8 citations · 8 across the 12 of their papers we have counts for
15 papers
Interior smoothness and zero-variance geometry for finite-maturity Heston American puts
Junkee Jeon, Takwon Kim, Jehan Oh
We study finite-maturity American puts in the Heston model without the Feller condition. At positive variance, the exercise boundary is smooth and strictly decreasing in remaining…
Consumption adjustment with mean-reverting risk premia: A singular stochastic control approach
Gugyum Ha, Junkee Jeon, Jehan Oh
We study a two-sided singular stochastic control problem in which changes in consumption carry utility costs and the risk premium follows the mean-reverting Kim-Omberg model. Optim…
American condor contracts with a cash component: A variational inequality approach
Kiyuob Jung, Jehan Oh, Namgwang Woo
We study a jointly exercised American condor contract whose payoff is a call condor payoff plus a positive cash amount. Its plateau and positive tails produce two inner exercise bo…
Nonsmooth Convex Optimization using the Specular Gradient Method with Root-Linear Convergence
Kiyuob Jung, Jehan Oh
We propose the specular gradient method for one-dimensional convex optimization. Assuming that the minimum is attained and a suitable initial distance bound holds, we establish R-l…
Interior type estimates for degenerate fully nonlinear elliptic equations with data
Sun-Sig Byun, Hongsoo Kim, Jehan Oh
We establish interior type estimates for a class of degenerate fully nonlinear elliptic equations with data. The main idea of our approach is to slide con…
regularity for degenerate fully nonlinear elliptic equations with oblique boundary conditions on domains
Sun-Sig Byun, Hongsoo Kim, Jehan Oh
We provide a sharp estimate up to the boundary for a viscosity solution of a degenerate fully nonlinear elliptic equation with the oblique boundary condition on a d…
The wave equation with specular derivatives
Kiyuob Jung, Jehan Oh
In this paper, we construct the transport equation and the wave equation with specular derivatives and solve these equations in one-dimension. To solve these equations, we introduc…
Regular specular differentiation in Euclidean spaces
Kiyuob Jung, Jehan Oh
We study the regular specular derivative, a generalized derivative defined at every point where both one-sided derivatives exist and are finite. Geometrically, it is the slope of t…
Gradient estimates for parabolic problems with Orlicz growth and discontinuous coefficients
Jehan Oh, Jihoon Ok
We obtain Calderón-Zygmund type estimates for parabolic equations with Orlicz growth, where nonlinearities involved in the equations may be discontinuous for the space and time var…
On -estimates for solutions of obstacle problems for fully nonlinear elliptic equations with oblique boundary conditions
Sun-Sig Byun, Jeongmin Han, Jehan Oh
This paper concerns fully nonlinear elliptic obstacle problems with oblique boundary conditions. We investigate the existence, uniqueness and -regularity results by findin…
On global estimates for systems with -growth in rough domains
M. Bulíček, S. Byun, P. Kaplický +2
We study regularity results for nonlinear parabolic systems of -Laplacian type with inhomogeneous boundary and initial data, with . We show bounds o…
Regularity for multi-phase variational problems
Cristiana De Filippis, Jehan Oh
We prove regularity for local minimizers of the \oh{multi-phase} energy: \begin{flalign*} w \mapsto \int_Ω\snr{Dw}^{p}+a(x)\snr{Dw}^{q}+b(x)\snr{Dw}^{s} \ dx, \end{flalig…
Interior and boundary higher integrability of very weak solutions for quasilinear parabolic equations with variable exponents
Karthik Adimurthi, Sun-Sig Byun, Jehan Oh
We prove boundary higher integrability for the (spatial) gradient of \emph{very weak} solutions of quasilinear parabolic equations of the form $$ \left\{ \begin{array}{ll} u_t - di…
Regularity Results of the Thin Obstacle Problem for the -Laplacian
Sun-sig Byun, Ki-ahm Lee, Jehan Oh +1
We study thin obstacle problems involving the energy functional with -growth. We prove higher integrability and Hölder regularity for the gradient of minimizers of the thin o…
Nondivergence elliptic and parabolic problems with irregular obstacles
Sun-Sig Byun, Ki-Ahm Lee, Jehan Oh +1
We prove the natural weighted Calderón and Zygmund estimates for solutions to elliptic and parabolic obstacle problems in nondivergence form with discontinuous coefficients and irr…