Han, Chuan-Hsiang. Singular Perturbations on Non-Smooth Boundary Problems in Finance. (Under the direction of Jean-Pierre Fouque.) In this work we apply asymptotic analysis on compound options, American options, Asian options, and variance (or volatility) contracts in the context of stochastic volatility models. Singular perturbation techniques are primarily used. A singular-regular perturbatio...

Application of the Haar wavelet approach for solving stiff differential equations is discussed. Solution of singular perturbation problems is also considered. Efficiency of the recommended method is demonstrated by means of four numerical examples, mostly taken from well-known textbooks.

The recently developed perturbation iteration method is applied to boundary layer type singular problems for the first time. As a preliminary work on the topic, the simplest algorithm of PIA(1,1) is employed in the calculations. Linear and nonlinear problems are solved to outline the basic ideas of the new solution technique. The inner and outer solutions are determined with the iteration algor...

abstract The singular value decomposition has a number of applications in digital signal processing. However, the the decomposition must be computed from a matrix consisting of both signal and noise. It is therefore important to be able to assess the eeects of the noise on the singular values and singular vectors | a problem in classical perturbation theory. In this paper we survey the perturba...

The introduction of a lattice converts a singular boundary-layer problem in the continuum into a regular perturbation problem. However, the continuum limit of the discrete problem is extremely nontrivial and is not completely understood. This paper examines two singular boundary-layer problems taken from mathematical physics, the instanton problem and the Blasius equation, and in each case exam...

Finite element methods for a family of systems of singular perturbation problems of a saddle point structure are discussed. The system is approximately a linear Stokes problem when the perturbation parameter is large, while it degenerates to a mixed formulation of Poisson’s equation as the perturbation parameter tends to zero. It is established, basically by numerical experiments, that most of ...

The Wilkinson distance of a matrix A is the two-norm of the smallest perturbation E so that A + E has a multiple eigenvalue. Malyshev derived a singular value optimization characterization for the Wilkinson distance. In this work we generalize the definition of the Wilkinson distance as the two-norm of the smallest perturbation so that the perturbed matrix has an eigenvalue of prespecified alge...

In this paper, we consider several model problems where finite element triangular meshes with arbitrarily small angles (high aspect ratios) are utilized to deal with anisotropy, interfaces, or singular perturbations. The constant-rate (independent of the number of unknowns, the smallest angle, the interface discontinuity, the singular-perturbation parameter, etc.) convergence of some special no...

In this Letter, we apply the homotopy-perturbation method (HPM) to obtain approximate analytical solutions of the time-dependent Emden– Fowler type equations. We also present a reliable new algorithm based on HPM to overcome the difficulty of the singular point at x = 0. The analysis is accompanied by some linear and nonlinear time-dependent singular initial value problems. The results prove th...

We study singular discrete nth order boundary value problems with mixed boundary conditions. We prove the existence of a positive solution by means of the lower and upper solutions method and the Brouwer fixed point theorem in conjunction with perturbation methods to approximate regular problems. AMS subject classification: 39A10, 34B16.