2 citations · 5 across the 8 of their papers we have counts for
8 papers
Monotone iteration scheme for nonlinear PDEs in risk models
Falko Baustian, Jan Pospíšil, Vladimír Švígler
In this paper we study nonlinear partial differential equations (PDEs) that are used to model different value adjustments denoted generally as xVA. These adjustments are nowadays c…
Basisness and completeness of Fucik eigenfunctions for the Neumann Laplacian
Falko Baustian, Vladimir Bobkov
We investigate the basis properties of sequences of Fucik eigenfunctions of the one-dimensional Neumann Laplacian. We show that any such sequence is complete in and a Ri…
Basisness of Fucik eigenfunctions for the Dirichlet Laplacian
Falko Baustian, Vladimir Bobkov
We provide improved sufficient assumptions on sequences of Fucik eigenvalues of the one-dimensional Dirichlet Laplacian which guarantee that the corresponding Fucik eigenfunctions…
A note on a PDE approach to option pricing under xVA
Falko Baustian, Martin Fencl, Jan Pospíšil +1
In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to…
Space-Time Analyticity of Weak Solutions to Semilinear Parabolic Systems with Variable Coefficients
Falko Baustian, Peter Takáč
Analytic smooth solutions of a general, strongly parabolic semi-linear Cauchy problem of -th order in with analytic coefficients (in space and time v…
Basis properties of Fucik eigenfunctions
Falko Baustian, Vladimir Bobkov
We establish sufficient assumptions on sequences of Fucik eigenvalues of the one-dimensional Laplacian which guarantee that the corresponding Fucik eigenfunctions form a Riesz basi…
Solution of option pricing equations using orthogonal polynomial expansion
Falko Baustian, Kateřina Filipová, Jan Pospíšil
In this paper we study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabo…
On asymptotic behaviour of Dirichlet inverse
Falko Baustian, Vladimir Bobkov
Let be an arithmetic function with and let be its reciprocal with respect to the Dirichlet convolution. We study the asymptotic behaviour of $|f^{-1}…