Related papers: The Higher-Order Heat-Type Equations via signed L\…
We consider a nonlinear heat equation with a gradient term. We construct a blow-up solution for this equation with a prescribed blow-up profile. For that, we translate the question in selfsimilar variables and reduce the problem to a finite…
We establish dimension-independent estimates related to heat operators e^{tL} on manifolds. We first develop a very general contractivity result for Markov kernels which can be applied to diffusion semigroups. Second, we develop estimates…
We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…
We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial…
In this paper, we exhibit non-uniqueness of Leray weak solutions of the forced magnetohydrodynamic (MHD for short) equations. Similar to the solutions constructed in \cite{ABC2}, we first find a special steady solution of ideal MHD…
The heat kernel $M_{xy} = <x\mid exp [ 1/\sqrt{g} \partial_\mu g^{\mu\nu} \sqrt{g} \partial_\nu ]t \mid y>$ is of central importance when studying the propagation of a scalar particle in curved space. It is quite convenient to analyze this…
This paper considers the existence of a global-in-time strong solution to the heat equations in the two half spaces $\mathbb{R}^3_+(=\mathbb{R}^2 \times (0,\infty))$, $\mathbb{R}^3_-(= \mathbb{R}^2 \times (-\infty ,0))$, and the interface…
We study the Cauchy problem in $n$-dimensional space for the system of Navier-Stokes equations in critical mixed-norm Lebesgue spaces. Local well-posedness and global well-posedness of solutions are established in the class of critical…
We present a simple analytical method to solve master equations for finite temperatures and any initial conditions, which consists in the expansion of the density operator into normal modes. These modes and the expansion coefficients are…
We consider the energy critical four dimensional semi-linear heat equation \[ \partial_{t}v-\Delta v-v^{3}=0, \quad(t,x)\in \mathbb{R}\times \mathbb{R}^4. \] Formal computation of Filippas et al. (R. Soc. Lond. Proc. 2000) conjectures the…
We analyze the spectra of general non-minimal second-order operators. To do this, we derive the local part of the trace of the second Seeley-DeWitt heat kernel coefficient for such operators in a completely model-independent way.…
We consider the asymptotic behavior of solutions to the convection-diffusion equation: \[ \partial_t u - \mathrm{div}\left(a(x)\nabla u\right) = d\cdot\nabla \left(\left\lvert u\right\rvert ^{q-1}u\right),\ \ x\in\mathbb{R}^n, \ t>0 \] with…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
The HEat modulated Infinite DImensional Heston (HEIDIH) model and its numerical approximation are introduced and analyzed. This model falls into the general framework of infinite dimensional Heston stochastic volatility models of (F.E.…
We introduce and study new invariants associated with Laplace type elliptic partial differential operators on manifolds. These invariants are constructed by using the off-diagonal heat kernel; they are not pure spectral invariants, that is,…
We consider a process $Z$ on the real line composed from a L\'evy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of $Z$ seen from its supremum, the supremum $\overline Z$…
This paper deals with the heat equation posed in a bounded regular domain coupled with a dynamical boundary condition of reactive-diffusive type, involving the Laplace-Beltrami operator. We prove well-posedness of the problem together with…
We study asymptotic behaviors of the higher-order spatial derivatives and the first-order time derivatives for the strong solution to nematic liquid crystal flows in the half-space $\mathbb{R}_+^3$. Furthermore, when the initial data lie in…
The goal of this paper is to investigate Gevrey properties of formal solutions of certain generalized linear partial differential equations with variable coefficients. In particular, we extend the notion of moment partial differential…
This paper studies the long time stability of both stochastic heat equations on a bounded domain driven by a correlated noise and their approximations. It is popular for researchers to prove the intermittency of the solution which means…