arXiv subjects

Paul M. N. Feehan

Publications and source records attributed to Paul M. N. Feehan.

At least 37 records · Page 2Linked to original sources

arXiv2016

Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities

The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process with killing, called the elliptic Heston operator, is a second-order, degenerate-elliptic partial differential operator whose coefficients have linear growth in the spatial variables and where the degeneracy in the operator symbol is proportional to the distance to the boundary of the half-plane. With the aid of weighted Sobolev spaces, we prove supremum bounds, a Harnack inequality, and Hölder continuity near the boundary for solutions to variational equations defined by the elliptic Heston operator, as well as Hölder continuity up to the boundary for solutions to variational inequalities defined by the elliptic Heston operator. In mathematical finance, solutions to obstacle problems for the elliptic Heston operator correspond to value functions for perpetual American-style options on the underlying asset.

math.AP↗

arXiv2016

C^{1,1} regularity for degenerate elliptic obstacle problems

The Heston stochastic volatility process is a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process with killing, called the elliptic Heston operator, is a second-order, degenerate-elliptic partial differential operator, where the degeneracy in the operator symbol is proportional to the distance to the boundary of the half-plane. In mathematical finance, solutions to the obstacle problem for the elliptic Heston operator correspond to value functions for perpetual American-style options on the underlying asset. With the aid of weighted Sobolev spaces and weighted Holder spaces, we establish the optimal $C^{1,1}$ regularity (up to the boundary of the half-plane) for solutions to obstacle problems for the elliptic Heston operator when the obstacle functions are sufficiently smooth.

math.AP↗

arXiv2015

Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions

We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as the Heston model, the CEV model and the SABR model, which are widely used as asset pricing models in mathematical finance. The generator of this Markov process with killing is a second-order, degenerate, elliptic partial differential operator, where the degeneracy in the operator symbol is proportional to the $2α$-power of the distance to the boundary of the half-plane, with $α\in(0,1]$. Our stochastic representation formulas provide the unique solutions to the elliptic boundary value and obstacle problems, when we seek solutions which are suitably smooth up to the boundary portion $Γ_{0}$ contained in the boundary of the upper half-plane. In the case when the full Dirichlet condition is given, our stochastic representation formulas provide the unique solutions which are not guaranteed to be any more than continuous up to the boundary portion $Γ_{0}$.

math.PR↗

arXiv2015

Discreteness for energies of Yang-Mills connections over four-dimensional manifolds

We generalize our previous results (Theorem 1 and Corollary 2 in arXiv:1412.4114) and Theorem 1 in arXiv:1502.00668) on the existence of an $L^2$-energy gap for Yang-Mills connections over closed four-dimensional manifolds and energies near the ground state (occupied by flat, anti-self-dual, or self-dual connections) to the case of Yang-Mills connections with arbitrary energies. We prove that for any principal bundle with compact Lie structure group over a closed, four-dimensional, Riemannian manifold, the $L^2$ energies of Yang-Mills connections on a principal bundle form a discrete sequence without accumulation points. Our proof employs a version of our Łojasiewicz-Simon gradient inequality for the Yang-Mills $L^2$-energy functional from our monograph arXiv:1409.1525 and extensions of our previous results on the bubble-tree compactification for the moduli space of anti-self-dual connections arXiv:1504.05741 to the moduli space of Yang-Mills connections with a uniform $L^2$ bound on their energies.

