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Displaying 1661 – 1680 of 2165

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On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility

Beáta Stehlíková, Daniel Ševčovič (2009)

Kybernetika

In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox–Ingersoll–Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of a solution...

On the small time asymptotics of the two-dimensional stochastic Navier–Stokes equations

Tiange Xu, Tusheng Zhang (2009)

Annales de l'I.H.P. Probabilités et statistiques

In this paper, we establish a small time large deviation principle (small time asymptotics) for the two-dimensional stochastic Navier–Stokes equations driven by multiplicative noise, which not only involves the study of the small noise, but also the investigation of the effect of the small, but highly nonlinear, unbounded drifts.

On the smoothness of viscosity solutions of the prescribed Levi-curvature equation

Giovanna Citti, Ermanno Lanconelli, Annamaria Montanari (1999)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni

In this paper a C -regularity result for the strong viscosity solutions to the prescribed Levi-curvature equation is announced. As an application, starting from a result by Z. Slodkowski and G. Tomassini, the C -solvability of the Dirichlet problem related to the same equation is showed.

On the solution of a generalized system of von Kármán equations

Jozef Kačur (1981)

Aplikace matematiky

A nonlinear system of equations generalizing von Kármán equations is studied. The existence of a solution is proved and the relation between the solutions of the considered system and the solutions of von Kármán system is studied. The system considered is derived in a former paper by Lepig under the assumption of a nonlinear relation between the intensity of stresses and deformations in the constitutive law.

On the solution of boundary value problems for sandwich plates

Igor Bock, Ivan Hlaváček, Ján Lovíšek (1986)

Aplikace matematiky

A mathematical model of the equilibrium problem of elastic sandwich plates is established. Using the theory of inequalities of Korn's type for a general class of elliptic systems the existence and uniqueness of a variational solution is proved.

Currently displaying 1661 – 1680 of 2165