The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collection of quoted option prices with different strikes.
We consider the Laplacian operator H_0 perturbed by a non-positive potential $V$, which is periodic in two directions, and decays in the remaining one. We are interested in the characterization and decay properties of the guided states, defined as th
e eigenfunctions of the reduced operators in the Bloch-Floquet-Gelfand transform of H_0+V in the periodic variables. If V is sufficiently small and decreases fast enough in the infinite direction, we prove that, generically, these guided states are characterized by quasi-momenta belonging to some one-dimensional compact real analytic submanifold of the Brillouin zone. Moreover they decay faster than any polynomial function in the infinite direction.
The main motivation of this article is to derive sufficient conditions for dynamical stability of periodically driven quantum systems described by a Hamiltonian H(t), i.e., conditions under which it holds sup_{t in R} | (psi(t),H(t) psi(t)) |<infty w
here psi(t) denotes a trajectory at time t of the quantum system under consideration. We start from an analysis of the domain of the quasi-energy operator. Next we show, under certain assumptions, that if the spectrum of the monodromy operator U(T,0) is pure point then there exists a dense subspace of initial conditions for which the mean value of energy is uniformly bounded in the course of time. Further we show that if the propagator admits a differentiable Floquet decomposition then || H(t) psi(t) || is bounded in time for any initial condition psi(0), and one employs the quantum KAM algorithm to prove the existence of this type of decomposition for a fairly large class of H(t). In addition, we derive bounds uniform in time on transition probabilities between different energy levels, and we also propose an extension of this approach to the case of a higher order of differentiability of the Floquet decomposition. The procedure is demonstrated on a solvable example of the periodically time-dependent harmonic oscillator.
