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We examine periodic solutions to an initial boundary value problem for a Liouville equation with sign-changing weight. A representation formula is derived both for singular and nonsingular boundary data, including data arising from…
The parabolic obstacle problem for the fractional Laplacian naturally arises in American option models when the assets prices are driven by pure jump L\'evy processes. In this paper we study the regularity of the free boundary. Our main…
We are concerned with the uniqueness of the asymptotic behavior of strong solutions of the initial-boundary value problem for general semilinear parabolic equations by the asymptotic behavior of these strong solutions on a finite set of an…
A ring has bounded factorizations if every cancellative nonunit $a \in R$ can be written as a product of atoms and there is a bound $\lambda(a)$ on the lengths of such factorizations. The bounded factorization property is one of the most…
We investigate the finite time stability property of one-dimensional nonautonomous initial boundary value problems for linear decoupled hyperbolic systems with nonlinear boundary conditions. We establish sufficient and necessary conditions…
An initial-boundary value problem for the 1D self-adjoint parabolic equation on the half-axis is solved. We study a broad family of two-level finite-difference schemes with two parameters related to averagings both in time and space.…
Bounded-confidence models in social dynamics describe multi-agent systems, where each individual interacts only locally with others. Several models are written as systems of ordinary differential equations with discontinuous right-hand…
For the problem of solving Reynolds equation under natural boundary conditions, the corresponding hypothetical solution can be obtained by assuming the free boundary. If the solution satisfies natural boundary conditions, then the boundary…
We study the singular set in the thin obstacle problem for degenerate parabolic equations with weight $|y|^a$ for $a \in (-1,1)$. Such problem arises as the local extension of the obstacle problem for the fractional heat operator…
Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied and the equation can be degenerate. Some generalized solutions…
When a solution to the Cauchy problem for nonlinear dispersive equations is obtained by a fixed point argument using auxiliary function spaces, it is non-trivial to ensure uniqueness of solutions in a natural space such as the class of…
We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when…
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models restrict the behavior of the market price of…
The availability of a reliable bound on an integral involving the square of the modulus of a form factor on the unitarity cut allows one to constrain the form factor at points inside the analyticity domain and its shape parameters, and also…
The paper considers a boundary value problem for the high-order Lavrent'ev-Bitsadze equation. Necessary and sufficient conditions for the uniqueness of the solution are found. When substantiating the existence, the problem of "small…
This paper discusses the initial-boundary value problem (with a nonhomogeneous boundary condition) for a multi-dimensional scalar first-order conservation law with a multiplicative noise. One introduces a notion of kinetic formulations in…
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method how to transform the problem into a…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
We study an inverse source problem for a semilinear parabolic equation in a bounded domain, where the nonlinearity depends on the unknown function and its gradient through a quadratic reaction term and a Burgers-type convection term. From…
This work presents the existence and uniqueness of solution to a free boundary value problem related to biofilm growth. The problem consists of a system of nonlinear hyperbolic partial differential equations governing the microbial species…