Maya Briani

Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory

Summary.We study the numerical approximation of viscosity solutions for integro-differential, possibly degenerate, parabolic problems. Similar models arise in option pricing, to generalize the celebrated Black–Scholes equation, when the processes which generate the underlying stock returns may contain both a continuous part and jumps. Convergence is proven for monotone schemes and numerical tests are presented and discussed.

On the dynamics of capital accumulation across space

We solve an optimal growth model in continuous space, continuous and bounded time. The optimizer chooses the optimal trajectories of capital and consumption across space and time by maximizing an objective function with both space and time discounting. We extract the corresponding Pontryagin conditions and prove their sufficiency. We end up with a system of two parabolic differential equations with the corresponding boundary conditions. Then, we study the roles of initial capital and technology distributions over space in various scenarios.

Asymptotic High-Order Schemes for

We investigate finite difference schemes which approximate

2\times2

2\times 2

Dissipative Hyperbolic Systems

one-dimensional linear dissipative hyperbolic systems. We show that it is possible to introduce some suitable modifications in standard upwinding schemes, which keep into account the long-time behavior of the solutions, to yield numerical approximations which are increasingly accurate for large times when computing small perturbations of stable asymptotic states, respectively, around stationary solutions and in the diffusion (Chapman-Enskog) limit.

A Model of Ischemia-Induced Neuroblast Activation in the Adult Subventricular Zone

We have developed a rat brain organotypic culture model, in which tissue slices contain cortex-subventricular zone-striatum regions, to model neuroblast activity in response to in vitro ischemia. Neuroblast activation has been described in terms of two main parameters, proliferation and migration from the subventricular zone into the injured cortex. We observed distinct phases of neuroblast activation as is known to occur after in vivo ischemia. Thus, immediately after oxygen/glucose deprivation (6–24 hours), neuroblasts reduce their proliferative and migratory activity, whereas, at longer time points after the insult (2 to 5 days), they start to proliferate and migrate into the damaged cortex. Antagonism of ionotropic receptors for extracellular ATP during and after the insult unmasks an early activation of neuroblasts in the subventricular zone, which responded with a rapid and intense migration of neuroblasts into the damaged cortex (within 24 hours). The process is further enhanced by elevating the production of the chemoattractant SDf-1α and may also be boosted by blocking the activation of microglia. This organotypic model which we have developed is an excellent in vitro system to study neurogenesis after ischemia and other neurodegenerative diseases. Its application has revealed a SOS response to oxygen/glucose deprivation, which is inhibited by unfavorable conditions due to the ischemic environment. Finally, experimental quantifications have allowed us to elaborate a mathematical model to describe neuroblast activation and to develop a computer simulation which should have promising applications for the screening of drug candidates for novel therapies of ischemia-related pathologies.

Scenario-generation methods for an optimal public debt strategy

We describe the methods employed for the generation of possible scenarios for term structure evolution. The problem originated as a request from the Italian Ministry of Economy and Finance to find an optimal strategy for the issuance of Public Debt securities. The basic idea is to split the evolution of each rate into two parts. The first component is driven by the evolution of the official rate (the European Central Bank official rate in the present case). The second component of each rate is represented by the fluctuations having null correlation with the ECB rate.

Time asymptotic high order schemes for dissipative BGK hyperbolic systems

We introduce a new class of finite differences schemes to approximate one dimensional dissipative semilinear hyperbolic systems with a BGK structure. Using precise analytical time-decay estimates of the local truncation error, it is possible to design schemes, based on the standard upwind approximation, which are increasingly accurate for large times when approximating small perturbations of constant asymptotic states. Numerical tests show their better performances with respect to those of other schemes.

A non-local rare mutations model for quasispecies and prisoner's dilemma: Numerical assessment of qualitative behaviour

An integro-differential model for evolutionary dynamics with mutations is investigated by improving the understanding of its behaviour using numerical simulations. The proposed numerical approach can handle also density dependent fitness, and gives new insights about the role of mutation in the preservation of cooperation.

A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES

This paper is devoted to the formulation of a model for the optimal asset-liability management for insurance companies. We focus on a typical guaranteed investment contract, by which the holder has the right to receive afterTyears a return that cannot be lower than a minimum predefined raterg. We take account of the rules that usually are imposed to insurance companies in the management of this funds as reserves and solvency margin. We formulate the problem as a stochastic optimization problem in a discrete time setting comparing this approach with the so-called hedging approach. The utility function to maximize depends on various parameters including specific goals of the company management.Some preliminary numerical results are reported to ease the comparison between the two approaches.