PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS

2014 ◽  
Vol 17 (03) ◽  
pp. 1450019 ◽  
Author(s):  
HANNAH DYRSSEN ◽  
ERIK EKSTRÖM ◽  
JOHAN TYSK

We study pricing equations in jump-to-default models, and we provide conditions under which the option price is the unique classical solution, with a special focus on boundary conditions. In particular, we find precise conditions ensuring that the option price at the default boundary coincides with the recovery payment. We also study spatial convexity of the option price, and we explore the connection between preservation of convexity and parameter monotonicity.

1997 ◽  
Vol 40 (2) ◽  
pp. 275-291 ◽  
Author(s):  
John Chadam ◽  
Xinfu Chen ◽  
Roberto Gianni ◽  
Riccardo Ricci

In this paper, we consider a reaction infiltration problem consisting of a parabolic equation for the concentration, an elliptic equation for the pressure, and an ordinary differential equation for the porosity. Existence and uniqueness of a global classical solution is proved for bounded domains Ω⊂RN, under suitable boundary conditions.


2014 ◽  
Vol 2014 ◽  
pp. 1-7
Author(s):  
Yashar T. Mehraliyev ◽  
Gulshan Kh. Shafiyeva

The solvability of the inverse boundary problem with an unknown coefficient dependent on time for the third order pseudoparabolic equation with non-self-adjoint boundary conditions is investigated in the present paper. Here we have introduced the definition of the classical solution of the considered inverse boundary value problem, which is reduced to the system of integral equations by the Fourier method. At first, the existence and uniqueness of the solution of the obtaining system of integral equations is proved by the method of contraction mappings; then the existence and uniqueness of the classical solution of the stated problem is proved.


2020 ◽  
Vol 23 (1-4) ◽  
Author(s):  
Cleophas Kweyu ◽  
Lihong Feng ◽  
Matthias Stein ◽  
Peter Benner

AbstractThe Poisson–Boltzmann equation (PBE) is a nonlinear elliptic parametrized partial differential equation that arises in biomolecular modeling and is a fundamental tool for structural biology. It is used to calculate electrostatic potentials around an ensemble of fixed charges immersed in an ionic solution. Efficient numerical computation of the PBE yields a high number of degrees of freedom in the resultant algebraic system of equations, ranging from several hundred thousand to millions. Coupled with the fact that in most cases the PBE requires to be solved multiple times for a large number of system configurations, for example, in Brownian dynamics simulations or in the computation of similarity indices for protein interaction analysis, this poses great computational challenges to conventional numerical techniques. To accelerate such onerous computations, we suggest to apply the reduced basis method (RBM) and the (discrete) empirical interpolation method ((D)EIM) to the PBE with a special focus on simulations of complex biomolecular systems, which greatly reduces this computational complexity by constructing a reduced order model (ROM) of typically low dimension. In this study, we employ a simple version of the PBE for proof of concept and discretize the linearized PBE (LPBE) with a centered finite difference scheme. The resultant linear system is solved by the aggregation-based algebraic multigrid (AGMG) method at different samples of ionic strength on a three-dimensional Cartesian grid. The discretized LPBE, which we call the high-fidelity full order model (FOM), yields solution as accurate as other LPBE solvers. We then apply the RBM to the FOM. DEIM is applied to the Dirichlet boundary conditions which are nonaffine in the parameter (ionic strength), to reduce the complexity of the ROM. From the numerical results, we notice that the RBM reduces the model order from $${\mathcal {N}} = 2\times 10^{6}$$ N = 2 × 10 6 to $$N = 6$$ N = 6 at an accuracy of $${\mathcal {O}}(10^{-9})$$ O ( 10 - 9 ) and reduces the runtime by a factor of approximately 7600. DEIM, on the other hand, is also used in the offline-online phase of solving the ROM for different values of parameters which provides a speed-up of 20 for a single iteration of the greedy algorithm.


