arXiv research

Study shows long-term solutions for complex equations on curved spaces.

Extends parabolic study to flat hyperkähler manifolds.

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.

This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the classical Black-Scholes theory for pricing financial instruments, as well as models …

We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.

Sharp Lipschitz bounds and gradient estimates for fully nonlinear parabolic equations.

Unified diffusive bounds for non-linear parabolic equations.

Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differential equation smoothing techniques, we prove that the super-replication price is the viscosity solution of a fully non-linear parabolic equatio…

We propose a new least-squares Monte Carlo algorithm for the approximation of conditional expectations in the presence of stochastic derivative weights. The algorithm can serve as a building block for solving dynamic programming equations, which arise, e.g., in non-linear option pricing problems or in probabilistic dis…

We observe that the comparison result of Barles-Biton-Ley for viscosity solutions of a class of nonlinear parabolic equations can be applied to a geometric fully nonlinear parabolic equation which arises from the graphic solutions for the Lagrangian mean curvature flow.

Uniform bounds derived for fully non-linear equations.

New method for analyzing elliptic and parabolic equations.

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 $G$-structure to model parabolic equations, I apply Cartan techniques to determine local geometric invariants (quan…

We present some new ideas to derive {\em a priori} second order estiamtes for a wide class of fully nonlinear parabolic equations. Our methods, which produce new existence results for the initial-boundary value problems in $\bfR^n$, are powerful enough to work in general Riemannian manifolds.

Paper solves complex equations on noncompact manifolds.

Paper generalizes sub-slope definition and solves complex equations on compact manifolds.

Paper establishes estimates for solutions on compact manifolds.

The paper establishes boundary estimates for solutions to elliptic equations on Hermitian manifolds.

Solves Dirichlet problem for elliptic equations on Hermitian manifolds.

Fiedler and Mallet-Paret prove a version of the classical Poincaré-Bendixson Theorem for scalar parabolic equations. We prove that a similar result holds for bounded solutions of the non-linear Cauchy-Riemann equations. The latter is an application of an abstract theorem for flows with a(n) (unbounded) discrete Lyapuno…

In recent years, the study of the interplay between (fully) non-linear potential theory and geometry received important new impulse. The purpose of this work is to move a step further in this direction by investigating appropriate versions of parabolicity and maximum principles at infinity for large classes of non-line…

Sharp L∞ estimates for fully non-linear elliptic equations on compact complex manifolds.

The paper solves a complex financial optimization problem using a novel mathematical technique.

Paper studies solutions to a specific equation in conformal geometry with singular sets.

Develops a new parabolic equation for surfaces, proving long-time existence and convergence.

Paper develops techniques to solve complex PDEs involving higher cohomology forms.

We derive a priori estimates for solutions of a general class of fully non-linear equations on compact Hermitian manifolds. Our method is based on ideas that have been used for different specific equations, such as the complex Monge-Ampère, Hessian and inverse Hessian equations. As an application we solve a class of He…

In this paper, a class of fully nonlinear flows with nonlinear Neumann type boundary condition is considered. This problem was solved partly by the first author under the assumption that the flow is the parabolic type special Lagrangian equation in $\mathbb{R}^{2n}$. We show that the convexity is preserved for solution…

Sharp $L^\infty$ estimates proved for complex Monge-Ampère equations.

We give sharp $C^{2,α}$ estimates for solutions of some fully nonlinear elliptic and parabolic equations in complex geometry and almost complex geometry, assuming a bound on the Laplacian of the solution. We also prove the analogous results to complex Monge-Ampère equations with conical singularities. As an application…

The paper examines solutions to a specific type of nonlinear equation in a disk, proving existence and uniqueness.

Proves solutions to elliptic equations on Hermitian manifolds with optimal conditions.

We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the market parameters, but rather use historical stock prices. For a non-linear problem with a general performance criterion, th…

We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected terminal utility of his wealth. We assume a mean-reverting additive process to drive t…

Derives estimates for geometric elliptic equations on complex manifolds.

Solves Dirichlet problem for prescribed scalar curvature in Anti-de Sitter space

Study fully nonlinear elliptic equations on complex manifolds.

We establish Evans-Krylov estimates for certain nonconvex fully nonlinear elliptic and parabolic equations by exploiting partial Legendre transformations. The equations under consideration arise in part from the study of the "pluriclosed flow" introduced by the first author and Tian

In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in our accompanying paper [15]. We prove existence of these equations by a direct method, thus providing complete wellposedness for 2BSDEJs. These equations are a natural candidate for the probabilistic interpretation of som…

Long time existence and uniqueness of solutions to the Yang-Mills heat equation is proven over a compact 3-manifold with smooth boundary. The initial data is taken to be a Lie algebra valued connection form in the Sobolev space $H_1$. Three kinds of boundary conditions are explored, Dirichlet type, Neumann type and Mar…

We solve the Dirichlet problem for fully nonlinear elliptic equations on Riemannian manifolds under essentially optimal structure conditions, especially with no restrictions to the curvature of the underlying manifold and the second fundamental form of its boundary. The main result (Theorem 1.1) includes a new (and opt…

Solves nonlinear problems on metric structures through eigenvalue counting.

Study on slow convergence in geometric variational problems.

We consider the Cauchy problem for doubly non-linear degenerate parabolic equations on Riemannian manifolds of infinite volume, or in $\R^N$. 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…

Uniform bounds for complex equations using Monge-Ampère method.

In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying asset price and the Gamma of the option. We show that the generalizations of the cl…

Study fully nonlinear elliptic equations on compact hyperhermitian manifolds.

The geometric approach to optimal transport and information theory has triggered the interpretation of probability densities as an infinite-dimensional Riemannian manifold. The most studied Riemannian structures are Otto's metric, yielding the $L^2$-Wasserstein distance of optimal mass transport, and the Fisher--Rao me…