arXiv subjects

Martino Bardi

Publications and source records attributed to Martino Bardi.

22 records · Page 2Linked to original sources

arXiv2014

Large deviations for some fast stochastic volatility models by viscosity methods

We consider the short time behaviour of stochastic systems affected by a stochastic volatility evolving at a faster time scale. We study the asymptotics of a logarithmic functional of the process by methods of the theory of homogenisation and singular perturbations for fully nonlinear PDEs. We point out three regimes depending on how fast the volatility oscillates relative to the horizon length. We prove a large deviation principle for each regime and apply it to the asymptotics of option prices near maturity.

math.AP↗

arXiv2009

Comparison principles and Dirichlet problem for equations of Monge-Ampere type associated to vector fields

We study the Dirichlet problem for subelliptic partial differential equations of Monge-Ampere type involving the derivates with respect to a family X of vector fields of Carnot type. The main result is a comparison principle among viscosity subsolutions, convex with respect to X, and viscosity supersolutions (in a weaker sense than usual), which implies the uniqueness of solution to the Dirichlet problem. Its assumptions include the equation of prescribed horizontal Gauss curvature in Carnot groups. By Perron method we also prove the existence of a solution either under a growth condition of the nonlinearity with respect to the gradient of the solution, or assuming the existence of a subsolution attaining continuously the boundary data, therefore generalizing some classical result for Euclidean Monge-Ampere equations.

math.AP↗

arXiv2008

Comparison Principles for subelliptic equations of Monge-Ampere type

We present two comparison principles for viscosity sub- and supersolutions of Monge-Ampere-type equations associated to a family of vector fields. In particular, we obtain the uniqueness of a viscosity solution to the Dirichlet problem for the equation of prescribed horizontal Gauss curvature in a Carnot group.

math.AP↗

arXiv2004

Almost sure stability of controlled degenerate diffusions

We develop a direct Lyapunov method for the almost sure open-loop stabilizability and asymptotic stabilizability of controlled degenerate diffusion processes. The infinitesimal decrease condition for a Lyapunov function is a new form of Hamilton-Jacobi-Bellman partial differential inequality of $2nd$ order. We give local and global versions of the First and Second Lyapunov Theorems assuming the existence of a lower semicontinuous Lyapunov function satisfying such inequality in the viscosity sense. An explicit formula for a stabilizing feedback is provided for affine systems with smooth Lyapunov function. Several examples illustrate the theory.

math.OC↗