Related papers: Diffusion transformations, Black-Scholes equation …
We deal with the Cauchy problem for the space-time fractional diffusion-wave equation, which is obtained from the standard diffusion equation by replacing the second-order space derivative with a Riesz-Feller derivative of order alpha in…
As is known, the problems for the differential equations with continuously changing order of the derivatives are not considered completely. In this paper we consider the initial and boundary value problems for this type of linear ordinary…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
We study Cauchy problem of a class of viscous Camassa-Holm equations (or Lagrangian averaged Navier-Stokes equations) with fractional diffusion in both smooth bounded domains and in the whole space in two and three dimensions. Order of the…
In this paper we consider a one-dimensional diffusion equation on the interval $[0,1]$ satisfying non-Feller boundary conditions. As a consequence, the initial value Cauchy problem fails to preserve nonnegativity or boundedness.…
A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
The paper study a possibility to recover a parabolic diffusion from its time-average when the values at the initial time are unknown. This problem can be reformulated as a new boundary value problem where a Cauchy condition is replaced by a…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
The present paper is concerned with the Cauchy-Dirichlet problem for fractional (and non-fractional) nonlinear diffusion equations posed in bounded domains. Main results consist of well-posedness in an energy class with no sign restriction…
We investigate the well-posedness of the fast diffusion equation (FDE) in a wide class of noncompact Riemannian manifolds. Existence and uniqueness of solutions for globally integrable initial data was established in [5]. However, in the…
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and…
In this paper, we study the consumption-chemotaxis-Stokes model with porous medium slow diffusion in a three dimensional bounded domain with zero-flux boundary conditions and no-slip boundary condition. In recent ten years, many efforts…
What happens when a continuously evolving stochastic process is interrupted with large changes at random intervals $\tau$ distributed as a power-law $\sim \tau^{-(1+\alpha)};\alpha>0$? Modeling the stochastic process by diffusion and the…
Part I of this work [2] developed the exact diffusion algorithm to remove the bias that is characteristic of distributed solutions for deterministic optimization problems. The algorithm was shown to be applicable to a larger set of…
This paper deals with the unique continuation of solutions for a one-dimensional anomalous diffusion equation with Caputo derivative of order $\alpha\in(0,1)$. Firstly, the uniqueness of solutions to a lateral Cauchy problem for the…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
We find a representation of smooth solutions to the Cauchy problem for a scalar multidimensional conservation law as small diffusion limit of a stochastic perturbation along characteristics. It helps, in particular, to study the process of…