Second order expansion for the solution to a singular Dirichlet problem

2015 ◽  
Vol 270 ◽  
pp. 401-412
Author(s):  
Ling Mi ◽  
Bin Liu
2015 ◽  
Vol 22 (3) ◽  
Author(s):  
Alexander Lomtatidze ◽  
Zdeněk Opluštil

AbstractConditions guaranteeing well-posedness of the problem


2012 ◽  
Vol 6 (2) ◽  
pp. 194-213 ◽  
Author(s):  
Ling Mi ◽  
Liu Bin

We study the second order estimate for the unique solution near the boundary to the singular Dirichlet problem -?u = b(x)g(u); u > 0; x ? ?, u|?? = 0, where ? is a bounded domain with smooth boundary in RN, g ? C1((0,?),(0?)), g is decreasing on (0,?) with lim s?0+ g(s) = 1 and g is normalized regularly varying at zero with index ? (? > 1), b ? C?(??) (0 < ? < 1), is positive in ?, may be vanishing on the boundary. Our analysis is based on Karamata regular variation theory.


2018 ◽  
Vol 18 (2) ◽  
pp. 289-302
Author(s):  
Zhijun Zhang

AbstractThis paper is concerned with the boundary behavior of the unique convex solution to a singular Dirichlet problem for the Monge–Ampère equation\operatorname{det}D^{2}u=b(x)g(-u),\quad u<0,\,x\in\Omega,\qquad u|_{\partial% \Omega}=0,where Ω is a strictly convex and bounded smooth domain in{\mathbb{R}^{N}}, with{N\geq 2},{g\in C^{1}((0,\infty),(0,\infty))}is decreasing in{(0,\infty)}and satisfies{\lim_{s\rightarrow 0^{+}}g(s)=\infty}, and{b\in C^{\infty}(\Omega)}is positive in Ω, but may vanish or blow up on the boundary. We find a new structure condition ongwhich plays a crucial role in the boundary behavior of such solution.


2021 ◽  
pp. 1-19
Author(s):  
XUHUI WANG ◽  
SHENG-JHIH WU ◽  
XINGYE YUE

Abstract We study the pricing of timer options in a class of stochastic volatility models, where the volatility is driven by two diffusions—one fast mean-reverting and the other slowly varying. Employing singular and regular perturbation techniques, full second-order asymptotics of the option price are established. In addition, we investigate an implied volatility in terms of effective maturity for the timer options, and derive its second-order expansion based on our pricing asymptotics. A numerical experiment shows that the price approximation formula has a high level of accuracy, and the implied volatility in terms of its effective maturity is illustrated.


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