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Displaying 1661 –
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2165
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...
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.
We consider one-dimensional parabolic free boundary value problem with a nonlocal (integro-differential) condition on the free boundary. Results on Cm-smoothness of the free boundary are obtained. In particular, a necessary and sufficient condition for infinite differentiability of the free boundary is given.
In this paper a -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 -solvability of the Dirichlet problem related to the same equation is showed.
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.
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.
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