math.DG↗

arXiv2015

Geometry of the ends of the moduli space of anti-self-dual connections

Let $X$ be a closed, four-dimensional, oriented, smooth manifold with a Riemannian metric, $g$, let $G$ be a compact Lie group, and $P$ be a principal $G$ bundle over $X$. D. Groisser and T. Parker (1987, 1989) and S. K. Donaldson (1990) conjectured that the moduli space of $g$-anti-self-dual connections on $P$, endowed with the $L^2$ metric, has finite volume and diameter. The purpose of this article is to prove this conjecture under the following additional hypotheses. Suppose that $g$ is generic and $X$ is simply-connected. If (i) $G=SU(2)$ or $SO(3)$ and $b^+(X)=0$ or (ii) $G=SO(3)$ and $w_2(P)\neq 0$, where $w_2(P)$ is the second Stiefel-Whitney class of $P$, then we prove that the moduli space of $g$-anti-self-dual connections on $P$ has finite volume and diameter with respect to the $L^2$ metric. Our development of the bubble-tree compactification of the moduli space of $g$-anti-self-dual connections --- based on ideas of Sacks and Uhlenbeck for sequences of harmonic maps from the two-sphere (1981), Taubes (1988) for sequences of Yang-Mills connections, and Parker and Wolfson (1993, 1996) for sequences of pseudo-holomorphic maps --- provides one of the key technical tools used in the proof.

math.DG↗

arXiv2014

Witten's conjecture for many four-manifolds of simple type

We prove that Witten's Conjecture [arXiv:hep-th/9411102] on the relationship between the Donaldson and Seiberg-Witten series for a four-manifold of Seiberg-Witten simple type with $b_1=0$ and odd $b_2^+\geq 3$ follows from our $\mathrm{SO}(3)$-monopole cobordism formula [arXiv:math/0203047] when the four-manifold has $c_1^2\geq χ_h-3$ or is abundant.

math.DG↗

arXiv2014

Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations

We establish higher-order weighted Sobolev and Holder regularity for solutions to variational equations defined by the elliptic Heston operator, a linear second-order degenerate-elliptic operator arising in mathematical finance. Furthermore, given $C^\infty$-smooth data, we prove $C^\infty$-regularity of solutions up to the portion of the boundary where the operator is degenerate. In mathematical finance, solutions to obstacle problems for the elliptic Heston operator correspond to value functions for perpetual American-style options on the underlying asset.

math.AP↗

arXiv2013

Maximum principles for boundary-degenerate second-order linear elliptic differential operators

We prove weak and strong maximum principles, including a Hopf lemma, for smooth subsolutions to equations defined by linear, second-order, partial differential operators whose principal symbols vanish along a portion of the domain boundary. The boundary regularity property of the smooth subsolutions along this boundary vanishing locus ensures that these maximum principles hold irrespective of the sign of the Fichera function. Boundary conditions need only be prescribed on the complement in the domain boundary of the principal symbol vanishing locus. We obtain uniqueness and a priori maximum principle estimates for smooth solutions to boundary value and obstacle problems defined by these boundary-degenerate elliptic operators for partial Dirichlet or Neumann boundary conditions along the complement of the boundary vanishing locus. We also prove weak maximum principles and uniqueness for solutions to the corresponding variational equations and inequalities defined with the aide of weighted Sobolev spaces. The domain is allowed to be unbounded when the operator coefficients and solutions obey certain growth conditions.

math.AP↗

arXiv2013

Schauder a priori estimates and regularity of solutions to boundary-degenerate elliptic linear second-order partial differential equations

We establish Schauder a priori estimates and regularity for solutions to a class of boundary-degenerate elliptic linear second-order partial differential equations. Furthermore, given a smooth source function, we prove regularity of solutions up to the portion of the boundary where the operator is degenerate. Degenerate-elliptic operators of the kind described in our article appear in a diverse range of applications, including as generators of affine diffusion processes employed in stochastic volatility models in mathematical finance, generators of diffusion processes arising in mathematical biology, and the study of porous media.

math.AP↗

arXiv2013

A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients

Motivated by applications to probability and mathematical finance, we consider a parabolic partial differential equation on a half-space whose coefficients are suitably Holder continuous and allowed to grow linearly in the spatial variable and which become degenerate along the boundary of the half-space. We establish existence and uniqueness of solutions in weighted Holder spaces which incorporate both the degeneracy at the boundary and the unboundedness of the coefficients. In our companion article [arXiv:1211.4636], we apply the main result of this article to show that the martingale problem associated with a degenerate-elliptic partial differential operator is well-posed in the sense of Stroock and Varadhan.

