Related papers: On a free boundary problem for an American put opt…
We consider a parabolic problem with Robin boundary condition which arises when the edge of a micro-electro-mechanical-system (MEMS) device is connected with a flexible nonideal support. Then via a rigorous analysis we investigate the…
In this paper, we introduce the notion of variational free boundary problem. Namely, we say that a free boundary problem is variational if its solutions can be characterized as the critical points of some shape functional. Moreover, we…
We consider a new family of derivatives whose payoffs become strictly positive when the price of their underlying asset falls relative to its historical maximum. We derive the solution to the discretionary stopping problems arising in the…
Using a matrix approach, we define the free Jacobi process as the limit of the complex Jacobi matrix process. The we derive a free SDE which is analogous to its classical counterpart. To proceed, we prove that fro suitable parameters the…
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the…
We give a new formulation of the relative arbitrage problem from stochastic portfolio theory that asks for a time horizon beyond which arbitrage relative to the market exists in all ``sufficiently volatile'' markets. In our formulation,…
We study the higher regularity of solutions and free boundaries in the Alt-Phillips problem $\Delta u=u^{\gamma-1}$, with $\gamma\in(0,1)$. Our main results imply that, once free boundaries are $C^{1,\alpha}$, then they are $C^\infty$. In…
A free boundary problem for the dynamics of a glasslike binary fluid naturally leads to a singular perturbation problem for a strongly degenerate parabolic partial differential equation in 1D. We present a conjecture for an asymptotic…
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…
This paper starts by defining the criteria where the early-exercise of an American option is never optimal, under positive, or negative rates. It follows with a short analysis of the various shapes of the exercise region under negative…
In this paper, we study superlinear systems that give rise to free boundaries. Such systems appear for example from the minimization of the energy functional $$ \int_{\Omega}\left(|\nabla\mathbf{u}|^2+\frac2p|\mathbf{u}|^p\right),\quad…
In this paper we prove mesh independent a priori $L^\infty$-bounds for positive solutions of the finite difference boundary value problem $$ -\Delta_h u = f(x,u) \mbox{ in } \Omega_h, \quad u=0 \mbox{ on } \partial\Omega_h, $$ where…
A moving boundary problem with two free boundaries modeling a two-dimensional idealized MEMS device with pull-in instability is discussed. We use a fixed point argument to show that the model possesses stationary solutions for small source…
In this paper we continue to study a non-local free boundary problem arising in financial bubbles. We focus on the parabolic counterpart of the bubble problem and suggest an iterative algorithm which consists of a sequence of parabolic…
Long maturity options or a wide class of hybrid products are evaluated using a local volatility type modelling for the asset price S(t) with a stochastic interest rate r(t). The calibration of the local volatility function is usually…
Given a spectrally negative L\'evy process, we predict, in a $L_1$ sense, the last passage time of the process below zero before an independent exponential time. This optimal prediction problem generalises Baurdoux and Pedraza (2020) where…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
We consider the Bernoulli one-phase free boundary problem in a domain $\Omega$ and show that the free boundary $F$ is $C^{1,1/2}$ regular in a neighborhood of the fixed boundary $\partial \Omega$. We achieve this by relating the behavior of…
The free transport operator of probability density function $f(t,x,v)$ is one the most fundamental operator which is widely used in many areas of PDE theory including kinetic theory, in particular. When it comes to general boundary problems…
A solution to the suboptimal $H^\infty$-control problem is given for a class of hyperbolic partial differential equations (PDEs). The first result of this manuscript shows that the considered class of PDEs admits an equivalent…