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Derivation and well-posedness of Boussinesq/Boussinesq systems for internal waves

Cung The Anh (2009)

Annales Polonici Mathematici

We consider the propagation of internal waves at the interface between two layers of immiscrible fluids of different densities, under the rigid lid assumption, with the presence of surface tension and with uneven bottoms. We are interested in the case where the flow has a Boussinesq structure in both the upper and lower fluid domains. Following the global strategy introduced recently by Bona, Lannes and Saut [J. Math. Pures Appl. 89 (2008)], we derive an asymptotic model in this regime, namely the...

Derivation of a homogenized two-temperature model from the heat equation

Laurent Desvillettes, François Golse, Valeria Ricci (2014)

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

This work studies the heat equation in a two-phase material with spherical inclusions. Under some appropriate scaling on the size, volume fraction and heat capacity of the inclusions, we derive a coupled system of partial differential equations governing the evolution of the temperature of each phase at a macroscopic level of description. The coupling terms describing the exchange of heat between the phases are obtained by using homogenization techniques originating from [D. Cioranescu, F. Murat,...

Derivation of Hartree’s theory for mean-field Bose gases

Mathieu Lewin (2013)

Journées Équations aux dérivées partielles

This article is a review of recent results with Phan Thành Nam, Nicolas Rougerie, Sylvia Serfaty and Jan Philip Solovej. We consider a system of N bosons with an interaction of intensity 1 / N (mean-field regime). In the limit N → ∞ , we prove that the first order in the expansion of the eigenvalues of the many-particle Hamiltonian is given by the nonlinear Hartree theory, whereas the next order is predicted by the Bogoliubov Hamiltonian. We also discuss the occurrence of Bose-Einstein condensation in these...

Deterministic state-constrained optimal control problems without controllability assumptions

Olivier Bokanowski, Nicolas Forcadel, Hasnaa Zidani (2011)

ESAIM: Control, Optimisation and Calculus of Variations

In the present paper, we consider nonlinear optimal control problems with constraints on the state of the system. We are interested in the characterization of the value function without any controllability assumption. In the unconstrained case, it is possible to derive a characterization of the value function by means of a Hamilton-Jacobi-Bellman (HJB) equation. This equation expresses the behavior of the value function along the trajectories arriving or starting from any position x. In the constrained...

Deterministic state-constrained optimal control problems without controllability assumptions

Olivier Bokanowski, Nicolas Forcadel, Hasnaa Zidani (2011)

ESAIM: Control, Optimisation and Calculus of Variations

In the present paper, we consider nonlinear optimal control problems with constraints on the state of the system. We are interested in the characterization of the value function without any controllability assumption. In the unconstrained case, it is possible to derive a characterization of the value function by means of a Hamilton-Jacobi-Bellman (HJB) equation. This equation expresses the behavior of the value function along the trajectories arriving or starting from any position x. In...

DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike

Jiří Hozman, Tomáš Tichý (2017)

Applications of Mathematics

Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two...

DG method for pricing European options under Merton jump-diffusion model

Jiří Hozman, Tomáš Tichý, Miloslav Vlasák (2019)

Applications of Mathematics

Under real market conditions, there exist many cases when it is inevitable to adopt numerical approximations of option prices due to non-existence of analytical formulae. Obviously, any numerical technique should be tested for the cases when the analytical solution is well known. The paper is devoted to the discontinuous Galerkin method applied to European option pricing under the Merton jump-diffusion model, when the evolution of the asset prices is driven by a Lévy process with finite activity....

DG method for the numerical pricing of two-asset European-style Asian options with fixed strike

Jiří Hozman, Tomáš Tichý (2017)

Applications of Mathematics

The evaluation of option premium is a very delicate issue arising from the assumptions made under a financial market model, and pricing of a wide range of options is generally feasible only when numerical methods are involved. This paper is based on our recent research on numerical pricing of path-dependent multi-asset options and extends these results also to the case of Asian options with fixed strike. First, we recall the three-dimensional backward parabolic PDE describing the evolution of European-style...

DGM for real options valuation: Options to change operating scale

Hozman, Jiří, Tichý, Tomáš (2023)

Programs and Algorithms of Numerical Mathematics

The real options approach interprets a flexibility value, embedded in a project, as an option premium. The object of interest is to valuate real options to change operating scale, typical for natural resources industry. The evolution of the project as well as option prices is decribed by partial differential equations of the Black-Scholes type, linked through a payoff function given by a type of the flexibility provided. The governing equations are discretized by the discontinuous Galerkin method...

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