Author(s):  
V. I. Korzyuk ◽  
S. N. Naumavets ◽  
V. A. Sevastyuk

This paper considers the mixed problem for a one-dimensional wave equation with second-order derivatives at boundary conditions. Using the method of characteristics, a classical solution to this problem is found in analytical form. Its uniqueness is proved under the relevant compatibility conditions.


1975 ◽  
Vol 70 (2) ◽  
pp. 333-352 ◽  
Author(s):  
R. C. Ackerberg

The effect of a small surface-tension coefficient on the classical theory of free-streamline separation from a sharp trailing edge is studied. The classical solution fails in a small region surrounding the edge, where it predicts singular behaviour, and an inner solution, satisfying linear boundary conditions, is required to obtain a uniformly valid first approximation. The solution valid near the edge removes the curvature and pressure-gradient singularities of the classical solution and predicts a standing capillary wave along the free streamline.


Author(s):  
Guyk A. Manuylov ◽  
Sergey B. Kosytsyn ◽  
Maksim M. Begichev

The classical solution for critical stresses in the problem of stability of a circular longitudinally compressed cylindrical shell consists of two terms, reflecting the ability of the shell to resist buckling due to bending and membrane deformations. However, with usual boundary conditions the classical solution appears only with the absence of the Poisson expansion of a shell. With a non-zero Poisson's ratio, an axisymmetric edge effect presents. It reduces the critical load and causes the initial arrangement of its own forms to change as the load increases.


1979 ◽  
Vol 101 (2) ◽  
pp. 231-237 ◽  
Author(s):  
D. E. Brewe ◽  
B. J. Hamrock ◽  
C. M. Taylor

The influence of geometry on the isothermal hydrodynamic film separating two rigid solids was investigated. Pressure-viscosity effects were not considered. The minimum film thickness is derived for fully flooded conjunctions by using the Reynolds boundary conditions. It was found that the minimum film thickness had the same speed, viscosity, and load dependence as Kapitza’s classical solution. However, the incorporation of Reynolds boundary conditions resulted in an additional geometry effect. Solutions using the parabolic film approximation are compared with those using the exact expression for the film in the analysis. Contour plots are shown that indicate in detail the pressure developed between the solids.


1987 ◽  
Vol 106 (3-4) ◽  
pp. 307-314 ◽  
Author(s):  
Andreas Stahel

SynopsisWe consider the von Karman equations, which describe a vibrating plate either with a clamped boundary or with completely free boundary. In both cases we obtain a unique, classical solution. As the main tool we use a set of integral equations, which we deduce from the well known “variations of constants” formula.


2008 ◽  
Vol 19 (6) ◽  
pp. 717-734 ◽  
Author(s):  
J. ESCHER ◽  
B.-V. MATIOC

In this paper we consider a 2π-periodic and two-dimensional Hele-Shaw flow describing the motion of a viscous, incompressible fluid. The free surface is moving under the influence of surface tension and gravity. The motion of the fluid is modelled using a modified version of Darcy's law for Stokesian fluids. The bottom of the cell is assumed to be impermeable. We prove the existence of a unique classical solution for a domain which is a small perturbation of a cylinder. Moreover, we identify the equilibria of the flow and study their stability.


Author(s):  
Pierre Cardaliaguet ◽  
François Delarue ◽  
Jean-Michel Lasry ◽  
Pierre-Louis Lions

This chapter collects the main results of the master equation for the convergence of the Nash system. It explains the notation used, specifies the notion of derivatives in the space of measures, and describes the assumptions on the data. One of the striking features of the master equation is that it involves derivatives of the unknown with respect to the measure. This chapter also discusses the link between the two notions of derivatives, which have been used in the mean field game (MFG) theory. The main result states that the master equation has a unique classical solution under the regularity and monotonicity assumptions on H, F, and G. Once the master equation has a solution, this solution can be used to build approximate solutions for the Nash system with N-players.


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