0000000000739880
AUTHOR
Kaj Nyström
showing 2 related works from this author
TUG-OF-WAR, MARKET MANIPULATION, AND OPTION PRICING
2014
We develop an option pricing model based on a tug-of-war game involving the the issuer and holder of the option. This two-player zero-sum stochastic differential game is formulated in a multi-dimensional financial market and the agents try, respectively, to manipulate/control the drift and the volatility of the asset processes in order to minimize and maximize the expected discounted pay-off defined at the terminal date $T$. We prove that the game has a value and that the value function is the unique viscosity solution to a terminal value problem for a partial differential equation involving the non-linear and completely degenerate parabolic infinity Laplace operator.
Harnack estimates for degenerate parabolic equations modeled on the subelliptic $p-$Laplacian
2014
Abstract We establish a Harnack inequality for a class of quasi-linear PDE modeled on the prototype ∂ t u = − ∑ i = 1 m X i ⁎ ( | X u | p − 2 X i u ) where p ⩾ 2 , X = ( X 1 , … , X m ) is a system of Lipschitz vector fields defined on a smooth manifold M endowed with a Borel measure μ, and X i ⁎ denotes the adjoint of X i with respect to μ. Our estimates are derived assuming that (i) the control distance d generated by X induces the same topology on M ; (ii) a doubling condition for the μ-measure of d-metric balls; and (iii) the validity of a Poincare inequality involving X and μ. Our results extend the recent work in [16] , [36] , to a more general setting including the model cases of (1)…