192,924 research outputs found

    Nonlinear Parabolic Equations arising in Mathematical Finance

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    This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the classical Black-Scholes theory for pricing financial instruments, as well as models of stochastic dynamic portfolio optimization leading to the Hamilton-Jacobi-Bellman (HJB) equation. After suitable transformations, both problems can be represented by solutions to nonlinear parabolic equations. Qualitative analysis will be focused on issues concerning the existence and uniqueness of solutions. In the numerical part we discuss a stable finite-volume and finite difference schemes for solving fully nonlinear parabolic equations.Comment: arXiv admin note: substantial text overlap with arXiv:1603.0387

    Quantity and number

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    Quantity is the first category that Aristotle lists after substance. It has extraordinary epistemological clarity: "2+2=4" is the model of a self-evident and universally known truth. Continuous quantities such as the ratio of circumference to diameter of a circle are as clearly known as discrete ones. The theory that mathematics was "the science of quantity" was once the leading philosophy of mathematics. The article looks at puzzles in the classification and epistemology of quantity

    On the algorithmic complexity of twelve covering and independence parameters of graphs

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    The definitions of four previously studied parameters related to total coverings and total matchings of graphs can be restricted, thereby obtaining eight parameters related to covering and independence, each of which has been studied previously in some form. Here we survey briefly results concerning total coverings and total matchings of graphs, and consider the aforementioned 12 covering and independence parameters with regard to algorithmic complexity. We survey briefly known results for several graph classes, and obtain new NP-completeness results for the minimum total cover and maximum minimal total cover problems in planar graphs, the minimum maximal total matching problem in bipartite and chordal graphs, and the minimum independent dominating set problem in planar cubic graphs
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