Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Andrzej Rozkosz"'
Autor:
Tomasz Klimsiak, Andrzej Rozkosz
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as result on sta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0f50b1a214308f9805a42822fd44ed6a
http://arxiv.org/abs/2004.08197
http://arxiv.org/abs/2004.08197
Autor:
Andrzej Rozkosz, Tomasz Klimsiak
Publikováno v:
Mathematical Finance. 28:1107-1142
We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial integro-dif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::293b07948a1b2e7775f00dda0f7f74de
https://doi.org/10.1111/mafi.12163
https://doi.org/10.1111/mafi.12163
Publikováno v:
Mathematics and Computers in Simulation. 123:1-18
We provide probabilistic proofs of convergence of several easy to implement schemes for computing the value function of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. The proofs are based
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::30ef74014632ea2fee51a990bc616d5f
https://doi.org/10.1016/j.matcom.2015.11.009
https://doi.org/10.1016/j.matcom.2015.11.009
Autor:
Andrzej Rozkosz, Tomasz Klimsiak
We consider a family $$\{L_t,\, t\in [0,T]\}$$ of closed operators generated by a family of regular (non-symmetric) Dirichlet forms $$\{(B^{(t)},V),t\in [0,T]\}$$ on $$L^2(E;m)$$. We show that a bounded (signed) measure $$\mu $$ on $$(0,T)\times E$$
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a366bd53ea30352e68dfb90bc81c3d26
http://arxiv.org/abs/1808.10211
http://arxiv.org/abs/1808.10211
Autor:
Andrzej Rozkosz, Tomasz Klimsiak
We consider semilinear equation of the form $$-Lu=f(x,u)+\mu $$ , where L is the operator corresponding to a transient symmetric regular Dirichlet form $${\mathcal {E}}$$ , $$\mu $$ is a diffuse measure with respect to the capacity associated with $$
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::745e88dd8b9611c4b30364173e685ea9
http://arxiv.org/abs/1801.00633
http://arxiv.org/abs/1801.00633
Autor:
Andrzej Rozkosz, Tomasz Klimsiak
Let Q = ( 0 , T ) × Ω , where Ω is a bounded open subset of R d . We consider the parabolic p-capacity on Q naturally associated with the usual p-Laplacian. Droniou, Porretta, and Prignet have shown that if a bounded Radon measure μ on Q is diffu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::602fea3f76f70e40b49735e0dfc9ee30
Autor:
Andrzej Rozkosz, Tomasz Klimsiak
Publikováno v:
Nonlinear Differential Equations and Applications NoDEA. 22:1911-1934
We generalize the notion of renormalized solution to semilinear elliptic and parabolic equations involving operator associated with general (possibly nonlocal) regular Dirichlet form and smooth measure on the right-hand side. We show that under mild
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e3cdc5b0e96828622155aa02e35303d0
https://doi.org/10.1007/s00030-015-0350-1
https://doi.org/10.1007/s00030-015-0350-1
Autor:
Andrzej Rozkosz, Tomasz Klimsiak
Publikováno v:
Journal of Functional Analysis. 265:890-925
We propose a probabilistic definition of solutions of semilinear elliptic equations with (possibly nonlocal) operators associated with regular Dirichlet forms and with measure data. Using the theory of backward stochastic differential equations we pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3d6506f79b5355f5937b511dfa77ec05
https://doi.org/10.1016/j.jfa.2013.05.028
https://doi.org/10.1016/j.jfa.2013.05.028
Autor:
Andrzej Rozkosz, Tomasz Klimsiak
We study the problem of existence, uniqueness and regularity of probabilistic solutions of the Cauchy problem for nonlinear stochastic partial differential equations involving operators corresponding to regular (nonsymmetric) Dirichlet forms. In proo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f7dbf5ddf50e7bc8a74404e24147b9d9
http://arxiv.org/abs/1604.07174
http://arxiv.org/abs/1604.07174
Autor:
Tomasz Klimsiak, Andrzej Rozkosz
We study large time behaviour of solutions of the Cauchy problem for equations of the form $\partial_tu-L u+\lambda u=f(x,u)+g(x,u)\cdot\mu$, where $L$ is the operator associated with a regular lower bounded semi-Dirichlet form ${\mathcal{E}}$ and $\
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::078c697833b5d0ee9d1ecbf41bedc77c
http://arxiv.org/abs/1604.04512
http://arxiv.org/abs/1604.04512