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We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process is locally H\"older continuous with exponent $\delta\in (0,…
It is shown that, by imposing reparametrization invariance, one may derive a variety of stochastic equations describing the dynamics of surface growth and identify the physical processes responsible for the various terms. This approach…
In this paper we prove the global existence of a strong solution to the initial boundary value problem for the exponential partial differential equation $\partial_tu-\Delta e^{-\Delta u}+e^{-\Delta u}-1=0$. The equation was proposed as a…
Recently, it has been shown in [Jentzen, A., M\"uller-Gronbach, T., and Yaroslavtseva, L., Commun. Math. Sci., 14, 2016] that there exists a system of autonomous stochastic differential equations (SDE) on the time interval $[0,T]$ with…
We study about order of growth and hyper order of growth of non trivial solutions of second order linear differential equations, having restrictions in the coefficients. These restrictions involve notions of Yang's inequality, Borel…
This paper studies the existence and uniqueness of solution of It\^o type stochastic differential equation $dx(t)=b(t, x(t), \om)dt+\si(t,x(t), \om) d B(t)$, where $B(t)$ is a fractional Brownian motion of Hurst parameter $H>1/2$ and…
This article is concerned with pointwise growth and spreading speeds in systems of parabolic partial differential equations. Several criteria exist for quantifying pointwise growth rates. These include the location in the complex plane of…
In this article we prove the global existence of a unique strong solution to the initial boundary-value problem for a fourth-order exponential PDE. The equation we study was originally proposed to study the evolution of crystal surfaces,…
We prove that the standard conditions that provide unique solvability of a mixed stochastic differential equations also guarantee that its solution possesses finite moments. We also present conditions supplying existence of exponential…
We consider a stochastic logistic growth model involving both birth and death rates in the drift and diffusion coefficients for which extinction eventually occurs almost surely. The associated complete Fokker-Planck equation describing the…
We consider a partial differential equation that arises in the coarse-grained description of epitaxial growth processes. This is a parabolic equation whose evolution is governed by the competition between the determinant of the Hessian…
The purpose of this paper is to establish Picard-Lindel\"{o}f theorem for local uniqueness and existence results for first-order systems of nonlinear delay dynamic equations. In the linear case, we extend our results to global existence and…
In this paper, we study the defocusing nonlinear Schr\"{o}dinger equation with a locally distributed damping on a smooth bounded domain as well as on the whole space and on an exterior domain. We first construct approximate solutions using…
This paper develops necessary and sufficient conditions for the preservation of asymptotic convergence rates of deterministically and stochastically perturbed ordinary differential equations with regularly varying nonlinearity close to…
We construct a class of exponential type solutions for the linear, delayed heat equation. These representations may be used to provide a priori ansatzes for certain boundary and/or initial-value problems arising in heat transfer. Several of…
Given the discrete-time sequence of nonnegative random variables, general dependencies between the exponential convergence of the expectations, exponential convergence of the trajectories and the logarithmic growth of the corresponding…
In this paper we present some basic uniqueness results for evolutive equations under density constraints. First, we develop a rigorous proof of a well-known result (among specialists) in the case where the spontaneous velocity field…
We give an approach to exponential stability within the framework of evolutionary equations due to [R. Picard. A structural observation for linear material laws in classical mathematical physics. Math. Methods Appl. Sci.,…
This paper deals with nonnegative solutions of the one dimensional degenerate parabolic equations with zero homogeneous Dirichlet boundary condition. To obtain an existence result, we prove a sharp gradient estimate of |u_x|. Besides, we…
We consider time fractional stochastic heat type equation $$\partial^\beta_tu_t(x)=-\nu(-\Delta)^{\alpha/2} u_t(x)+I^{1-\beta}_t[\sigma(u)\stackrel{\cdot}{W}(t,x)]$$ in $(d+1)$ dimensions, where $\nu>0$, $\beta\in (0,1)$, $\alpha\in (0,2]$,…