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A POSTERIORI ERROR ANALYSIS FOR PARABOLIC VARIATIONAL INEQUALITIES
variational inequality American option pricing
2015/12/11
Motivated by the pricing of American options for baskets we consider a parabolic variational inequality in a bounded polyhedral domain Ω ⊂ Rd with a continuous piecewise smooth obstacle.
...
Sobolev spaces Hγ(M), γ ∈ R, M ⊂ Rd
M-bounded
Def If n ∈ N, then Hn - all generalized functions with derivatives up to
n-th order belong to L2(M); kuk 2Hn = P |α | ≤n R
M
|Dαu| 2dx
Polygons in Minkowski three space and parabolic Higgs bundles of rank two on CP^1
Polygons Minkowski space parabolic bundle Higgs field hyperpolygons
2012/6/29
Consider the moduli space of parabolic Higgs bundles (E,\Phi) of rank two on CP^1 such that the underlying holomorphic vector bundle for the parabolic vector bundle E is trivial. It is equipped with t...
On parabolic Whittaker functions II
parabolic Whittaker functions II Algebraic Geometry Representation Theory
2011/9/9
Abstract: We derive a Givental-type stationary phase integral representation for the specified $\Gr_{m,N}$-Whittaker function introduced in \cite{GLO2}, which presumably describes the $S^1\times U_N$-...