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Variational analysis for the Black and Scholes equation with stochastic volatility

Yves Achdou, Nicoletta Tchou (2002)

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

We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...

Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

Yves Achdou, Nicoletta Tchou (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...

Vessel Wall Models for Simulation of Atherosclerotic Vascular Networks

Yu. Vassilevski, S. Simakov, V. Salamatova, Yu. Ivanov, T. Dobroserdova (2011)

Mathematical Modelling of Natural Phenomena

There are two mathematical models of elastic walls of healthy and atherosclerotic blood vessels developed and studied. The models are included in a numerical model of global blood circulation via recovery of the vessel wall state equation. The joint model allows us to study the impact of arteries atherosclerotic disease of a set of arteries on regional haemodynamics.

Vorticity dynamics and numerical resolution of Navier-Stokes equations

Matania Ben-Artzi, Dalia Fishelov, Shlomo Trachtenberg (2001)

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

We present a new methodology for the numerical resolution of the hydrodynamics of incompressible viscid newtonian fluids. It is based on the Navier-Stokes equations and we refer to it as the vorticity projection method. The method is robust enough to handle complex and convoluted configurations typical to the motion of biological structures in viscous fluids. Although the method is applicable to three dimensions, we address here in detail only the two dimensional case. We provide numerical data...

Vorticity dynamics and numerical Resolution of Navier-Stokes Equations

Matania Ben-Artzi, Dalia Fishelov, Shlomo Trachtenberg (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

We present a new methodology for the numerical resolution of the hydrodynamics of incompressible viscid newtonian fluids. It is based on the Navier-Stokes equations and we refer to it as the vorticity projection method. The method is robust enough to handle complex and convoluted configurations typical to the motion of biological structures in viscous fluids. Although the method is applicable to three dimensions, we address here in detail only the two dimensional case. We provide numerical data...

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