Maximum principle, mean value operators and quasi boundedness in non-euclidean settings

This work deals with some classes of linear second order partial differential operators with non-negative characteristic form and underlying non- Euclidean structures. These structures are determined by families of locally Lipschitz-continuous vector fields in RN, generating metric spaces of Carnot- Carath´eodory type. The Carnot-Carath´eodory metric related to a family {Xj}j=1,...,m is the control distance obtained by minimizing the time needed to go from two points along piecewise trajectories of vector fields. We are mainly interested in the causes in which a Sobolev-type inequality holds with respect to the X-gradient, and/or the X-control distance is Doubling with respect to the Lebesgue measure in RN. This study is divided into three parts (each corresponding to a chapter), and the subject of each one is a class of operators that includes the class of the subsequent one. In the first chapter, after recalling “X-ellipticity” and related concepts introduced by Kogoj and Lanconelli in [KL00], we show a Maximum Principle for linear second order differential operators for which we only assume a Sobolev-type inequality together with a lower terms summability. Adding some crucial hypotheses on measure and on vector fields (Doubling property and Poincar´e inequality), we will be able to obtain some Liouville-type results. This chapter is based on the paper [GL03] by Guti´errez and Lanconelli. In the second chapter we treat some ultraparabolic equations on Lie groups. In this case RN is the support of a Lie group, and moreover we require that vector fields satisfy left invariance. After recalling some results of Cinti [Cin07] about this class of operators and associated potential theory, we prove a scalar convexity for mean-value operators of L-subharmonic functions, where L is our differential operator. In the third chapter we prove a necessary and sufficient condition of regularity, for boundary points, for Dirichlet problem on an open subset of RN related to sub-Laplacian. On a Carnot group we give the essential background for this type of operator, and introduce the notion of “quasi-boundedness”. Then we show the strict relationship between this notion, the fundamental solution of the given operator, and the regularity of the boundary points.

A Unified Model for XVA, including Interest Rates and Rating

We start in Chapter 2 to investigate linear matrix-valued SDEs and the Itô-stochastic Magnus expansion. The Itô-stochastic Magnus expansion provides an efficient numerical scheme to solve matrix-valued SDEs. We show convergence of the expansion up to a stopping time τ and provide an asymptotic estimate of the cumulative distribution function of τ. Moreover, we show how to apply it to solve SPDEs with one and two spatial dimensions by combining it with the method of lines with high accuracy. We will see that the Magnus expansion allows us to use GPU techniques leading to major performance improvements compared to a standard Euler-Maruyama scheme. In Chapter 3, we study a short-rate model in a Cox-Ingersoll-Ross (CIR) framework for negative interest rates. We define the short rate as the difference of two independent CIR processes and add a deterministic shift to guarantee a perfect fit to the market term structure. We show how to use the Gram-Charlier expansion to efficiently calibrate the model to the market swaption surface and price Bermudan swaptions with good accuracy. We are taking two different perspectives for rating transition modelling. In Section 4.4, we study inhomogeneous continuous-time Markov chains (ICTMC) as a candidate for a rating model with deterministic rating transitions. We extend this model by taking a Lie group perspective in Section 4.5, to allow for stochastic rating transitions. In both cases, we will compare the most popular choices for a change of measure technique and show how to efficiently calibrate both models to the available historical rating data and market default probabilities. At the very end, we apply the techniques shown in this thesis to minimize the collateral-inclusive Credit/ Debit Valuation Adjustments under the constraint of small collateral postings by using a collateral account dependent on rating trigger.

The Hitchin map for one-nodal base curves of compact type

Studying moduli spaces of semistable Higgs bundles (E, \phi) of rank n on a smooth curve C, a key role is played by the spectral curve X (Hitchin), because an important result by Beauville-Narasimhan-Ramanan allows us to study isomorphism classes of such Higgs bundles in terms of isomorphism classes of rank-1 torsion-free sheaves on X. This way, the generic fibre of the Hitchin map, which associates to any semistable Higgs bundle the coefficients of the characteristic polynomial of \phi, is isomorphic to the Jacobian of X. Focusing on rank-2 Higgs data, this construction was extended by Barik to the case in which the curve C is reducible, one-nodal, having two smooth components. Such curve is called of compact type because its Picard group is compact. In this work, we describe and clarify the main points of the construction by Barik and we give examples, especially concerning generic fibres of the Hitchin map. Referring to Hausel-Pauly, we consider the case of SL(2,C)-Higgs bundles on a smooth base curve, which are such that the generic fibre of the Hitchin map is a subvariety of the Jacobian of X, the Prym variety. We recall the description of special loci, called endoscopic loci, such that the associated Prym variety is not connected. Then, letting G be an affine reductive group having underlying Lie algebra so(4,C), we consider G-Higgs bundles on a smooth base curve. Starting from the construction by Bradlow-Schaposnik, we discuss the associated endoscopic loci. By adapting these studies to a one-nodal base curve of compact type, we describe the fibre of the SL(2,C)-Hitchin map and of the G-Hitchin map, together with endoscopic loci. In the Appendix, we give an interpretation of generic spectral curves in terms of families of double covers.