Jörg Kampen | Searcharxiv

arXiv2017

Comparison results for highly degenerate parabolic equations with univariate convex data and optimal strategies for options on trading accounts

For linear multivariate purely second order highla degenerated parabolic equations with univariate convex data, monotonicity of the coefficent matrices implies monotonicity of the related value functions under usual regularity and growth assumptions for the data and the coefficients. The comparison result is applied to a new product, i.e., symmetric passport options.

math.PR↗

arXiv2016

On global regular solution branches and multiple solutions of the Boltzmann equation

Existence of global regular solution branches of the Boltzmann Cauchy problem with continuously differentiable data in phase space dimension $2d\geq 6$ with polynomial decay at infinity of order greater than $2d$ is proved. There are data in this class of infinite relative entropy with respect to the Gaussian. Furthermore, there are weakly singular solution branches of the Boltzmann equation in spatial dimension $d\geq 3$, i.e., solutions of the Boltzmann equations which are only Lipschitz with respect to the velocity variables at some point in phase space. This is in accordance with a.e. $L^1$-uniqueness of renormalized solutions (cf.\cite{L}) and more classical results in function spaces of mixed regularity.

math.AP↗