arXiv research

Study rigidity of geodesic balls on manifolds with boundary.

Novel boundary integral equations for Dirac operators in 3D Lipschitz domains.

The Poisson equation on manifolds plays an fundamental role in many applications. Recently, we proposed a novel numerical method called the Point Integral method (PIM) to solve the Poisson equations on manifolds from point clouds. In this paper, we prove the convergence of the point integral method for solving the Pois…

Closed-form solution found for American put option boundary.

Study on smoothness of solutions to nonlinear equations on Riemannian manifolds.

In this paper, we study the properties of the first global term in the polyhomogeneous expansions for Liouville's equation. We obtain rigidity and gap results for the boundary integral of the global coefficient. We prove that such a boundary integral is always nonpositive, and is zero if and only if the underlying doma…

In this paper, we derive a new handy integral equation for the free-boundary of infinite time horizon, continuous time, stochastic, irreversible investment problems with uncertainty modeled as a one-dimensional, regular diffusion $X$. The new integral equation allows to explicitly find the free-boundary $b(\cdot)$ in s…

Solves Einstein vacuum equations with specific boundary conditions.

We prove a Li-Yau gradient estimate for positive solutions to the heat equation, with Neumann boundary conditions, on a compact Riemannian submanifold with boundary ${\bf M}^n\subseteq {\bf N}^n$, satisfying the integral Ricci curvature assumption: \begin{equation} D^2 \sup_{x\in {\bf N}} \left( \oint_{B(x,D)} |Ric^-|^…

New integral transforms solve multilayer heat equations.

We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential Lévy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic control problem. In line with the results recently obtained in a diffusive setting,…

We give time-slicing path integral formulas for solutions to the heat equation corresponding to a self-adjoint Laplace type operator acting on sections of a vector bundle over a compact Riemannian manifold with boundary. More specifically, we show that such a solution can be approximated by integrals over finite-dimens…

Paper proves rigidity of weak solutions for anisotropic N-Laplacian equations with Neumann or Robin boundary conditions.

Paper improves American option valuation in complex models.

We study the existence of a metric with zero scalar curvature maximizing the isoperimetric ratio among all zero scalar curvature metrics in a fixed conformal class of metrics on a compact manifold with boundary. The question may be reduced to an extremal problem for the harmonic extension of functions and the related n…

Researchers find the optimal exercise time for American options using a specific type of diffusion process.

We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strategy; (ii) the short-long strategy, and (iii) the chooser strategy, i.e. th…

The paper solves a pricing problem for a multiple reset put option using integral equations.

Paper defines when early exercise of American options is optimal under negative rates.

Solves optimal stopping for Gauss-Markov bridges using time-space transformation.

New equations reveal moduli space rigidity in geometric deformations.

The Laplace-Beltrami operator (LBO) is a fundamental object associated to Riemannian manifolds, which encodes all intrinsic geometry of the manifolds and has many desirable properties. Recently, we proposed a novel numerical method, Point Integral method (PIM), to discretize the Laplace-Beltrami operator on point cloud…

Study finite-type solutions of elliptic sinh-Gordon equation with Durham boundary conditions.

Given a compact four dimensional smooth Riemannian manifold $(M,g)$ with smooth boundary, we consider the evolution equation by $Q$-curvature in the interior keeping the $T$-curvature and the mean curvature to be zero and the evolution equation by $T$-curvature at the boundary with the condition that the $Q$-curvature …

Paper presents a new method for pricing American options with hybrid dividends.

The purpose of this survey chapter is to present a transformation technique that can be used in analysis and numerical computation of the early exercise boundary for an American style of vanilla options that can be modelled by class of generalized Black-Scholes equations. We analyze qualitatively and quantitatively the…

New BdryMatérn GP model for reliable boundary integration on irregular domains.

The paper explores rigidity and splitting theorems for sub-static spaces with minimal hypersurfaces.

A new method for pricing exchange options under stochastic volatility and jumps.

The second boundary value problem of the prescribed affine mean curvature equation is a nonlinear, fourth order, geometric partial differential equation. It was introduced by Trudinger and Wang in 2005 in their investigation of the affine Plateau problem in affine geometry. The previous works of Trudinger-Wang, Chau-We…

In this paper, we study the non-linear diffusion equation associated with a particle system where the common drift depends on the rate of absorption of particles at a boundary. We provide an interpretation as a structural credit risk model with default contagion in a large interconnected banking system. Using the metho…

In this paper, we discuss the uniqueness in an integral geometry problem in a strongly convex domain. Our problem is related to the problem of finding a Riemannian metric by the distances between all pairs of the boundary points. For the proof, the problem is reduced to an inverse source problem for a kinetic equation …

In this paper, we extend the 3/2-model for VIX studied by Goard and Mazur (2013) and introduce the generalized 3/2 and 1/2 classes of volatility processes. Under these models, we study the pricing of European and American VIX options and, for the latter, we obtain an early exercise premium representation using a free-b…

Paper develops a new method for solving IBVPs on star-shaped domains.

Quantitative Sobolev extensions lead to Neumann heat kernel bounds.

By using Hsu's multiplicative functional for the Neumann heat equation, a natural damped gradient operator is defined for the reflecting Brownian motion on compact manifolds with boundary. This operator is linked to quasi-invariant flows in terms of a integration by parts formula, which leads to the standard log-Sobole…

The article characterizes a hemisphere using a Laplace operator and a differential equation.

Study on heat flow across two half-lines with special boundary conditions.

We consider an American put option under the CEV process. This corresponds to a free boundary problem for a PDE. We show that this free bondary satisfies a nonlinear integral equation, and analyze it in the limit of small $ρ$ = $2r/ σ^2$, where $r$ is the interest rate and $σ$ is the volatility. We use perturbation met…

We provide new bounds on a flux integral over the portion of the boundary of one regular domain contained inside a second regular domain, based on properties of the second domain rather than the first one. This bound is amenable to numerical computation of a flux through the boundary of a domain, for example, when ther…

The goal of this article is to study the space of smooth Riemannian structures on compact manifolds with boundary that satisfies a critical point equation associated with a boundary value problem. We provide an integral formula which enables us to show that if a critical metric of the volume functional on a connected $…

The paper analyzes optimal retirement timing considering age-dependent mortality risk.

Enhances neural network solvers for PDEs with complex boundary conditions.

For the first time in mathematical finance field, we propose the local weak form meshless methods for option pricing; especially in this paper we select and analysis two schemes of them named local boundary integral equation method (LBIE) based on moving least squares approximation (MLS) and local radial point interpol…

We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of "put" type and the underlying dynamics follows a geometric Brownian motion. The op…

Let M be a compact Riemannian manifold without boundary and let H be a self-adjoint generalized Laplace operator acting on sections in a bundle over M. We give a path integral formula for the solution to the corresponding heat equation. This is based on approximating path space by finite dimensional spaces of geodesic …

Given a Riemannian spin^c manifold whose boundary is endowed with a Riemannian flow, we show that any solution of the basic Dirac equation satisfies an integral inequality depending on geometric quantities, such as the mean curvature and the O'Neill tensor. We then characterize the equality case of the inequality when …

Proves a theorem for normal distributions on manifolds with boundary.