American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach

We consider the American option pricing problem in the case where the underlying asset follows a jump‐diffusion process. We apply the method of Jamshidian to transform the problem of solving a homogeneous integro‐partial differential equation (IPDE) on a region restricted by the early exercise (free) boundary to that of solving an inhomogeneous IPDE on an unrestricted region. We apply the Fourier transform technique to this inhomogeneous IPDE in the case of a call option on a dividend paying underlying to obtain the solution in the form of a pair of linked integral equations for the free boundary and the option price. We also derive new results concerning the limit for the free boundary at expiry. Finally, we present a numerical algorithm for the solution of the linked integral equation system for the American call price, its delta and the early exercise boundary. We use the numerical results to quantify the impact of jumps on American call prices and the early exercise boundary.     

On the Gerber-Shiu Function and Optimal Dividend Strategy for a Thinning Risk Model

In this paper, the risk model under constant dividend barrier strategy is studied, in which the premium income follows a compound Poisson process and the arrival of the claims is a p-thinning process of the premium arrival process. The integral equations with boundary conditions for the expected discounted aggregate dividend payments and the expected discounted penalty function until ruin are derived. In addition, the explicit expressions for the Laplace transform of the ruin time and the expected aggregate discounted dividend payments until ruin are given when the individual stochastic premium amount and claim amount are exponentially distributed. Finally, the optimal barrier is presented under the condition of maximizing the expectation of the difference between discounted aggregate dividends until ruin and the deficit at ruin.     

A priori estimates for solutions of boundary-value problems in a band for a class of higher-order degenerate elliptic equations

In this paper we consider two boundary-value problems in a band for higher-order degenerate elliptic equations. These equations degenerate on one boundary of the band to a third-order equation with respect to one variable. We study problems in weight spaces similar to Sobolev ones whose norms are constructed with the help of a certain integral transform. We obtain a priori estimates in these weight spaces for solutions to boundary-value problems in the band for higher-order elliptic equations that degenerate on one boundary of the band to a third-order equation with respect to one variable.     

The solvability of some kinds of singular integral equations of convolution type with variable integral limits

In this paper, we discuss several classes of convolution type singular integral equations with variable integral limits in class $ H^*_1 $. By means of the theory of complex analysis, Fourier analysis and integral transforms, we can transform singular integral equations with variable integral limits into the Riemann boundary value problems with discontinuous coefficients. Under the solvability conditions, the existence and uniqueness of the general solutions can be obtained. Further, we analyze the asymptotic properties of the solutions at the nodes. Our work improves the Noether theory of singular integral equations and boundary value problems, and develops the knowledge architecture of complex analysis.     

A new boundary integral equation formulation for plane orthotropic elastic media

A new boundary integral equation formulation for solving plane elasticity problems involving orthotropic media is presented in this paper. Based on the real variable fundamental solutions of the considered problems, a limit theorem for the transformation from domain integral equations into boundary integral equations (BIEs) and a novel decomposition technique to the fundamental solutions, the regularized BIEs with indirect unknowns, which do not involve the direct calculation of CPV and HFP integrals, are established. The limiting process is done in global coordinates and no separate numerical treatment for strong and weak singular integrals was necessary. The current method does not need to transform the considered problems into isotropic ones as is normally done in the existing literature, so no inverse transform is required. The numerical implementation is carried out using both discontinuous quadratic elements and exact elements, which is developed to model its boundary with negligible error. The validity of the proposed scheme is demonstrated by three numerical examples. Excellent agreement between the numerical results and exact solutions was obtained even with using small amounts of element.     

The fast Fourier transform and the numerical solution of one-dimensional boundary integral equations

Summary Here we present a fully discretized projection method with Fourier series which is based on a modification of the fast Fourier transform. The method is applied to systems of integro-differential equations with the Cauchy kernel, boundary integral equations from the boundary element method and, more generally, to certain elliptic pseudodifferential equations on closed smooth curves. We use Gaussian quadratures on families of equidistant partitions combined with the fast Fourier transform. This yields an extremely accurate and fast numerical scheme. We present complete asymptotic error estimates including the quadrature errors. These are quasioptimal and of exponential order for analytic data. Numerical experiments for a scattering problem, the clamped plate and plane estatostatics confirm the theoretical convergence rates and show high accuracy.     

