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In this paper, we analyze nonlinear differential equations subject to generalized boundary conditions. More specifically, we provide a framework from which we can provide conditions, which are straightforward to check, for the solvability…
In a smooth bounded domain we obtain existence, uniqueness, regularity and boundary behavior for a class of singular quasi-linear elliptic equations.
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…
Our aim in this paper is to study the Cahn-Hilliard equation with singular potentials and dynamic boundary conditions. In particular, we prove, owing to proper approximations of the singular potential and a suitable notion of variational…
We study the boundary value problem with measures for (E1) $-\Gd u+g(|\nabla u|)=0$ in a bounded domain $\Gw$ in $\BBR^N$, satisfying (E2) $ u=\gm$ on $\prt\Gw$ and prove that if $g\in L^1(1,\infty;t^{-(2N+1)/N}dt)$ is nondecreasing…
Motivated by a nonlocal free boundary problem, we study uniform properties of solutions to a singular perturbation problem for a boundary-reaction-diffusion equation, where the reaction term is of combustion type. This boundary problem is…
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock…
In this article, we consider the boundary-value problem of nonlinear fractional differential equation with p-Laplacian operator. By the properties of Green function and Schauder fixed point theorem, several existence and nonexistence…
We study the valuation of an American put option with a random time horizon given by the last exit time of the underlying asset from a fixed level. Since this random time is not a stopping time, the problem falls outside the classical…
Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath--Jarrow--Morton framework for forward rates. I…
We establish the uniqueness in the determination of a source term or a coefficient of the zeroth order term of a second-order parabolic equation. Moreover we consider the determination of a potential of the Schr\"odinger equation. For a…
In this paper we investigate the existence, uniqueness and stability of weak solutions of the initial boundary value problem with the Dirichlet boundary conditions for a parabolic equation with a drift $b\in L_2$. We prove $L_1$-stability…
A nonlinear divergence parabolic equation with dynamic boundary conditions of Wentzell type is studied. The existence and uniqueness of a strong solution is obtained as the limit of a finite difference scheme, in the time dependent case and…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
In this paper we study the boundary controllability for a system of two coupled degenerate/singular parabolic equations with a control acting on only one equation. We analyze both approximate and null boundary controllability properties.…
We present a strategy for interpreting nonlinear, characteristic-type penalty terms as numerical boundary flux functions that provide provable bounds for solutions to nonlinear hyperbolic initial boundary value problems with open…
In this paper we present a MATLAB version of a non-standard finite difference scheme for the numerical solution of the perpetual American put option models of financial markets. These models can be derived from the celebrated Black-Scholes…
This work is concerned with a singularly perturbed stochastic nonlinear wave equation with a random dynamical boundary condition. A splitting skill is used to derive the approximating equation of the system in the sense of probability…
We study a boundary value elliptic problem having a lower order nonlinear term with subquadratic growth in the gradient of the solution and possibly singular when the solution vanishes. If the singularity is mild enough (and even in the…
We consider the field theory of $N$ massless bosons which are free except for an interaction localized on the boundary of their 1+1 dimensional world. The boundary action is the sum of two pieces: a periodic potential and a coupling to a…