In this paper,we investigate a class of nonlinear backward stochastic differential equations(BSDEs)arising from financial economics,and give the sign of corresponding solution.Furthermore,we are able to obtain explici...In this paper,we investigate a class of nonlinear backward stochastic differential equations(BSDEs)arising from financial economics,and give the sign of corresponding solution.Furthermore,we are able to obtain explicit solutions to an interesting class of nonlinear BSDEs,including the k-ignorance BSDE arising from the modeling of ambiguity of asset pricing.Moreover,we show its applications in PDEs and contingent pricing in an incomplete market.展开更多
This paper deals with the function u which satisfies△k_u = 0, where k≥2 is an integer. Such a function u is called a polyharmonic function. The author gives an upper bound of the measure of the nodal set of u, and s...This paper deals with the function u which satisfies△k_u = 0, where k≥2 is an integer. Such a function u is called a polyharmonic function. The author gives an upper bound of the measure of the nodal set of u, and shows some growth property of u.展开更多
This paper is concerned with uniform measure estimates for nodal sets of solutions in elliptic homogenization. We consider a family of second-order elliptic operators {L_ε} in divergence form with rapidly oscillating...This paper is concerned with uniform measure estimates for nodal sets of solutions in elliptic homogenization. We consider a family of second-order elliptic operators {L_ε} in divergence form with rapidly oscillating and periodic coefficients. We show that the(d-1)-dimensional Hausdorff measures of the nodal sets of solutions to L_ε(u_ε) = 0 in a ball in Rdare bounded uniformly in ε > 0. The proof relies on a uniform doubling condition and approximation of u_ε by solutions of the homogenized equation.展开更多
基金This paper was originally exhibited in 2020(arXiv:2006.00222)。
文摘In this paper,we investigate a class of nonlinear backward stochastic differential equations(BSDEs)arising from financial economics,and give the sign of corresponding solution.Furthermore,we are able to obtain explicit solutions to an interesting class of nonlinear BSDEs,including the k-ignorance BSDE arising from the modeling of ambiguity of asset pricing.Moreover,we show its applications in PDEs and contingent pricing in an incomplete market.
基金supported by the National Natural Science Foundation of China(Nos.11401307,11501292)
文摘This paper deals with the function u which satisfies△k_u = 0, where k≥2 is an integer. Such a function u is called a polyharmonic function. The author gives an upper bound of the measure of the nodal set of u, and shows some growth property of u.
基金supported in part by NSF(Grant No.DMS-1501000)supported in part by NSF(Grant No.DMS-1600520)
文摘This paper is concerned with uniform measure estimates for nodal sets of solutions in elliptic homogenization. We consider a family of second-order elliptic operators {L_ε} in divergence form with rapidly oscillating and periodic coefficients. We show that the(d-1)-dimensional Hausdorff measures of the nodal sets of solutions to L_ε(u_ε) = 0 in a ball in Rdare bounded uniformly in ε > 0. The proof relies on a uniform doubling condition and approximation of u_ε by solutions of the homogenized equation.
