Related papers: Diffusion transformations, Black-Scholes equation …

We study qualitative properties of non-negative solutions to the Cauchy problem for the fast diffusion equation with gradient absorption \partial_t u -\Delta_{p}u+|\nabla u|^{q}=0\quad in\;\; (0,\infty)\times\RR^N, where $N\ge 1$,…

This work studies nonnegative solutions for the Cauchy, Neumann, and Dirichlet problems of a logistic type reaction-diffusion equation. The finite time blowup results for nonnegative solutions under various restrictions on the coefficients…

This paper is concerned with the Cauchy-Dirichlet problem for fast diffusion equations posed in bounded domains, where every energy solution vanishes in finite time and a suitably rescaled solution converges to an asymptotic profile.…

This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of…

We consider a class of Fuchsian equations that, for instance, describes the evolution of compressible fluid flows on a cosmological spacetime. Using the method of lines, we introduce a numerical algorithm for the singular initial value…

The paper starts by giving a motivation for this research and justifying the considered stochastic diffusion models for cosmic microwave background radiation studies. Then it derives the exact solution in terms of a series expansion to a…

This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…

We study the long time behavior of solutions of the Cauchy problem for nonlinear reaction-diffusion equations in one space dimension with the nonlinearity of bistable, ignition or monostable type. We prove a one-to-one relation between the…

Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…

We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options…

We establish the global existence and uniqueness of $L^1$-solutions to the Cauchy problem for time-fractional porous medium type nonlinear diffusion equations. Furthermore, we give the mass conservation law for $L^1$-solutions to…

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…

In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…

The paper studies the existence of solutions for the reaction-diffusion equation in $\mathbb R^2$ with point-interaction laplacian $\Delta_\alpha$ with $\alpha\in(-\infty,+\infty]$, assuming the functions to remain on the absolute…

We consider numerical methods for linear parabolic equations in one spatial dimension having piecewise constant diffusion coefficients defined by a one parameter family of interface conditions at the discontinuity. We construct immersed…

In this research note we provide a variational basis for the optimal artificial diffusion method, which has been a cornerstone in developing many stabilized methods. The optimal artificial diffusion method produces exact nodal solutions…

In this paper, some initial-boundary-value problems for the time-fractional diffusion equation are first considered in open bounded n-dimensional domains. In particular, the maximum principle well-known for the PDEs of elliptic and…

We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…

We consider the Cauchy problem of fractional pseudo-parabolic equation on the whole space $R^n,n\geq 1$. Here, the fractional order $\alpha$ is related to the diffusion-type source term behaving as the usual diffusion term on the high…

We consider solutions of a scalar reaction-diffusion equation of the ignition type with a random, stationary and ergodic reaction rate. We show that solutions of the Cauchy problem spread with a deterministic rate in the long time limit. We…