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Malliavin method for optimal investment in financial markets with memory

Qiguang An, Guoqing Zhao, Gaofeng Zong (2016)

Open Mathematics

We consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market....

Mathematical analysis of the discharge of a laminar hot gas in a colder atmosphere.

Stanislav Antontsev, Jesús Ildefonso Díaz (2007)

RACSAM

We study the boundary layer approximation of the, already classical, mathematical model which describes the discharge of a laminar hot gas in a stagnant colder atmosphere of the same gas. We start by proving the existence and uniqueness of solutions of the nondegenerate problem under assumptions implying that the temperature T and the horizontal velocity u of the gas are strictly positive: T ≥ δ > 0 and u ≥ ε > 0 (here δ and ε are given as boundary conditions in the external atmosphere)....

Multicomponent flow in a porous medium. Adsorption and Soret effect phenomena : local study and upscaling process

Serge Blancher, René Creff, Gérard Gagneux, Bruno Lacabanne, François Montel, David Trujillo (2001)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

Our aim here is to study the thermal diffusion phenomenon in a forced convective flow. A system of nonlinear parabolic equations governs the evolution of the mass fractions in multicomponent mixtures. Some existence and uniqueness results are given under suitable conditions on state functions. Then, we present a numerical scheme based on a “mixed finite element” method adapted to a finite volume scheme, of which we give numerical analysis. In a last part, we apply an homogenization technique to...

Multicomponent flow in a porous medium. Adsorption and Soret effect phenomena: local study and upscaling process

Serge Blancher, René Creff, Gérard Gagneux, Bruno Lacabanne, François Montel, David Trujillo (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

Our aim here is to study the thermal diffusion phenomenon in a forced convective flow. A system of nonlinear parabolic equations governs the evolution of the mass fractions in multicomponent mixtures. Some existence and uniqueness results are given under suitable conditions on state functions. Then, we present a numerical scheme based on a "mixed finite element"method adapted to a finite volume scheme, of which we give numerical analysis. In a last part, we apply an homogenization technique to...

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