一类对偶积分方程组正则化为Cauchy奇异积分方程组解法

本文基于Mellin变换法求解复杂更一般形式的对偶积分方程组．通过积分变换，由实数域化成复数域上的方程组，引入未知函数的积分变换，移动积分路径，应用Cauchy积分定理，实现退耦正则化为Cauchy奇异积分方程组，由此给出一般性解，并严格证明了对偶积分方程组退耦正则化为Cauchy奇异积分方程组与原对偶积分方程组等价性，以及对偶积分方程组解的存在性和唯一性．给出的解法和理论解，作为求解复杂对偶积分方程组一种有效解法，可供求解复杂的数学、物理、力学中的混合边值问题应用．     

Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments

In this paper, we study the optimal dividend and capital injection problem with the penalty payment at ruin. The dividend strategy is assumed to be restricted to a small class of absolutely continuous strategies with bounded dividend density. By considering the surplus process killed at the time of ruin, we transform the problem to a combined stochastic and impulse control one up to ruin with a free boundary at zero. We illustrate the theoretical verifications for different types of capital injection strategies comparing to the conventional results given in the literature, where the capital injections are made before the time of ruin. Under the assumption of restricted dividend density, the value function is proved as the unique increasing, bounded, Lipschitz continuous and upper semi-continuous at zero viscosity solution to the corresponding quasi-variational Hamilton–Jacobi–Bellman (HJB) equation. The uniqueness of such class of viscosity solutions is shown by considering its boundary condition at infinity. The optimality of a specific band-type strategy is proved for the case when the premium rate is (i) greater than or (ii) less than the ceiling dividend rate respectively. Some numerical examples are presented under the exponential and gamma claim size assumptions.     

Transient elastodynamic three-dimensional problems in cracked bodies

The general formulation of the transient elastodynamic second boundary value problem in an isotropic linear elastic body with a crack of arbitrary shape by combining the boundary integral equation method and the Laplace transform with respect to time is presented in this paper. Both finite and infinite elastic bodies are considered. A numerical solution of the transformed boundary integral equations is proposed.     

非对称载荷作用的外部圆形裂纹问题

使用边界积分方程方法,研究了三维无限弹性体中受非对称载荷作用的外部圆形裂纹问题。通过使用Fourier级数和超几何函数,将问题的二维边界奇异积分方程简化为Abel型方程,获得了一般非对称载荷作用的外部圆形裂纹问题的应力强度因子精确解,比用Hankel变换法得到的结果更为一般。结果表明:边界积分方程法在解析分析方面还有很大的潜力。     

弹性力学问题解唯一的边界积分方程

从积分方程式出发,应用基本解的特性分析,说明在力边值问题中,位移边界积分方程和面力边界积分方程的位移解不唯一.提出了位移解唯一的条件,建立了唯一解的位移边界积分方程和面力边界积分方程.实例计算结果表明唯一解的边界积分方程是有效的.     

观察时间服从Erlang(n)分布的对偶模型红利支付

本文研究了观察时间服从Erlang（n）分布的对偶模型红利支付问题.在收益额的拉普拉斯变换是有理拉普拉斯变换的情况下,获得了破产之前总贴现红利V（u;b）的求解方法.该结果推广了文献[8]的相应结论.     

A subregion DRBEM formulation for the dynamic analysis of two-dimensional cracks

The dual reciprocity boundary element method employing the step by step time integration technique is developed to analyse two-dimensional dynamic crack problems. In this method the equation of motion is expressed in boundary integral form using elastostatic fundamental solutions. In order to transform the domain integral into an equivalent boundary integral, a general radial basis function is used for the derivation of the particular solutions. The dual reciprocity boundary element method is combined with an efficient subregion boundary element method to overcome the difficulty of a singular system of algebraic equations in crack problems. Dynamic stress intensity factors are calculated using the discontinuous quarter-point elements. Several examples are presented to show the formulation details and to demonstrate the computational efficiency of the method.     

