arXiv research

New proofs for curvature problems using a viscosity approach.

We develop an alternative approach to Degenerate complex Monge-Ampère equations on compact Kähler manifolds based on the concept of viscosity solutions and compare systematically viscosity concepts with pluripotential theoretic ones. We generalize to the Kähler case a theorem due to Dinew and Zhang in the projective ca…

This is the content of the lectures given by the author at the winter school KAWA3 held at the University of Barcelona in 2012 from January 30 to February 3. The main goal was to give an account of viscosity techniques and to apply them to degenerate Complex Monge-Ampère equations following recent works of P. Eyssidieu…

Paper studies viscosity solutions in unique Martinet spaces.

We present a viscosity approach to the min-max construction of closed geodesics on compact Riemannian manifolds of arbitrary dimension. We also construct counter-examples in dimension $1$ and $2$ to the $\varepsilon$-regularity in the convergence procedure. Furthermore, we prove the lower semi-continuity of the index o…

Proves existence and uniqueness of viscosity solutions to complex Hessian equations on compact Hermitian manifolds.

Study uses viscosity solutions to solve control problems involving measure-valued martingales.

New, shorter proofs for varifolds and flows with improved decay of flatness.

Smooth solutions found for a specific type of Yamabe problem.

This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state constraint and possibly unbounded cost coefficients. The existence result is based on a novel comparison principle for…

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.

Convex solutions to a specific equation are smooth when the phase is smooth enough.

We establish the estimates of modulus of continuity for viscosity solutions of nonlinear evolution equations on manifolds, extending previous work of B. Andrews and J. Clutterbuck for regular solutions on manifolds \cite{AC3} and the first author's recent work for viscosity solutions in Euclidean spaces \cite{me1}.

In this work we consider viscosity solutions to second order partial differential equations on Riemannian manifolds. We prove maximum principles for solutions to Dirichlet problem on a compact Riemannian manifold with boundary. Using a different method, we generalize maximum principles of Omori and Yau to a viscosity v…

Model predicts viscosity of multicomponent systems efficiently.

This paper develops a novel numerical method for pricing American options in a two-asset jump-diffusion model.

Proves regularity for Brakke flow near stationary half-plane.

We study the Kähler-Ricci flow on compact Kähler manifolds whose canonical bundle is big. We show that the normalized Kähler-Ricci flow has long time existence in the viscosity sense, is continuous in a Zariski open set, and converges to the unique singular Kähler-Einstein metric in the canonical class. The key ingredi…

This paper studies the problem of determining the optimal cut-off for pairs trading rules. We consider two correlated assets whose spread is modelled by a mean-reverting process with stochastic volatility, and the optimal pair trading rule is formulated as an optimal switching problem between three regimes: flat positi…

Viscosity solutions are suitable notions in the study of nonlinear PDEs justified by estimates established via the maximum principle or the comparison principle. Here we prove that the isoperimetric profile functions of Riemannian manifolds with Ricci lower bound are viscosity super-solutions of some nonlinear differen…

In this paper, we investigate the moduli of continuity for viscosity solutions of a wide class of nonsingular quasilinear evolution equations and also for the level set mean curvature flow, which is an example of singular degenerate equations. We prove that the modulus of continuity is a viscosity subsolution of some o…

We establish interior regularity for convex viscosity solutions of the special Lagrangian equation. Our result states that all such solutions are real analytic in the interior of the domain.

We apply ideas from viscosity theory to establish the existence of a unique global weak solution to the generalized Kahler-Ricci flow in the setting of commuting complex structures. Our results are restricted to the case of a smooth manifold with smooth background data. We discuss the possibility of extending these res…

In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constrai…

Paper aims to minimize ruin probability in insurance companies using Sparre Andersen model.

Generic level sets in mean curvature flow are BV solutions.

Paper solves MV portfolio selection in jump-diffusion models with no-shorting constraint.

Abstract: Survey on quadratic Hessian equations, their properties, and open problems.

We study viscosity solutions to complex hessian equations. In the local case, we consider $Ω$ a bounded domain in $\mathbb{C}^n,$ $β$ the standard Kähler form in $\mathcal{C}^n$ and $1\leq m\leq n.$ Under some suitable conditions on $F, g$, we prove that the equation $(dd^c \varphi)^m\wedgeβ^{n-m}=F(x,\varphi)β^n,\ \f=…

Study on PDEs in Heston model with unique solution and convergence proof.

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

New equations reveal viscosity from boundary measurements.

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.

Proves smoothness and estimates for special Lagrangian solutions with semi-convexity.

Study values American passport options in an exponential Lévy model.

We give a generalization of a theorem of Bôcher for the Laplace equation to a class of conformally invariant fully nonlinear degenerate elliptic equations. We also prove a Harnack inequality for locally Lipschitz viscosity solutions and a classification of continuous radially symmetric viscosity solutions.

Market makers optimize trading with a new implicit scheme for complex inequalities.

The paper solves optimal control problems for stochastic delay equations.

We compare various notions of weak subsolutions to degenerate complex Monge-Amp{è}re flows, showing that they all coincide. This allows us to show that the viscosity solution coincides with the envelope of pluripotential subsolutions. Dedicated to Duong Hong Phong on the occasion of his 65th birthday.

Global singularities propagate in magnetic mechanical systems on Riemannian manifolds.

In this paper, we study the valuation of American type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard (2001). We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation when the payoff function satisfies a Lipschitz condi…

Researchers prove a 30-year-old cosmological conjecture about spacetime.

We develop theory and computational methods to investigate particle inclusions embedded within curved lipid bilayer membranes. We consider the case of spherical lipid vesicles where inclusion particles are coupled through (i) intramembrane hydrodynamics, (ii) traction stresses with the external and trapped solvent flui…

We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded and observed at discrete random times corresponding to the jumps of a Poisson pro…

Study on Tukey depth in machine learning using Hamilton-Jacobi equations.

Smooths out complex shapes into simpler forms.

Defines weak geodesics on specific subsets of manifolds.

We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that case only a terminal condition is needed. Conversely, the case of contracts with …