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One of aims of this note is to capture the interest of the mathematical community to a novel transformation, which we shall call Brownian symmetrization. This transformation arises from the solution of the planar Skorokhod embedding…
A nonlinear differential equation about optimal shapes for blades of a fan. A boundary value differential problem from engineering, geometrical or physical bonds. A relation between linear profiles and constant speed along the side under…
We consider scalar equilibrium problems governed by a bifunction in a finite-dimensional framework. By using classical arguments in Convex Analysis, we show that under suitable generalized convexity assumptions imposed on the bifunction,…
Bipartite matching systems arise in many settings where agents or tasks from two distinct sets must be paired dynamically under compatibility constraints. We consider a high-dimensional bipartite matching system under uncertainty and seek…
We consider the characteristic problem for the ultrahyperbolic equation in the Euclidean space. The value of a solution is prescribed on the characteristic hyperplane. A well-posed set-up of the problem is discussed. We obtain a certain…
A general theory is provided delivering convergence of maximal cyclically monotone mappings containing the supports of coupling measures of sequences of pairs of possibly random probability measures on Euclidean space. The theory is based…
This paper studies approximate solutions of a linear fractional vector optimization problem without requiring boundedness of the constraint set. We establish necessary and sufficient conditions for approximating weakly efficient points of…
A method is developed to construct the solutions of one and many variable, linear differential equations of arbitrary order. Using this, the $N$-particle Sutherland model, with pair-wise inverse sine-square interactions among the particles,…
The time-fractional diffusion equation is considered, where the time derivative is either of Caputo or Riemann-Liouville type. The solution of a general initial-boundary value problem with time-dependent boundary conditions over bounded and…
We develop numerical algorithms to approximate positive solutions of elliptic boundary value problems with superlinear subcritical nonlinearity on the boundary of the form $-\Delta u + u = 0$ in $\Omega$ with $\frac{\partial u}{\partial…
In this paper we establish relationships between four important concepts: (a) hitting time problems of Brownian motion, (b) 3-dimensional Bessel bridges, (c) Schr\"odinger's equation with linear potential, and (d) heat equation problems…
We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between exponential…
We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…
We analytically derive universal bounds that describe the trade-off between thermodynamic cost and precision in a sequence of events related to some internal changes of an otherwise hidden physical system. The precision is quantified by the…
We consider the symmetric inclusion process on a general finite graph. Our main result establishes universal upper and lower bounds for the spectral gap of this interacting particle system in terms of the spectral gap of the random walk on…
Recent work in percolation has led to exact solutions for the site and bond critical thresholds of many new lattices. Here we show how these results can be extended to other classes of graphs, significantly increasing the number and variety…
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating…
Obtaining adiabatic processes that connect equilibrium states in a given time represents a challenge for mesoscopic systems. In this paper, we explicitly show how to build these finite-time adiabatic processes for an overdamped Brownian…
We consider the problem of numerically integrating functions with hyperplane discontinuities over the entire Euclidean space in many dimensions. We describe a simple process through which the Euclidean space is partitioned into simplices on…
We study the solvability of the second boundary value problem of the Lagrangian mean curvature equation arising from special Lagrangian geometry. By the parabolic method we obtain the existence and uniqueness of the smooth uniformly convex…