On isolation of singular zeros of multivariate analytic systems

We give a separation bound for an isolated multiple root $x$ of a square multivariate analytic system $f$ satisfying that an operator deduced by adding $Df(x)$ and a projection of $D^2f(x)$ in a direction of the kernel of $Df(x)$ is invertible. We prove that the deflation process applied on $f$ and this kind of roots terminates after only one iteration. When $x$ is only given approximately, we give a numerical criterion for isolating a cluster of zeros of $f$ near $x$. We also propose a lower bound of the number of roots in the cluster.Comment: 17 page

Verified Error Bounds for Isolated Singular Solutions of Polynomial Systems: Case of Breadth One

In this paper we describe how to improve the performance of the symbolic-numeric method in (Li and Zhi,2009, 2011) for computing the multiplicity structure and refining approximate isolated singular solutions in the breadth one case. By introducing a parameterized and deflated system with smoothing parameters, we generalize the algorithm in (Rump and Graillat, 2009) to compute verified error bounds such that a slightly perturbed polynomial system is guaranteed to have a breadth-one multiple root within the computed bounds.Comment: 20 page

Numerical method for pricing governing American options under fractional Black-Scholes model

In this paper we develop a numerical approach to a fractional-order differential linear complementarity problem (LCP) arising in pricing European and American options under a geometric Lévy process. The (LCP) is first approximated by a penalized nonlinear fractional Black-Scholes (fBS) equation. To numerically solve this nonlinear (fBS), we use the horizontal method of lines to discretize the temporal variable and the spatial variable by means of Crank-Nicolson method and a cubic spline collocation method, respectively. This method exhibits a second order of convergence in space, in time and also has an acceptable speed in comparison with some existing methods. We will compare our results with some recently proposed approaches. Keywords: Geometric Lévy process, fractional Black-Scholes, Crank-Nicolson scheme, Spline collocation, Free Boundary Value Problem