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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 solutions of Knizhnik-Zamolodchikov system

Lev Sakhnovich (2009)

Open Mathematics

We consider the Knizhnik-Zamolodchikov system of linear differential equations. The coefficients of this system are rational functions. We prove that under some conditions the solution of the KZ system is rational too. We give the method of constructing the corresponding rational solution. We deduce the asymptotic formulas for the solution of the KZ system when the parameter ρ is an integer.

On the spatial analyticity of solutions to the Keller-Segel equations

Okihiro Sawada (2008)

Banach Center Publications

The regularizing rate of solutions to the Keller-Segel equations in the whole space is estimated just as for the heat equation. As an application of these rate estimates, it is proved that the solution is analytic in spatial variables. Spatial analyticity implies that the propagation speed is infinite, i.e., the support of the solution coincides with the whole space for any short time, even if the support of the initial datum is compact.

On the stability of solutions of nonlinear parabolic differential-functional equations

Stanisław Brzychczy (1996)

Annales Polonici Mathematici

We consider a nonlinear differential-functional parabolic boundary initial value problem (1) ⎧A z + f(x,z(t,x),z(t,·)) - ∂z/∂t = 0 for t > 0, x ∈ G, ⎨z(t,x) = h(x)     for t > 0, x ∈ ∂G, ⎩z(0,x) = φ₀(x)     for x ∈ G, and the associated elliptic boundary value problem with Dirichlet condition (2) ⎧Az + f(x,z(x),z(·)) = 0  for x ∈ G, ⎨z(x) = h(x)    for x ∈ ∂G ⎩ where x = ( x , . . . , x m ) G m , G is an open and bounded domain with C 2 + α (0 < α ≤ 1) boundary, the operator     Az := ∑j,k=1m ajk(x) (∂²z/(∂xj ∂xk)) is...

On the stabilization of laminated beams with delay

Kassimu Mpungu, Tijani A. Apalara, Mukhiddin Muminov (2021)

Applications of Mathematics

Of concern in this paper is the laminated beam system with frictional damping and an internal constant delay term in the transverse displacement. Under suitable assumptions on the weight of the delay, we establish that the system's energy decays exponentially in the case of equal wave speeds of propagation, and polynomially in the case of non-equal wave speeds.

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