math.AP↗

arXiv2013

On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Ito processes

Using results from our companion article [arXiv:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and mathematical finance, concerning degenerate diffusion processes. We show that the martingale problem associated with a degenerate-elliptic differential operator with unbounded, locally Holder continuous coefficients on a half-space is well-posed in the sense of Stroock and Varadhan. Second, we prove existence, uniqueness, and the strong Markov property for weak solutions to a stochastic differential equation with degenerate diffusion and unbounded coefficients with suitable Hölder continuity properties. Third, for an Ito process with degenerate diffusion and unbounded but appropriately regular coefficients, we prove existence of a strong Markov process, unique in the sense of probability law, whose one-dimensional marginal probability distributions match those of the given Ito process.

math.PR↗

arXiv2013

Maximum principles for boundary-degenerate linear parabolic differential operators

We develop weak and strong maximum principles for boundary-degenerate, linear, parabolic, second-order partial differential operators, $Lu := -u_t-\tr(aD^2u)-\langle b, Du\rangle + cu$, with \emph{partial} Dirichlet boundary conditions. The coefficient, $a(t,x)$, is assumed to vanish along a non-empty open subset, $\mydirac_0!\sQ$, called the \emph{degenerate boundary portion}, of the parabolic boundary, $\mydirac!\sQ$, of the domain $\sQ\subset\RR^{d+1}$, while $a(t,x)$ may be non-zero at points in the \emph{non-degenerate boundary portion}, $\mydirac_1!\sQ := \mydirac!\sQ\less\bar{\mydirac_0!\sQ}$. Points in $\mydirac_0!\sQ$ play the same role as those in the interior of the domain, $\sQ$, and only the non-degenerate boundary portion, $\mydirac_1!\sQ$, is required for boundary comparisons. We also develop comparison principles and a priori maximum principle estimates for solutions to boundary value and obstacle problems defined by boundary-degenerate parabolic operators, again where only the non-degenerate boundary portion, $\mydirac_1!\sQ$, is required for boundary comparisons. Our results complement those in our previous articles [arXiv1204.6613, arXiv:1305.5098].

math.AP↗

arXiv2013

A classical Perron method for existence of smooth solutions to boundary value and obstacle problems for degenerate-elliptic operators via holomorphic maps

We prove existence of solutions to boundary value problems and obstacle problems for degenerate-elliptic, linear, second-order partial differential operators with partial Dirichlet boundary conditions using a new version of the Perron method. The elliptic operators considered have a degeneracy along a portion of the domain boundary which is similar to the degeneracy of a model linear operator identified by Daskalopoulos and Hamilton (1998) in their study of the porous medium equation or the degeneracy of the Heston operator (1993) in mathematical finance. Existence of a solution to the Dirichlet problem on a half-ball, where the operator becomes degenerate on the flat boundary and a Dirichlet condition is only imposed on the spherical boundary, provides the key additional ingredient required for our Perron method. The solution to the Dirichlet problem on the half-ball can be converted to a Dirichlet problem on an infinite slab via a suitable diffeomorphism which becomes holomorphic in dimension two. The required Schauder regularity theory and existence of a solution to the Dirichlet problem on the slab can nevertheless be obtained using previous work of the author and C. Pop [arXiv:1210.6727]. Our Perron method relies on weak and strong maximum principles for degenerate-elliptic operators, concepts of continuous subsolutions and supersolutions for boundary value and obstacle problems for degenerate-elliptic operators, and maximum and comparison principle estimates previously developed by the author [arXiv:1204.6613].

