Related papers: A free boundary problem arising from a multi-state…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
We consider equations of the form $\Delta u +\lambda^2 V(x)e^{\,u}=\rho$ in various two dimensional settings. We assume that $V>0$ is a given function, $\lambda>0$ is a small parameter and $\rho=\mathcal O(1)$ or $\rho\to +\infty$ as…
This paper is concerned with a boundary control problem for the Cahn--Hilliard equation coupled with dynamic boundary conditions. In order to handle the control problem, we restrict our analysis to the case of regular potentials defined on…
We study regularity properties of the free boundary for solutions of the porous medium equation with the presence of drift. We show the $C^{1,\alpha}$ regularity of the free boundary, when the solution is directionally monotone in space…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
We prove an existence result for a free boundary problem inspired by the modelization of accretive growth. The growth process is formulated through a level-set approach, leading to a boundary-value problem for a Hamilton-Jacobi equation…
This paper considers a mortgage contract where the borrower pays a fixed mortgage rate and has the choice of making prepayment. Assume the market interest follows the CIR model, a free boundary problem is formulated. Here we focus on the…
We consider a parabolic non-local free boundary problem that has been derived as a limit of a bulk-surface reaction-diffusion system which models cell polarization. The authors have justified the well-posedness of this problem and have…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
The purpose of this paper is to analyze and compute the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility which can be a function of the second derivative of the option price itself. A…
We study a free boundary problem for a parabolic partial differential equation in which the solution is coupled to the moving boundary through an integral constraint. The problem arises as the hydrodynamic limit of an interacting particle…
A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon.…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish…
In this paper we initiate the investigation of free boundary minimization problems ruled by general singular operators with $A_2$ weights. We show existence and boundedness of minimizers. The key novelty is a sharp $C^{1+\gamma}$ regularity…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
A new reformulation of a free boundary problem for the Stokes equations governing a viscous flow with overdetermined condition on the free boundary is proposed. The idea of the method is to transform the governing equations to a boundary…
We study a free transmission problem in which solution minimizes a functional with different definitions in positive and negative phase of function. We prove some asymptotic regularity results when the jumps of the diffusion coefficients…
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…