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S 2 m (x)
ρ,δ
(m 1 (x 1 ),...,m d (x d )) and symbol ψ(x,ξ)
for some 0 <δ<ρ
1 for
which there exists C> 0 with
2 m (x)
d .
ψ(x,ξ)
+
1
C
ξ
x,ξ
∈ R
(16.30)
Ψ 2 m (x)
Then ,
ρ,δ satisfies a Gårding inequality in the variable order space
H m (x) (G) : There are constants C 1 > 0 and C 2
A
(x, D)
0 such that
H m (x) (G)
2
2
:
C 1
H m (x) (G)
C 2
u
a(u, u)
u
u
L 2 (G) ,
(16.31)
and
: H m (x) (G)
H m (x) (G)
λ> 0
such that
A
(x, D)
+
λI
(16.32)
H m (x) (G) .
is boundedly invertible , for a(u,v)
= A
u, v
H m (x) (G), H m (x) (G) , u, v
Proof The proof follows along the lines of the proof of [137, Theorem 5], where
the case d
=
1 was treated.
Note that in the case of an admissible time-homogeneous market model,
a G (u, u)
=
a G (u, u) holds for u
V G and a G (
·
,
·
) as in ( 16.28 ).
Theorem 16.5.6 The problem ( 16.28 ) - ( 16.29 ) for an admissible time-homogeneous
market model X with symbol ψ(x,ξ) with initial condition g H = L 2 ( R
d ) and
Y
1, Q =
0 or Q Q 0 > 0 has a unique solution .
Proof We obtain from Lemma 16.4.3
S Y (x)
1
ψ(x,ξ)
for Y
1 ,Q
=
0 ,
ψ(x,ξ) S 1
for Q Q 0 > 0 .
Theorem 16.5.1 implies
Y (x)
ψ(x,ξ)
+
1
C
ξ
for Y
1 ,Q
=
0 ,
(16.33)
2
ψ(x,ξ) +
1
C ξ
for Q Q 0 > 0 ,
(16.34)
d . An application of Theorem 16.5.5 implies the claimed result.
for all x,ξ
∈ R
16.6 Numerical Examples
In this section the implementation of numerical solution methods for the Kol-
mogorov equations for admissible market models with inhomogeneous jump mea-
sures using the techniques described above is discussed. We assume the risk-neutral
dynamics of the underlying asset to be given by
S(t) = S( 0 )e rt + X(t) ,
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