Search results for " 49K20"
showing 3 items of 3 documents
A weak comparison principle for solutions of very degenerate elliptic equations
2012
We prove a comparison principle for weak solutions of elliptic quasilinear equations in divergence form whose ellipticity constants degenerate at every point where \(\nabla u\in K\), where \(K\subset \mathbb{R }^N\) is a Borel set containing the origin.
Symmetry of minimizers with a level surface parallel to the boundary
2015
We consider the functional $$I_\Omega(v) = \int_\Omega [f(|Dv|) - v] dx,$$ where $\Omega$ is a bounded domain and $f$ is a convex function. Under general assumptions on $f$, G. Crasta [Cr1] has shown that if $I_\Omega$ admits a minimizer in $W_0^{1,1}(\Omega)$ depending only on the distance from the boundary of $\Omega$, then $\Omega$ must be a ball. With some restrictions on $f$, we prove that spherical symmetry can be obtained only by assuming that the minimizer has one level surface parallel to the boundary (i.e. it has only a level surface in common with the distance). We then discuss how these results extend to more general settings, in particular to functionals that are not differenti…
CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS
2018
We present an optimal control approach to the problem of model calibration for L\'evy processes based on a non parametric estimation procedure. The calibration problem is of considerable interest in mathematical finance and beyond. Calibration of L\'evy processes is particularly challenging as the jump distribution is given by an arbitrary L\'evy measure, which form a infinite dimensional space. In this work, we follow an approach which is related to the maximum likelihood theory of sieves. The sampling of the L\'evy process is modelled as independent observations of the stochastic process at some terminal time $T$. We use a generic spline discretization of the L\'evy jump measure and selec…