Resolvent-Techniques for Multiple Exercise Problems

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Krein Resolvent Formulas for Elliptic Boundary Problems in Nonsmooth Domains

The paper reports on a recent construction ofM -functions and Krĕın resolvent formulas for general closed extensions of an adjoint pair, and their implementation to boundary value problems for second-order strongly elliptic operators on smooth domains. The results are then extended to domains with C Hölder smoothness, by use of a recently developed calculus of pseudodifferential boundary operat...

متن کامل

Nonlocal Problems for Fractional Differential Equations via Resolvent Operators

We discuss the continuity of analytic resolvent in the uniform operator topology and then obtain the compactness of Cauchy operator by means of the analytic resolvent method. Based on this result, we derive the existence of mild solutions for nonlocal fractional differential equations when the nonlocal item is assumed to be Lipschitz continuous and neither Lipschitz nor compact, respectively. A...

متن کامل

Parallel resolvent Monte Carlo algorithms for linear algebra problems

In this paper we consider Monte Carlo (MC) algorithms based on the use of the resolvent matrix for solving linear algebraic problems. Estimates for the speedup and efficiency of the algorithms are presented. Some numerical examples performed on cluster of workstations using MPI are given.

متن کامل

Existence of multiple solutions for Sturm-Liouville boundary value problems

In this paper, based on variational methods and critical point theory, we guarantee the existence of infinitely many classical solutions for a two-point boundary value problem with fourth-order Sturm-Liouville equation; Some recent results are improved and by presenting one example, we ensure the applicability of our results.

متن کامل

A dual approach to multiple exercise option problems under constraints

This paper considers the pricing of multiple exercise options in discrete time. This type of option can be exercised up to a fixed finite number of times over the lifetime of the contract. We allow multiple exercise of the option at each time point up to a constraint, a feature relevant for pricing swing options in energy markets. It is shown that, in the case where an option can be exercised a...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Applied Mathematics & Optimization

سال: 2014

ISSN: 0095-4616,1432-0606

DOI: 10.1007/s00245-014-9254-4