Related papers: A free boundary problem arising from a multi-state…
We start the investigation of free boundary variational models featuring varying singularities. The theory depends strongly on the nature of the singular power $\gamma(x)$ and how it changes. Under a mild continuity assumption on…
We study the obstacle problem with an elliptic operator in divergence form. We develop all of the basic theory of existence, uniqueness, optimal regularity, and nondegeneracy of the solutions. These results, in turn, allow us to begin the…
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to…
We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of the basis at…
In this paper we study a mass-constrained free boundary problem modeling cell polarization, in the regime where the mass is small. In the generic case of a signal with nondegenerate maxima, we prove that the solution converges locally to a…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…
We study the higher regularity of free boundaries in obstacle problems for integro-differential operators with drift, like $(-\Delta)^s +b\cdot\nabla$, in the subcritical regime $s>\frac{1}{2}$. Our main result states that once the free…
We study free boundary problem of Fisher-KPP equation $u_t=u_{xx}+u(1-u),\ t>0,\ ct<x<h(t)$. The number $c>0$ is a given constant, $h(t)$ is a free boundary which is determined by the Stefan-like condition. This model may be used to…
We consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary ($g_{ij}(t,x)\geq 0$). We show existence of the optimal strategy, and give when…
We study a general class of elliptic free boundary problems equipped with a Dirichlet boundary condition. Our primary result establishes an optimal $C^{1,1}$-regularity estimate for $L^p$-strong solutions at points where the free and fixed…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
The aim of this work is to point out that the class of free boundary problems governed by second order autonomous ordinary differential equations can be transformed to initial value problems. Interest in the numerical solution of free…
We examine boundary regularity for a fully nonlinear free transmission problem. We argue using approximation methods, comparing the operators driving the problem with a limiting profile. Working natural conditions on the data of the…
In this paper we show a simplified optimisation approach for free boundary problems in arbitrary space dimensions. This approach is mainly based on an extended operator splitting which allows a decoupling of the domain deformation and…
In this paper, we study superlinear systems that give rise to free boundaries. Such systems appear for example from the minimization of the energy functional $$ \int_{\Omega}\left(|\nabla\mathbf{u}|^2+\frac2p|\mathbf{u}|^p\right),\quad…
We discuss the optimal regularity and nondegeneracy of a free boundary problem related to the fractional Laplacian. This work is related to, but addresses a different problem from, recent work of Caffarelli, Roquejoffre, and Sire. A variant…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
A numerical study of an optimal control formulation for a shape optimization problem governed by an elliptic variational inequality is performed. The shape optimization problem is reformulated as a boundary control problem in a fixed…