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On European option pricing under partial information

Meng Wu, Jue Lu, Nan-jing Huang (2016)

Applications of Mathematics

We consider a European option pricing problem under a partial information market, i.e., only the security's price can be observed, the rate of return and the noise source in the market cannot be observed. To make the problem tractable, we focus on gap option which is a generalized form of the classical European option. By using the stochastic analysis and filtering technique, we derive a Black-Scholes formula for gap option pricing with dividends under partial information. Finally, we apply filtering...

On exact null controllability of Black-Scholes equation

Kumarasamy Sakthivel, Krishnan Balachandran, Rangarajan Sowrirajan, Jeong-Hoon Kim (2008)

Kybernetika

In this paper we discuss the exact null controllability of linear as well as nonlinear Black–Scholes equation when both the stock volatility and risk-free interest rate influence the stock price but they are not known with certainty while the control is distributed over a subdomain. The proof of the linear problem relies on a Carleman estimate and observability inequality for its own dual problem and that of the nonlinear one relies on the infinite dimensional Kakutani fixed point theorem with L 2 ...

On generalized games in H -spaces

Paolo Cubiotti, Giorgio Nordo (1999)

Commentationes Mathematicae Universitatis Carolinae

We show that a recent existence result for the Nash equilibria of generalized games with strategy sets in H -spaces is false. We prove that it becomes true if we assume, in addition, that the feasible set of the game (the set of all feasible multistrategies) is closed.

On heuristic optimization.

Ciobanu, Camelia, Marin Gheorghe (2001)

Analele Ştiinţifice ale Universităţii “Ovidius" Constanţa. Seria: Matematică

On knowledge games.

J. M. Lasry, J. M. Morel, S. Solimini (1989)

Revista Matemática de la Universidad Complutense de Madrid

We give a formalization of the ?knowledge games? which allows to study their decidability and convergence as a problem of mathematics. Our approach is based on a metalemma analogous to those of Von Neumann and Morgenstern at the beginning of Game Theory. We are led to definitions which characterize the knowledge games as objects is standard set theory. We then study rigorously the most classical knowledge games and, although we also prove that the ?common knowledge? in these games may be incomputable,...

On M -stationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling

René Henrion, Werner Römisch (2007)

Applications of Mathematics

Modeling several competitive leaders and followers acting in an electricity market leads to coupled systems of mathematical programs with equilibrium constraints, called equilibrium problems with equilibrium constraints (EPECs). We consider a simplified model for competition in electricity markets under uncertainty of demand in an electricity network as a (stochastic) multi-leader-follower game. First order necessary conditions are developed for the corresponding stochastic EPEC based on a result...

On Nash theorem

Władysław Kulpa, Andrzej Szymański (2002)

Acta Universitatis Carolinae. Mathematica et Physica

On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance

Mokhtar Hafayed, Petr Veverka, Syed Abbas (2014)

Applications of Mathematics

We establish necessary and sufficient conditions of near-optimality for nonlinear systems governed by forward-backward stochastic differential equations with controlled jump processes (FBSDEJs in short). The set of controls under consideration is necessarily convex. The proof of our result is based on Ekeland's variational principle and continuity in some sense of the state and adjoint processes with respect to the control variable. We prove that under an additional hypothesis, the near-maximum...

On Nonadaptive Search Problem

Kolev, Emil (2003)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: 91A46, 91A35.We consider nonadaptive search problem for an unknown element x from the set A = {1, 2, 3, . . . , 2^n}, n ≥ 3. For fixed integer S the questions are of the form: Does x belong to a subset B of A, where the sum of the elements of B is equal to S? We wish to find all integers S for which nonadaptive search with n questions finds x. We continue our investigation from [4] and solve the last remaining case n = 2^k , k ≥ 2.

On noncooperative nonlinear differential games

Tomáš Roubíček (1999)

Kybernetika

Noncooperative games with systems governed by nonlinear differential equations remain, in general, nonconvex even if continuously extended (i. e. relaxed) in terms of Young measures. However, if the individual payoff functionals are “enough” uniformly convex and the controlled system is only “slightly” nonlinear, then the relaxed game enjoys a globally convex structure, which guarantees existence of its Nash equilibria as well as existence of approximate Nash equilibria (in a suitable sense) for...

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