A numerical solution of the elasticity problem of settled of the wronkler ground with variable coefficients

In this paper, we have given numerical solution of the elasticity problem of settled on the wronkler ground with variable coefficient. The approximation solution of boundary value problem which is pertinent to this has been converted to integral equations, and then by using the successive approximation methods, has been reached. In addition to this, the approximation solution of the problem was put into Padé series form. We applied these methods to an example which is the elasticity problem of unit length homogeny beam, which is a special form of boundary value problem. First we calculate the successive approximation of the given boundary value problem then transform it into Padé series form, which give an arbitrary order for solving differential equation numerically.     

Water waves diffraction by a circular plate

The interaction of water waves with circular plate within the framework of a linear theory is considered. The plate lies on the free surface in water of finite depth. The integral transform technique is used to solve this problem. The problem is reduced to a system of dual integral equations for a spectral function. The way to solve these equations consists in converting them into Fredholm integral equation of the second kind. The asymptotic solutions of this equation are obtained. Representations for diffraction field and for the forces on the plate are given.     

Boundary integral equation formulation for generalized thermoelastic diffusion – Analytical aspects

The present work deals with the formulation of the boundary integral equations for the solution of equations under linear theory of generalized thermoelastic diffusion in a three-dimensional Euclidean space. A mixed initial-boundary value problem is considered in the present context and the fundamental solutions of the corresponding coupled differential equations are obtained in the Laplace transform domain by employing the treatment of scalar and vector potential theory. A reciprocal relation of Betti type is established. Then we formulate the boundary integral equations for generalized thermoelastic diffusion on the basis of these fundamental solutions and the reciprocal relation.     

有限元广义伽略金方程,边界变分方程,边界积分方程

在[1]的基础上,我们进一步应用可动边界的变分原理于固体体系的离散分析,得到有限元广义伽略金方程,边界变分方程,边界积分方程.这些方程描述了待解函数在元素内部与元素的边界上应满足的方程.当对固体体系进行离散分析时,可以应用这些方程去建立不同情况下的求解待解函数的离散方程.亦可作为相应情况下的简化计算的依据.由本文得到的边界积分方程可知,在[2]中提出的J积分形式,应用于内部元素边界的围道积分计算是不适宜的.     

Existence of solutions for dual singular integral equations with convolution kernels in case of non-normal type

This paper is devoted to the study of dual singular integral equations with convolution kernels in the case of non-normal type. Via using the Fourier transforms, we transform such equations into Riemann boundary value problems. To solve the equation, we establish the regularity theory of solvability. The general solutions and the solvable conditions of the equation are obtained. Especially, we investigate the asymptotic property of solutions at nodes. This paper will have a significant meaning for the study of improving and developing complex analysis, integral equations and Riemann boundary value problems.     

Schwarz problem for higher‐order complex partial differential equations in the upper half plane

Linear and nonlinear elliptic complex partial differential equations of higher‐order are considered under Schwarz conditions in the upper‐half plane. Firstly, using the integral representations for the solutions of the inhomogeneous polyanalytic equation with Schwarz conditions, a class of integral operators is introduced together with some of their properties. Then, these operators are used to transform the problem for linear equations into singular integral equations. In the case of nonlinear equations such a transformation yields a system of integro‐differential equations. Existence of the solutions of the relevant boundary value problems for linear and nonlinear equations are discussed via Fredholm theory and fixed point theorems, respectively.     

Boundary-domain integral equations for the diffusion equation in inhomogeneous media based on a new family of parametrices

ABSTRACT

A mixed boundary value problem (BVP) for the diffusion equation in non-homogeneous media partial differential equation is reduced to a system of direct segregated parametrix-based boundary-domain integral equations (BDIEs). We use a parametrix different from the one employed by Mikhailov [Localized boundary-domain integral formulations for problems with variable coefficients. Eng Anal Bound Elem. 2002;26:681–690], Mikhailov and Portillo [A new family of boundary-domain integral equations for a mixed elliptic BVP with variable coefficient. In: Paul Harris, editor. Proceedings of the 10th UK conference on boundary integral methods. Brighton: Brighton University Press; 2015. p. 76–84] and Chkadua, Mikhailov, Natroshvili [Analysis of direct boundary-domain integral equations for a mixed BVP with variable coefficient. I: equivalence and invertibility. J Integral Eqs Appl. 2009;21:499–543]. We prove the equivalence between the original BVP and the corresponding BDIE system. The invertibility and Fredholm properties of the boundary-domain integral operators are also analysed.