Related papers: Boundary conditions for the single-factor term str…
In this paper is investigated the pricing problem of options on bonds with credit risk based on analysis on two kinds of solving problems for the Black-Scholes equations. First, a solution representation of the Black-Scholes equation with…
In this paper, we consider nonlinearly perturbed Legendre differential equations subject to the usual boundary conditions. For such problems we establish sufficient conditions for the existence of solutions and in some cases we provide a…
We study asymptotic behaviors near the boundary of complete metrics of constant curvature in planar singular domains and establish an optimal estimate of these metrics by the corresponding metrics in tangent cones near isolated singular…
We construct positive weak solutions of a class of semilinear elliptic equation which vanish in suitable trace sense on the boundary of a given smooth bounded N-dimensional domain, but which are singular at prescribed isolated points of the…
For a certain class of genuinely nonlinear two-by-two planar hyperbolic systems we show that any classical solution on a smoothly bounded domain has nontangential boundary limits except on a set whose Hausdorff dimension is bounded by some…
The work is devoted to the construction of the asymptotic behavior of the solution of a singularly perturbed system of equations of parabolic type, in the case when the limit equation has a regular singularity as the small parameter tends…
This paper presents some sufficient conditions for the existence of solutions of fractional differential equation with nonlocal multi-point boundary conditions involving Caputo fractional derivative and integral boundary conditions. Our…
ATSM are widely applied for pricing of bonds and interest rate derivatives but the consistency of ATSM when the short rate, r, is unbounded from below remains essentially an open question. First, the standard approach to ATSM uses the…
We establish a monotonicity property in the space variable for the solutions of an initial boundary value problem concerned with the parabolic partial differential equation connected with super-Brownian motion.
In the paper boundary-value problem for a multidimensional system of partial differential equations with fractional derivatives in Riemann-Liouville sense with constant coefficients is studied in a rectangular domain. The existence and…
We present a construction of harmonic functions on bounded domains for the spectral fractional Laplacian operator and we classify them in terms of their divergent profile at the boundary. This is used to establish and solve boundary value…
In this article, the boundary singularity for stationary solutions of the linearized Boltzmann equation with cut-off inverse power potential is analyzed. In particular, for cut-off hard-potential cases, we establish the asymptotic…
We study the boundary behavior of non-negative solutions to a class of degenerate/singular parabolic equations, whose prototype is the parabolic $p$-Laplacian. Assuming that such solutions continuously vanish on some distinguished part of…
We use a numerical-analytic technique to construct a sequence of successive approximations to the solution of a system of fractional differential equations, subject to Dirichlet boundary conditions. We prove the uniform convergence of the…
This paper is concerned with the boundary-value problem on the Boltzmann equation in bounded domains with diffuse-reflection boundary where the boundary temperature is time-periodic. We establish the existence of time-periodic solutions…
The goal of this work is to determine classes of travelling solitary wave solutions for a differential approximation of a finite difference scheme by means of a hyperbolic ansatz. It is shown that spurious solitary waves can occur in…
We investigate an initial-(periodic-)boundary value problem for a continuum equation, which is a model for motion of grain boundaries based on the underlying microscopic mechanisms of line defects (disconnections) and integrated the effects…
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes…
A run of all failures, a run of all successes, or complete separation in a logistic regression each tempts the analyst to declare a probability of exactly zero or one. The central message of this paper is that all three phenomena share a…
We consider a class of Cahn-Hilliard equation that characterizes phase separation phenomena of binary mixtures in a bounded domain $\Omega \subset \mathbb{R}^d$ $(d\in \{2,3\})$ with non-permeable boundary. The equations in the bulk are…