Results 11 to 20 of about 199 (130)
Asymptotic expansions for degenerate parabolic equations
, 2014 We prove asymptotic convergence results for some analytical expansions of solutions of degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the ...
PASCUCCI, ANDREA +4 more
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A discrete linearizability test based on multiscale analysis
, 2010 In this paper we consider the classification of dispersive linearizable partial difference equations defined on a quad-graph by the multiple scale reduction around their harmonic solution.
C Scimiterna +6 more
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Branching diffusion processes in periodic media [PDF]
, 2019 In the first part of this manuscript, we investigate the asymptotic behavior of solutions to parabolic partial differential equations (PDEs) in $\real^d$ with space-periodic diffusion matrix, drift, and potential. The asymptotics is obtained up to linear
Hebbar, Pratima
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Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
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Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
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Numerical Methods for Partial Differential Equations, Volume 42, Issue 4, July 2026.ABSTRACT The main purpose of this paper is to design a fully discrete local discontinuous Galerkin (LDG) scheme for the generalized Benjamin–Ono equation. First, we prove the L2$$ {L}^2 $$‐stability for the proposed semi‐discrete LDG scheme and obtained a suboptimal order of convergence for power nonlinear flux.
Mukul Dwivedi, Tanmay Sarkar
wiley +1 more source
Engineering Reports, Volume 8, Issue 6, June 2026.A pseudo‐two‐dimensional (P2D) reaction–diffusion framework is proposed to model reactive oxygen species (ROS) generation, transport, and scavenging in Ag–ZnO/Fucoidan nanocomposites. Spatially segregated ROS source (Ag–ZnO) and sink (fucoidan) domains are embedded into a one‐dimensional computational model, capturing nonlinear feedback between site ...
Mohamed Abu Shuheil +8 more
wiley +1 more source
Gram Decay and Intrinsic Dimensions of Krylov Subspaces
Numerical Linear Algebra with Applications, Volume 33, Issue 3, June 2026.ABSTRACT Krylov subspace methods solve large sparse linear systems Ax=b$$ Ax=b $$ by building a sequence of polynomial approximations to A−1b$$ {A}^{-1}b $$ from successive matrix‐vector products. In finite precision, the number of numerically independent directions that can be extracted from this sequence is bounded by the intrinsic information ...
Stephen J. Thomas
wiley +1 more source
Gevrey multiscale expansions of singular solutions of PDEs with cubic nonlinearity [PDF]
, 2018 We study a singularly perturbed PDE with cubic nonlinearity depending on a complex perturbation parameter ε. This is a continuation of the precedent work [22] by the first author. We construct two families of sectorial meromorphic solutions obtained as a
Lastra, Alberto, Malek, Stephane
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On Approximation of the Solutions to Partial Differential Equations in Finance
, 2011 This paper proposes a general approximation method for the solutions to second-order parabolic partial differential equations (PDEs) widely used in finance through an extension of Léandre\u27s approach(Léandre (2006,2008)) and the Bismut identiy(e.g ...
Takahashi Akihiko +3 more
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