Convexity criteria and uniqueness of absolutely minimizing functions

We show that absolutely minimizing functions relative to a convex Hamiltonian $H:\mathbb{R}^n \to \mathbb{R}$ are uniquely determined by their boundary values under minimal assumptions on $H.$ Along the way, we extend the known equivalences between comparison with cones, convexity criteria, and absolutely minimizing properties, to this generality. These results perfect a long development in the uniqueness/existence theory of the archetypal problem of the calculus of variations in $L^\infty.$Comment: 34 page

An easy proof of Jensen's theorem on the uniqueness of infinity harmonic functions

We present a new, easy, and elementary proof of Jensen's Theorem on the uniqueness of infinity harmonic functions. The idea is to pass to a finite difference equation by taking maximums and minimums over small balls.Comment: 4 pages; comments added, proof simplifie

Geometric approach to nonvariational singular elliptic equations

In this work we develop a systematic geometric approach to study fully nonlinear elliptic equations with singular absorption terms as well as their related free boundary problems. The magnitude of the singularity is measured by a negative parameter $(\gamma -1)$, for $0 < \gamma < 1$, which reflects on lack of smoothness for an existing solution along the singular interface between its positive and zero phases. We establish existence as well sharp regularity properties of solutions. We further prove that minimal solutions are non-degenerate and obtain fine geometric-measure properties of the free boundary $\mathfrak{F} = \partial \{u > 0 \}$. In particular we show sharp Hausdorff estimates which imply local finiteness of the perimeter of the region $\{u > 0 \}$ and $\mathcal{H}^{n-1}$ a.e. weak differentiability property of $\mathfrak{F}$.Comment: Paper from D. Araujo's Ph.D. thesis, distinguished at the 2013 Carlos Gutierrez prize for best thesis, Archive for Rational Mechanics and Analysis 201

An adaptive finite element method for the infinity Laplacian

We construct a finite element method (FEM) for the infinity Laplacian. Solutions of this problem are well known to be singular in nature so we have taken the opportunity to conduct an a posteriori analysis of the method deriving residual based estimators to drive an adaptive algorithm. It is numerically shown that optimal convergence rates are regained using the adaptive procedure

A Computer-Assisted Uniqueness Proof for a Semilinear Elliptic Boundary Value Problem

A wide variety of articles, starting with the famous paper (Gidas, Ni and Nirenberg in Commun. Math. Phys. 68, 209-243 (1979)) is devoted to the uniqueness question for the semilinear elliptic boundary value problem -{\Delta}u={\lambda}u+u^p in {\Omega}, u>0 in {\Omega}, u=0 on the boundary of {\Omega}, where {\lambda} ranges between 0 and the first Dirichlet Laplacian eigenvalue. So far, this question was settled in the case of {\Omega} being a ball and, for more general domains, in the case {\lambda}=0. In (McKenna et al. in J. Differ. Equ. 247, 2140-2162 (2009)), we proposed a computer-assisted approach to this uniqueness question, which indeed provided a proof in the case {\Omega}=(0,1)x(0,1), and p=2. Due to the high numerical complexity, we were not able in (McKenna et al. in J. Differ. Equ. 247, 2140-2162 (2009)) to treat higher values of p. Here, by a significant reduction of the complexity, we will prove uniqueness for the case p=3

Stability and convergence in discrete convex monotone dynamical systems

We study the stable behaviour of discrete dynamical systems where the map is convex and monotone with respect to the standard positive cone. The notion of tangential stability for fixed points and periodic points is introduced, which is weaker than Lyapunov stability. Among others we show that the set of tangentially stable fixed points is isomorphic to a convex inf-semilattice, and a criterion is given for the existence of a unique tangentially stable fixed point. We also show that periods of tangentially stable periodic points are orders of permutations on $n$ letters, where $n$ is the dimension of the underlying space, and a sufficient condition for global convergence to periodic orbits is presented.Comment: 36 pages, 1 fugur

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Our main contribution to this particular problem is to show that our seller/buyer prices are the upper/lower good deal bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko (2006) and to determine the analytical properties of these prices. Second, we apply our method to price options in the presence of stochastic volatility. Our main contribution to this problem is to show that the instantaneous Sharpe ratio, an integral ingredient in our methodology, is the negative of the market price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar (2000).Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe ratio, correlated assets, stochastic volatility, non-linear partial differential equations, good deal bound