This paper aims to develop a power penalty method for a linear parabolic variational inequality （VI） in two spatial dimensions governing the two-asset American option valuation. This method yields a two-dimensional ...This paper aims to develop a power penalty method for a linear parabolic variational inequality （VI） in two spatial dimensions governing the two-asset American option valuation. This method yields a two-dimensional nonlinear parabolic PDE containing a power penalty term with penalty constant λ〉 1 and a power parameter k 〉 0. We show that the nonlinear PDE is uniquely solvable and the solution of the PDE converges to that of the VI at the rate of order O（λ^-k/2）. A fitted finite volume method is designed to solve the nonlinear PDE, and some numerical experiments are performed to illustrate the usefulness of this method.展开更多
In this paper, using the Brouwer topological degree, the authors prove an existence result for finite variational inequalities. This approach is also used to obtain the existence of periodic solutions for a class of e...In this paper, using the Brouwer topological degree, the authors prove an existence result for finite variational inequalities. This approach is also used to obtain the existence of periodic solutions for a class of evolution variational inequalities.展开更多
This paper is concerned with high-order neural networks with proportional delays. The proportional delay is a time-varying unbounded delay which is different from the constant delay, bounded time-varying delay and dis...This paper is concerned with high-order neural networks with proportional delays. The proportional delay is a time-varying unbounded delay which is different from the constant delay, bounded time-varying delay and distributed delay. By the nonlinear transformation yi(t) = ui( et)(i = 1, 2,..., n), we transform a class of high-order neural networks with proportional delays into a class of high-order neural networks with constant delays and timevarying coefficients. With the aid of Brouwer fixed point theorem and constructing the delay differential inequality, we obtain some delay-independent and delay-dependent sufficient conditions to ensure the existence, uniqueness and global exponential stability of equilibrium of the network. Two examples with their simulations are given to illustrate the theoretical findings. Our results are new and complement previously known results.展开更多
We study the existence and uniqueness of the solution to a forward-backward stochastic differential equation with subdifferential operator in the backward equation. This kind of equations includes, as a particular cas...We study the existence and uniqueness of the solution to a forward-backward stochastic differential equation with subdifferential operator in the backward equation. This kind of equations includes, as a particular case, multi-dimensional forward-backward stochastic differential equation where the backward equation is reflected on the boundary of a closed convex(time-independent) domain. Moreover, we give a probabilistic interpretation for the viscosity solution of a kind of quasilinear variational inequalities.展开更多
For any positive integers n and m, H_(n,m):= H_n× C^(m,n) is called the Siegel-Jacobi space, with the Jacobi group acting on it. The Jacobi forms are defined on this space. We compute the Chern connection of the ...For any positive integers n and m, H_(n,m):= H_n× C^(m,n) is called the Siegel-Jacobi space, with the Jacobi group acting on it. The Jacobi forms are defined on this space. We compute the Chern connection of the Siegel-Jacobi space and use it to obtain derivations of Jacobi forms. Using these results, we construct a series of invariant differential operators for Siegel-Jacobi forms. Also two kinds of Maass-Shimura type differential operators for H_(n,m) are obtained.展开更多
In this paper, a class of cellular neural networks （CNNs） with multi-proportional delays is studied. The nonlinear transformation yi（t） = xi（et） transforms a class of CNNs with multi-proportional delays into a c...In this paper, a class of cellular neural networks （CNNs） with multi-proportional delays is studied. The nonlinear transformation yi（t） = xi（et） transforms a class of CNNs with multi-proportional delays into a class of CNNs with multi-constant delays and time- varying coefficients. By applying Brouwer fixed point theorem and constructing the delay differential inequality, several delay-independent and delay-dependent sufficient conditions are derived for ensuring the existence, uniqueness and global exponential stability of equilibrium of the system and the exponentially convergent rate is estimated. And several examples and their simulations are given to illustrate the effectiveness of obtained results.展开更多
文摘This paper aims to develop a power penalty method for a linear parabolic variational inequality （VI） in two spatial dimensions governing the two-asset American option valuation. This method yields a two-dimensional nonlinear parabolic PDE containing a power penalty term with penalty constant λ〉 1 and a power parameter k 〉 0. We show that the nonlinear PDE is uniquely solvable and the solution of the PDE converges to that of the VI at the rate of order O（λ^-k/2）. A fitted finite volume method is designed to solve the nonlinear PDE, and some numerical experiments are performed to illustrate the usefulness of this method.
基金Project supported by "Pondation EADS" and "Agence Nationale de la Recherche" under grant ANR NT05-1/43040.
文摘In this paper, using the Brouwer topological degree, the authors prove an existence result for finite variational inequalities. This approach is also used to obtain the existence of periodic solutions for a class of evolution variational inequalities.
基金Supported by National Natural Science Foundation of China under Grant Nos.61673008 and 11261010Project of High-level Innovative Talents of Guizhou Province([2016]5651)
文摘This paper is concerned with high-order neural networks with proportional delays. The proportional delay is a time-varying unbounded delay which is different from the constant delay, bounded time-varying delay and distributed delay. By the nonlinear transformation yi(t) = ui( et)(i = 1, 2,..., n), we transform a class of high-order neural networks with proportional delays into a class of high-order neural networks with constant delays and timevarying coefficients. With the aid of Brouwer fixed point theorem and constructing the delay differential inequality, we obtain some delay-independent and delay-dependent sufficient conditions to ensure the existence, uniqueness and global exponential stability of equilibrium of the network. Two examples with their simulations are given to illustrate the theoretical findings. Our results are new and complement previously known results.
基金supported by Australian Research Council’s Discovery Projects Funding Scheme(Grant No.DP120100895)
文摘We study the existence and uniqueness of the solution to a forward-backward stochastic differential equation with subdifferential operator in the backward equation. This kind of equations includes, as a particular case, multi-dimensional forward-backward stochastic differential equation where the backward equation is reflected on the boundary of a closed convex(time-independent) domain. Moreover, we give a probabilistic interpretation for the viscosity solution of a kind of quasilinear variational inequalities.
基金supported by National Natural Science Foundation of China(Grant No.11271212)
文摘For any positive integers n and m, H_(n,m):= H_n× C^(m,n) is called the Siegel-Jacobi space, with the Jacobi group acting on it. The Jacobi forms are defined on this space. We compute the Chern connection of the Siegel-Jacobi space and use it to obtain derivations of Jacobi forms. Using these results, we construct a series of invariant differential operators for Siegel-Jacobi forms. Also two kinds of Maass-Shimura type differential operators for H_(n,m) are obtained.
文摘In this paper, a class of cellular neural networks （CNNs） with multi-proportional delays is studied. The nonlinear transformation yi（t） = xi（et） transforms a class of CNNs with multi-proportional delays into a class of CNNs with multi-constant delays and time- varying coefficients. By applying Brouwer fixed point theorem and constructing the delay differential inequality, several delay-independent and delay-dependent sufficient conditions are derived for ensuring the existence, uniqueness and global exponential stability of equilibrium of the system and the exponentially convergent rate is estimated. And several examples and their simulations are given to illustrate the effectiveness of obtained results.
