A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Maximal regularity for nonuniformly parabolic problems with normal degeneration.
Smooth solutions up to evolving free boundaries for degenerate equations.
The paper proves Hölder continuity for solutions of degenerate parabolic equations in any dimension.
Unified diffusive bounds for non-linear parabolic equations.
Non-unique option pricing in Heston model analyzed mathematically.
We consider a semilinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity which is related to a stochastic control problem with fuel constraint. The fuel constraint translates into a singular initial condition for the HJB equation. We first propose a transformation based on a change of vari…
This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and on the investigation of differential and certain qualitative properties of solutions of such equations. The generalized solvability for such …
Motivated by applications to probability and mathematical finance, we consider a parabolic partial differential equation on a half-space whose coefficients are suitably Holder continuous and allowed to grow linearly in the spatial variable and which become degenerate along the boundary of the half-space. We establish e…
Using results from our companion article [arXiv:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and mathematical finance, concerning degenerate diffusion processes. We show that th…
We develop a parabolic pluripotential theory on compact K{ä}hler manifolds, defining and studying weak solutions to degenerate parabolic complex Monge-Amp{è}re equations. We provide a parabolic analogue of the celebrated Bedford-Taylor theory and apply it to the study of the K{ä}hler-Ricci flow on varieties with log te…
In this work there is established an optimal existence and regularity theory for second order linear parabolic differential equations on a large class of noncompact Riemannian manifolds. Then it is shown that it provides a general unifying approach to problems with strong degeneracies in the interior or at the boundary…
We consider the Cauchy problem for doubly non-linear degenerate parabolic equations on Riemannian manifolds of infinite volume, or in . The equation contains a weight function as a capacitary coefficient which we assume to decay at infinity. We connect the behavior of non-negative solutions to the interplay betwe…
For the system of second order quasilinear parabolic equations the problem of reducing them to the equations of diffusion type is considered. In non-degenerate case an effective algorithm for solving this problem is suggested.
Non-uniqueness found in option valuation for certain α values.
We prove long time existence and convergence results for the pluriclosed flow, which imply geometric and topological classification theorems for generalized Kähler structures. Our approach centers on the reduction of pluriclosed flow to a degenerate parabolic equation for a -form, introduced in \cite{ST2}. We ob…
We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process is locally Hölder continuous with exponent , the stochastic solution, which represents the price of a European option, is show…
Studying the (long-term) behavior of the Kähler-Ricci flow on mildly singular varieties, one is naturally lead to study weak solutions of degenerate parabolic complex Monge-Ampére equations. The purpose of this article, the second of a series on this subject, is to develop a viscosity theory for degenerate complex Mong…
The coupled system, where one is a degenerate parabolic equation and the other has not a diffusion term arises in the modeling of European options with liquidity shocks. Two implicit-explicit (IMEX) schemes that preserve the positivity of the differential problem solution are constructed and analyzed. Numerical experim…
Study curve shortening flow on Riemann surfaces with conical singularities.
We present an analytic approach to solve a degenerate parabolic problem associated to the Heston model, which is widely used in mathematical finance to derive the price of an European option on an risky asset with stochastic volatility. We give a variational formulation, involving weighted Sobolev spaces, of the second…
Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied and the equation can be degenerate. Some generalized solutions based on the representation theorem are suggested. In addition to problems with a st…
We develop the first steps of a parabolic pluripotential theory in bounded strongly pseudo-convex domains of Cn. We study certain degenerate parabolic complex Monge-Amp{è}re equations, modelled on the K{ä}hler-Ricci flow evolving on complex algebraic varieties with Kawamata log-terminal singularities. Under natural ass…
We propose a deterministic numerical method for pricing vanilla options under the SABR stochastic volatility model, based on a finite element discretization of the Kolmogorov pricing equations via non-symmetric Dirichlet forms. Our pricing method is valid under mild assumptions on parameter configurations of the proces…
Study on singularities of Chern-Ricci flow on complex manifolds.
This paper includes a proof of well-posedness of an initial-boundary value problem involving a system of degenerate non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. In a semi-Markov modulated GBM model the locally risk minimizing price function satisfies a…
We prove the Bers' density conjecture for singly degenerate Kleinian surfaces groups without parabolics.
Optimal contracts are found for agents with quadratic effort costs.
We show that Cannon-Thurston maps exist for degenerate free groups without parabolics, i.e. for handlebody groups. Combining these techniques with earlier work proving the existence of Cannon-Thurston maps for surface groups, we show that Cannon-Thurston maps exist for arbitrary finitely generated Kleinian groups witho…
The paper connects hyperpolygon spaces to Higgs bundle moduli spaces via degenerations.
We consider the value function originating from an expected utility maximization problem with finite fuel constraint and show its close relation to a nonlinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity. On one hand, we give a so-called verification argument based on the dynamic progr…
We discuss normal forms and symplectic invariants of parabolic orbits and cuspidal tori in integrable Hamiltonian systems with two degrees of freedom. Such singularities appear in many integrable systems in geometry and mathematical physics and can be considered as the simplest example of degenerate singularities. We a…
Studying the behavior of the Kähler-Ricci flow on mildly singular varieties, one is naturally lead to study weak solutions of degenerate parabolic complex Monge-Ampère equations. In this article, the third of a series on this subject, we study the long term behavior of the normalized Kähler-Ricci flow on mildly singula…
Sharp Lipschitz bounds and gradient estimates for fully nonlinear parabolic equations.
Study on Higgs bundles and hyperpolygon spaces using Hitchin metrics.
Defines and studies solutions to complex equations on Hermitian manifolds.
Model for valuing inflation-linked interest rate derivatives.
I consider the geometry of the general class of scalar 2nd-order differential equations with parabolic symbol, including non-linear and non-evolutionary parabolic equations. After defining the appropriate -structure to model parabolic equations, I apply Cartan techniques to determine local geometric invariants (quan…
Study on parabolic points and cylindrical surfaces in Euclidean 3-space.
We consider the Cauchy problem for a second order quasi-linear partial differential equation with an admissible parabolic degeneration such that the given functions described the initial conditions are defined on a closed interval. We study also a variant of the inverse problem of the Cauchy problem and prove that the …
Researchers study fractional porous medium equation on hyperbolic space.
We develop an option pricing model based on a tug-of-war game. This two-player zero-sum stochastic differential game is formulated in the context of a multi-dimensional financial market. The issuer and the holder try to manipulate asset price processes in order to minimize and maximize the expected discounted reward. W…
I consider the existence and structure of conservation laws for the general class of evolutionary scalar second-order differential equations with parabolic symbol. First I calculate the linearized characteristic cohomology for such equations. This provides an auxiliary differential equation satisfied by the conservatio…
The paper studies frequency monotonicity for solutions of nonlinear equations under Ricci flow.
Study gradient estimates for nonlinear parabolic equations on Riemannian manifolds.
Sharp estimates for parabolic equations on manifolds using symmetrization.
A notion of parabolic C-subsolutions is introduced for parabolic equations, extending the theory of C-subsolutions recently developed by B. Guan and more specifically G. Székelyhidi for elliptic equations. The resulting parabolic theory provides a convenient unified approach for the study of many geometric flows.
Improved convergence and curvature estimate for parabolic Allen-Cahn equation.
The paper concerns singular solutions of nonlinear elliptic equations, which include removable singularities for viscosity solutions, a strengthening of the Hopf Lemma including parabolic equations, Strong maximum principle and Hopf Lemma for viscosity solutions including also parabolic equations.