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Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets

Černá, Dana (2023)

Programs and Algorithms of Numerical Mathematics

This paper addresses the two-asset Merton model for option pricing represented by non-stationary integro-differential equations with two state variables. The drawback of most classical methods for solving these types of equations is that the matrices arising from discretization are full and ill-conditioned. In this paper, we first transform the equation using logarithmic prices, drift removal, and localization. Then, we apply the Galerkin method with a recently proposed orthogonal cubic spline-wavelet...

Variational analysis for a nonlinear elliptic problem on the Sierpiński gasket

Gabriele Bonanno, Giovanni Molica Bisci, Vicenţiu Rădulescu (2012)

ESAIM: Control, Optimisation and Calculus of Variations

Under an appropriate oscillating behaviour either at zero or at infinity of the nonlinear term, the existence of a sequence of weak solutions for an eigenvalue Dirichlet problem on the Sierpiński gasket is proved. Our approach is based on variational methods and on some analytic and geometrical properties of the Sierpiński fractal. The abstract results are illustrated by explicit examples.

Variational characterization of eigenvalues of a non-symmetric eigenvalue problem governing elastoacoustic vibrations

Markus Stammberger, Heinrich Voss (2014)

Applications of Mathematics

Small amplitude vibrations of an elastic structure completely filled by a fluid are considered. Describing the structure by displacements and the fluid by its pressure field one arrives at a non-selfadjoint eigenvalue problem. Taking advantage of a Rayleigh functional we prove that its eigenvalues can be characterized by variational principles of Rayleigh, minmax and maxmin type.

Variational inequalities in noncompact nonconvex regions

Ching-Yan Lin, Liang-Ju Chu (2003)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

In this paper, a general existence theorem on the generalized variational inequality problem GVI(T,C,ϕ) is derived by using our new versions of Nikaidô's coincidence theorem, for the case where the region C is noncompact and nonconvex, but merely is a nearly convex set. Equipped with a kind of V₀-Karamardian condition, this general existence theorem contains some existing ones as special cases. Based on a Saigal condition, we also modify the main theorem to obtain another existence theorem on GVI(T,C,ϕ),...

Variational Principles for Monotone and Maximal Bifunctions

Chbani, Zaki, Riahi, Hassan (2003)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: 49J40, 49J35, 58E30, 47H05We establish variational principles for monotone and maximal bifunctions of Brøndsted-Rockafellar type by using our characterization of bifunction’s maximality in reflexive Banach spaces. As applications, we give an existence result of saddle point for convex-concave function and solve an approximate inclusion governed by a maximal monotone operator.

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