Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model

ABSTRACT

In this paper, we investigate the pricing problem of a European-style contingent claim under a Markov-modulated exponential Lévy model. One of the main feature of this model is the modulator factor which takes into account the empirical facts observed in asset prices dynamics such as the long-term (stochastic) variability and time inhomogeneities. Using the viscosity solutions framework, we show that the value of a European-style option is the unique viscosity solution of a system of coupled linear Partial Integro-Differential Equations when the payoff function satisfies a Lipschitz condition. Moreover, we propose a numerical scheme for approximating solution of this system and discuss its stability, consistency and convergence.     

Viscosity Iteration in CAT(κ) Spaces

We study the approximation of fixed points of nonexpansive mappings in CAT(κ) spaces. We show that the iterative sequence generated by the Moudafi's viscosity type algorithm converges to one of the fixed points of the nonexpansive mapping depending on the contraction applied in the algorithm.     

Existence of Value in Stochastic Differential Games of Mixed Type

In this article, we address stochastic differential games of mixed type with both control and stopping times. Under standard assumptions, we show that the value of the game can be characterized as the unique viscosity solution of corresponding Hamilton-Jacobi-Isaacs (HJI) variational inequalities.     

A strong law of large numbers for arrays of rowwise negatively dependent random variables

A strong law of large numbers for arrays of rowwise negatively dependent random variables is obtained which relaxes the usual assumption of rowwise independence. The moment conditions of the main result are similar to previous results, and the stochastic bounded condition also provides a relaxation of the usual distributional assumptions.     

Stability of inclined planar flames as a local approximation of weakly curved flames

To evaluate the effect of vorticity usually generated by curved flames on the flame stability, laminar premixed planar flames inclined in the gravitational field is asymptotically examined. The flame structure is resolved by a large activation energy asymptotics and a long wave approximation. The coupling between hydrodynamics and diffusion processes is included and near-unity Lewis number is assumed. The results show that as the flame is more inclined from the horizontal plane it shows more unstable characteristics due to not only the decrease of the stabilizing effect of gravity but also the increase of the destabilizing effect of rotational flow. Unlike the planar flame propagating downward with the right angle to the upstream flow, the obtained dispersion relation involves the Prandtl number and shows the destabilizing effect of viscosity. The analysis predicts that the phase velocity of unstable wave depends on the Lewis number as well as the flame angle and, especially for unity Lewis number, it is the same with tangential velocity at the reaction zone. For relatively short wave disturbances, still much larger than flame thickness, the most unstable wavelength is nearly independent on the flame angle and the flame can be stabilized by gravity and diffusion mechanism.     

Dynamics of Dislocation Densities in a Bounded Channel. Part II: Existence of Weak Solutions to a Singular Hamilton–Jacobi/Parabolic Strongly Coupled System

We study a strongly coupled system consisting of a parabolic equation and a singular Hamilton–Jacobi equation in one space dimension. This system describes the dynamics of dislocation densities in a material submitted to an exterior applied stress. Our system is a natural extension of that studied in [16 Ibrahim , H. ( 2009 ). Existence and uniqueness for a non-linear parabolic/Hamilton–Jacobi coupled system describing the dynamics of dislocation densities . Ann. Inst. H. Poincaré Anal. Non Linéaire 26 : 415 – 435 . [Google Scholar]] where the applied stress was set to be zero. The equations are written on a bounded interval with Dirichlet boundary conditions and require special attention to the boundary. We prove a result of global existence of a solution. The method of the proof consists in considering first a parabolic regularization of the full system, and then passing to the limit. For this regularized system, a result of global existence and uniqueness of a solution has been given in [17 Ibrahim , H. , Jazar , M. , Monneau , R. Dynamics of dislocation densities in a bounded channel. Part I: smooth solutions to a singular coupled parabolic system. Preprint . [Google Scholar]]. We show some uniform bounds on this solution which uses in particular an entropy estimate for the densities.     

A New Proof for the Equivalence of Weak and Viscosity Solutions for the p-Laplace Equation

In this paper, we give a new proof for the fact that the distributional weak solutions and the viscosity solutions of the p-Laplace equation ?div(|Du| ^p?2 Du) = 0 coincide. Our proof is more direct and transparent than the original proof of Juutinen et al. [8 Juutinen , P. , Lindqvist , P. , Manfredi , J.J. ( 2001 ). On the equivalence of viscosity solutions and weak solutions for a quasi-linear equation . SIAM J. Math. Anal. 33 : 699 – 717 .[Crossref], [Web of Science ®] , [Google Scholar]], which relied on the full uniqueness machinery of the theory of viscosity solutions. We establish a similar result also for the solutions of the non-homogeneous version of the p-Laplace equation.     

Asymptotic Analysis for a Class of Infinite Systems of First-Order PDE: Nonlinear Parabolic PDE in the Singular Limit

Abstract

We study the asymptotic behavior of solutions of the Cauchy problem for a functional partial differential equation with a small parameter as the parameter tends to zero. We establish a convergence theorem in which the limit problem is identified with the Cauchy problem for a nonlinear parabolic partial differential equation. We also present comparison and existence results for the Cauchy problem for the functional partial differential equation and the limit problem.     

On the System of Hamilton–Jacobi and Transport Equations Arising in Geometrical Optics

Abstract

In the present article, we study the system of eikonal and transport equations arising in geometrical optics. The mathematical analysis is performed by using the suitable notion of solution, i.e., the viscosity solution for the Hamilton–Jacobi equation and the measure solution for the transport equation defined via the generalized Filippov characteristics. We study the stability as well as the geometry of the solution to the system.