Displaying 181 – 200 of 669

Showing per page

Convex integration and the L p theory of elliptic equations

Kari Astala, Daniel Faraco, László Székelyhidi Jr. (2008)

Annali della Scuola Normale Superiore di Pisa - Classe di Scienze

This paper deals with the L p theory of linear elliptic partial differential equations with bounded measurable coefficients. We construct in two dimensions examples of weak and so-called very weak solutions, with critical integrability properties, both to isotropic equations and to equations in non-divergence form. These examples show that the general L p theory, developed in [1, 24] and [2], cannot be extended under any restriction on the essential range of the coefficients. Our constructions are based...

Deterministic minimax impulse control in finite horizon: the viscosity solution approach

Brahim El Asri (2013)

ESAIM: Control, Optimisation and Calculus of Variations

We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover, the value function is characterized as the unique viscosity solution of an Isaacs quasi-variational inequality. This problem is in relation with an application in mathematical finance.

Doubly reflected BSDEs with call protection and their approximation

Jean-François Chassagneux, Stéphane Crépey (2014)

ESAIM: Probability and Statistics

We study the numerical approximation of doubly reflected backward stochastic differential equations with intermittent upper barrier (RIBSDEs). These denote reflected BSDEs in which the upper barrier is only active on certain random time intervals. From the point of view of financial interpretation, RIBSDEs arise as pricing equations of game options with constrained callability. In a Markovian set-up we prove a convergence rate for a time-discretization scheme by simulation to an RIBSDE. We also...

Currently displaying 181 – 200 of 669