Sökning: "Monotonicity formulas"

Hittade 4 avhandlingar innehållade orden Monotonicity formulas.

  1. 1. Monotonicity formulas and applications in free boundary problems

    Författare :Anders Edquist; Henrik Shahgholian; Wolfgang Reichel; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Partial differential equations; PDE; Free boundary problems; Monotonicity formulas; Mathematical analysis; Analys;

    Sammanfattning : This thesis consists of three papers devoted to the study of monotonicity formulas and their applications in elliptic and parabolic free boundary problems. The first paper concerns an inhomogeneous parabolic problem. LÄS MER

  3. 2. On the pricing equations of some path-dependent options

    Författare :Jonatan Eriksson; Johan Tysk; Maciej Klimek; Tomas Björk; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; Parabolic partial differential equations; variational inequalities; American options; barrier options; monotonicity in the volatility; turbo warrants; pricing formulas; Matematisk analys; Mathematical analysis; Analys;

    Sammanfattning : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. LÄS MER

  4. 3. Optimal stopping, incomplete information, and stochastic games

    Författare :Yuqiong Wang; Erik Ekström; Sören Christensen; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Optimal stopping; sequential analysis; incomplete information; asymmetric information; stochastic filtering; Dynkin games; tug-of-war games; Mathematics; Matematik;

    Sammanfattning : This thesis contains six papers on the topics of optimal stopping and stochastic games. Paper I extends the classical Bayesian sequential testing and detection problems for a Brownian motion to higher dimensions. We demonstrate unilateral concavity of the cost function and present its structural properties through various examples. LÄS MER

  5. 4. Valuation and Optimal Strategies in Markets Experiencing Shocks

    Författare :Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

    Sammanfattning : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. LÄS MER