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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Defocusing NLS equation with nonzero background: Painleve asymptotics in transition region
非零背景 散焦NLS方程 过渡区 疼痛渐近
2023/5/5
Consider to the Cauchy problem of the defocusing NLS equation with a nonzero background. With the Dbar steepest descent method and double scaling limit, we obtain Painleve asymptotics in two transitio...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Stochastic volatility multi-scale asymptotic large deviation principle implied volatility smile/skew
2010/12/15
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor.