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This is the first publication in which an ill-posed Cauchy problem for a quasi- linear PDE is solved numerically by a rigorous method. More precisely, we solve the side Cauchy problem for a 1-d quasilinear parabolc equation. The key idea is…

In a fractional Cauchy problem, the usual first order time derivative is replaced by a fractional derivative. The fractional derivative models time delays in a diffusion process. The order of the fractional derivative can be distributed…

In this paper, we consider the Cauchy problem for the fractional Camassa-Holm equation which models the propagation of small-but-finite amplitude long unidirectional waves in a nonlocally and nonlinearly elastic medium. Using Kato's…

This paper studies the Cauchy problem for a one-dimensional nonlinear peridynamic model describing the dynamic response of an infinitely long elastic bar. The issues of local well-posedness and smoothness of the solutions are discussed. The…

This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and on the investigation of differential and certain qualitative…

This paper is concerned with the existence and uniqueness of weak solutions to the Cauchy-Dirichlet problem of backward stochastic partial differential equations (BSPDEs) with nonhomogeneous terms of quadratic growth in both the gradient of…

This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…

In this paper, we are concerned with regularity of nonlocal stochastic partial differential equations of parabolic type. By using Companato estimates and Sobolev embedding theorem, we first show the H\"{o}lder continuity (locally in the…

We analyze a nonlinear degenerate parabolic problem whose diffusion coefficient is the Heaviside function of the distance of the solution itself from a given target function. We show that this model behaves as an evolutive variational…

In this paper, we propose an iterative splitting method to solve the partial differential equations in option pricing problems. We focus on the Heston stochastic volatility model and the derived two-dimensional partial differential equation…

The existence of strong solutions and pathwise uniqueness are established for one-dimensional stochastic Volterra equations with locally H{\"o}lder continuous diffusion coefficients and sufficiently regular kernels. Moreover, we study the…

The aim of this article is further development of the theory of linear difference equations with constant coefficients. We present a new algorithm for calculating the solution to the Cauchy problem for a three-dimensional difference…

In this paper, we establish the existence of spatially inhomogeneous classical self-similar solutions to a non-Lipschitz semi-linear parabolic Cauchy problem with trivial initial data. Specifically we consider bounded solutions to an…

In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the…

In this paper, we study the solvability of a Cauchy- Dirichlet problem for nonlinear parabolic equation with non standard growths and nonlocal terms. We show the existence of weak solutions of the considered problem under more general…

We study the asymptotic behaviour near extinction of positive solutions of the Cauchy problem for the fast diffusion equation with a subcritical exponent. We show that separable solutions are stable in some suitable sense by finding a class…

This article studies a dirichlet boundary value problem for singularly perturbed time delay convection diffusion equation with degenerate coefficient. A priori explicit bounds are established on the solution and its derivatives. For…

We study various probabilistic and analytical properties of a class of degenerate diffusion operators arising in Population Genetics, the so-called generalized Kimura diffusion operators. Our main results is a stochastic representation of…

We study a quasilinear parabolic Cauchy problem with a cumulative distribution function on the real line as an initial condition. We call 'probabilistic solution' a weak solution which remains a cumulative distribution function at all…

We study the Cauchy problem for a system of semi-linear coupled fractional-diffusion equations with polynomial nonlinearities posed in $% \mathbb{R}_{+}\times \mathbb{R}^{N}$. Under appropriate conditions on the exponents and the orders of…