Degenerate Elliptic Equations
Degenerate Elliptic Equations

Author: Serge Levendorskii

Publisher: Springer Science & Business Media

Published: 2013-11-11

Total Pages: 442

ISBN-13: 9401712158

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This volume is the first to be devoted to the study of various properties of wide classes of degenerate elliptic operators of arbitrary order and pseudo-differential operators with multiple characteristics. Conditions for operators to be Fredholm in appropriate weighted Sobolev spaces are given, a priori estimates of solutions are derived, inequalities of the Grding type are proved, and the principal term of the spectral asymptotics for self-adjoint operators is computed. A generalization of the classical Weyl formula is proposed. Some results are new, even for operators of the second order. In addition, an analogue of the Boutet de Monvel calculus is developed and the index is computed. For postgraduate and research mathematicians, physicists and engineers whose work involves the solution of partial differential equations.

Numerical Methods for Elliptic and Parabolic Partial Differential Equations
Numerical Methods for Elliptic and Parabolic Partial Differential Equations

Author: Peter Knabner

Publisher: Springer Science & Business Media

Published: 2003-06-26

Total Pages: 437

ISBN-13: 038795449X

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This text provides an application oriented introduction to the numerical methods for partial differential equations. It covers finite difference, finite element, and finite volume methods, interweaving theory and applications throughout. The book examines modern topics such as adaptive methods, multilevel methods, and methods for convection-dominated problems and includes detailed illustrations and extensive exercises.

Stochastic and Differential Games
Stochastic and Differential Games

Author: Martino Bardi

Publisher: Springer Science & Business Media

Published: 1999-06

Total Pages: 404

ISBN-13: 9780817640293

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The theory of two-person, zero-sum differential games started at the be­ ginning of the 1960s with the works of R. Isaacs in the United States and L. S. Pontryagin and his school in the former Soviet Union. Isaacs based his work on the Dynamic Programming method. He analyzed many special cases of the partial differential equation now called Hamilton­ Jacobi-Isaacs-briefiy HJI-trying to solve them explicitly and synthe­ sizing optimal feedbacks from the solution. He began a study of singular surfaces that was continued mainly by J. Breakwell and P. Bernhard and led to the explicit solution of some low-dimensional but highly nontriv­ ial games; a recent survey of this theory can be found in the book by J. Lewin entitled Differential Games (Springer, 1994). Since the early stages of the theory, several authors worked on making the notion of value of a differential game precise and providing a rigorous derivation of the HJI equation, which does not have a classical solution in most cases; we mention here the works of W. Fleming, A. Friedman (see his book, Differential Games, Wiley, 1971), P. P. Varaiya, E. Roxin, R. J. Elliott and N. J. Kalton, N. N. Krasovskii, and A. I. Subbotin (see their book Po­ sitional Differential Games, Nauka, 1974, and Springer, 1988), and L. D. Berkovitz. A major breakthrough was the introduction in the 1980s of two new notions of generalized solution for Hamilton-Jacobi equations, namely, viscosity solutions, by M. G. Crandall and P. -L.

Finite Difference Methods in Financial Engineering
Finite Difference Methods in Financial Engineering

Author: Daniel J. Duffy

Publisher: John Wiley & Sons

Published: 2013-10-28

Total Pages: 452

ISBN-13: 1118856481

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The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.