the classical scalar valued Riesz distributions on V. Our construction is motivated by the analytic theory of unitary highest weight representations where it permits to study certain holomorphic families of operator valued Riesz distributions whose positive definiteness corresponds to the unitarity of a representation of the automorphism group of the associated tube domain Г +iV.     

The Selfconsistent Pauli Equation

 We deal with consistent first order non-relativistic corrections (i.e. in the small parameter , where c is the speed of light) of the Dirac–Maxwell system. We discuss a selfconsistent modeling of the Pauli equation as the O(ɛ) approximation of the Dirac equation. We suggest a coupling to the “magnetostatic”O(ɛ) approximation of the Maxwell equations consisting of Poisson equations for the four components of the potential. We sketch the semiclassical/nonrelativistic limits of this model. (Received 22 May 2000)     

The Selfconsistent Pauli Equation

 We deal with consistent first order non-relativistic corrections (i.e. in the small parameter , where c is the speed of light) of the Dirac–Maxwell system. We discuss a selfconsistent modeling of the Pauli equation as the O(ɛ) approximation of the Dirac equation. We suggest a coupling to the “magnetostatic”O(ɛ) approximation of the Maxwell equations consisting of Poisson equations for the four components of the potential. We sketch the semiclassical/nonrelativistic limits of this model.     

Coercive singular perturbations

Summary We consider general boundary value problems with small parameter ɛ in the operator and boundary conditions. Both the perturbed and reduced operators are supposed to be elliptic. We point outnecessary andsufficient conditions of Shapiro-Lopatinsky type for the singularly perturbed problem to be coercive, i.e. for a two-sided a priori estimate to hold for its solutions uniformly with respect to ɛ. Entrata in Redazione il 6 luglio 1977.     

Attraction domain for the attractor of a two-color circle rotation

The dynamics of contraction of the unit circle C under iterated two-color circle rotation S_ɛ, dependent on a continuous parameter ε ∈ C, is studied. The dynamic distance from the deep hole Dh(ε) of the attraction domain Spir _ɛ=C\Att _ɛ to the attractor Att _ɛ of the rotation S_ɛ and the measure of the deep hole |Dh(ε)| are computed. It is proved that as ε ↑ 1, the phenomenon of localization of the deep holes Dh(ε) occurs. It is shown that the process of contraction of the circle,

Stability islands in domains of separatrix crossings in slow-fast Hamiltonian systems

We consider a two-degrees-of-freedom Hamiltonian system with one degree of freedom corresponding to fast motion and the other corresponding to slow motion. The ratio of typical velocities of changes of the slow and fast variables is the small parameter ɛ of the problem. At frozen values of the slow variables, there is a separatrix on the phase plane of the fast variables, and there is a region in the phase space (the domain of separatrix crossings) where the projections of phase points onto the plane of the fast variables repeatedly cross the separatrix in the process of evolution of the slow variables. Under a certain symmetry condition, we prove the existence of many (of order 1/ɛ) stable periodic trajectories in the domain of separatrix crossings. Each of these trajectories is surrounded by a stability island whose measure is estimated from below by a value of order ɛ. So, the total measure of the stability islands is estimated from below by a value independent of ɛ. The proof is based on an analysis of asymptotic formulas for the corresponding Poincaré map.