math.AP↗

arXiv2013

Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions

We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our article focuses on the Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance and a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process with killing, called the elliptic Heston operator, is a second-order, degenerate, elliptic partial differential operator whose coefficients have linear growth in the spatial variables and where the degeneracy in the operator symbol is proportional to the distance to the boundary of the half-plane. In mathematical finance, solutions to terminal/boundary value or obstacle problems for the parabolic Heston operator correspond to value functions for American-style options on the underlying asset.

math.PR↗

arXiv2012

SO(3)-monopoles: The overlap problem

The SO(3)-monopole program, initiated by Pidstrigatch and Tyurin [arXiv:dg-ga/9507004], yields a relationship between the Donaldson and Seiberg-Witten invariants through a cobordism between the moduli spaces defining these invariants. The main technical difficulty in this program lies in describing the links of singularities in this cobordism arising from the Seiberg-Witten moduli subspaces. In related articles, we defined maps which, essentially, define normal bundles of strata of these singularities. The link in question is then the boundary of the union of the tubular neighborhoods associated with these normal bundles. However, the SO(3)-monopole program requires the computation of intersection numbers with links where more than one stratum appears in the family of singularities and thus more than one tubular neighborhood appears in the definition of the link. Computations of intersection numbers in unions of open sets have proved difficult for even two open sets, as early work of Leness [arXiv:dg-ga/9603016] and Ozsvath [1994] demonstrated. In this note, we give a brief introduction to our monograph [arXiv:math/0203047], in which we implement these computations.

math.DG↗

arXiv2011

Existence, uniqueness, and global regularity for degenerate elliptic obstacle problems in mathematical finance

The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process with killing, called the elliptic Heston operator, is a second-order degenerate elliptic partial differential operator whose coefficients have linear growth in the spatial variables and where the degeneracy in the operator symbol is proportional to the distance to the boundary of the half-plane. With the aid of weighted Sobolev spaces, we prove existence, uniqueness, and global regularity of solutions to stationary variational inequalities and obstacle problems for the elliptic Heston operator on unbounded subdomains of the half-plane. In mathematical finance, solutions to obstacle problems for the elliptic Heston operator correspond to value functions for perpetual American-style options on the underlying asset.

math.AP↗

arXiv2002

On Donaldson and Seiberg-Witten invariants

This article is based on a lecture by the first author at the International Georgia Topology Conference 2001 (Athens, Georgia) and the Mathematische Arbeitstagung 2001 (Bonn, Germany). We sketch a proof of Witten's formula relating the Donaldson and Seiberg-Witten series modulo powers of degree c+2, with c = -{1/4}(7 chi + 11 sigma), for four-manifolds obeying some mild conditions, where chi and sigma are their Euler characteristic and signature. We use the moduli space of SO(3) monopoles as a cobordism between a link of the Donaldson moduli space of anti-self-dual SO(3) connections and links of the moduli spaces of Seiberg-Witten monopoles. Gluing techniques allow us to compute contributions from Seiberg-Witten moduli spaces lying in the first (or `one-bubble') level of the Uhlenbeck compactification of the moduli space of SO(3) monopoles.

math.DG↗

arXiv2001

SO(3) Monopoles, Level-One Seiberg-Witten Moduli Spaces, and Witten's Conjecture in Low Degrees

We prove Witten's formula relating the Donaldson and Seiberg-Witten series modulo powers of degree $c+2$, with $c=-{1/4}(7χ+11σ)$, for four-manifolds obeying some mild conditions, where $χ$ and $σ$ are their Euler characteristic and signature. We use the moduli space of SO(3) monopoles as a cobordism between a link of the Donaldson moduli space of anti-self-dual SO(3) connections and links of the moduli spaces of Seiberg-Witten monopoles. Gluing techniques allow us to compute contributions from Seiberg-Witten moduli spaces lying in the first (or `one-bubble') level of the Uhlenbeck compactification of the moduli space of SO(3) monopoles.

math.DG↗