Paris Dauphine University

About: Paris Dauphine University is a education organization based out in Paris, France. It is known for research contribution in the topics: Population & Approximation algorithm. The organization has 1766 authors who have published 6909 publications receiving 162747 citations. The organization is also known as: Paris Dauphine & Dauphine.

A closed-form solution to the problem of super-replication under transaction costs

Abstract: We study the problem of finding the minimal price needed to dominate European-type contingent claims under proportional transaction costs in a continuous-time diffusion model. The result we prove has already been known in special cases – the minimal super-replicating strategy is the least expensive buy-and-hold strategy. Our contribution consists in showing that this result remains valid for general path-independent claims, and in providing a shorter and more intuitive, financial mathematics-type proof. It is based on a previously known representation of the minimal price as a supremum of the prices in corresponding shadow markets, and on a PDE (viscosity) characterization of that representation.

user's guide to viscosity solutions of second order partial differential equations

Abstract: The notion of viscosity solutions of scalar fully nonlinear partial differential equations of second order provides a framework in which startling comparison and uniqueness theorems, existence theorems, and theorems about continuous dependence may now be proved by very efficient and striking arguments. The range of important applications of these results is enormous. This article is a self-contained exposition of the basic theory of viscosity solutions.

Regularity of weak solutions of the compressible isentropic Navier-Stokes equations

Abstract: Regularity of weak solutions of the compressible isentropic Navier-Stokes equations is proven for small time in dimension N = 2 or 3 under periodic boundary conditions. In this paper, the initial density is not required to have a positive lower bound and the pressure law is assumed to satisfy a condition that reduces to τ > 1 when N = 2 and p(φ) = aφτ. Moreover,weak solutions in T2turn out to be smooth as long as the density remains bounded in L∞( T2).

Existence for an Unsteady Fluid-Structure Interaction Problem

Abstract: We study the well-posedness of an unsteady fluid-structure interaction problem. We consider a viscous incompressible flow, which is modelled by the Navier-Stokes equations. The structure is a collection of rigid moving bodies. The fluid domain depends on time and is defined by the position of the structure, itself resulting from a stress distribution coming from the fluid. The problem is then nonlinear and the equations we deal with are coupled. We prove its local solvability in time through two fixed point procedures.