Related papers: On the continuity of optimal stopping surfaces for…
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 present a comprehensive study of water drops sliding down chemically heterogeneous surfaces formed by a periodic pattern of alternating hydrophobic and hydrophilic stripes. Drops are found to undergo a stick-slip motion whose average…
The analogy between evaporating surface droplets in air to dissolving long-chain alcohol droplets in water is worked out. We show that next to the three known modi for surface droplet evaporation or dissolution (constant contact angle mode,…
We consider a class of wave equations with constant damping and polynomial nonlinearities that are perturbed by small, multiplicative, space-time white noise. The equations are defined on a one-dimensional bounded interval with Dirichlet…
Consider a pair of smooth, possibly noncompact, properly immersed hypersurfaces moving by mean curvature flow, or, more generally, a pair of weak set flows. We prove that if the ambient space is Euclidean space and if the distance between…
Well-posedness and a number of qualitative properties for solutions to the Cauchy problem for the following nonlinear diffusion equation with a spatially inhomogeneous source $$ \partial_tu=\Delta u^m+|x|^{\sigma}u^p, $$ posed for…
In the optimal velocity model with a time lag, we show that there appear multiple exact solutions in some ranges of car density, describing a uniform flow, a stable and an unstable congested flows. This establishes the presence of…
In this paper the statement of the second Bogolyubov's theorem on periodic solutions of smooth systems with small parameter is justified for discountinuous systems. It is assumed that the generating solution intersects the discontinuity…
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in…
We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Brownian filtration, including those related to mean-field…
This paper concerns compressible subsonic jet flows for a given surrounding pressure from a two-dimensional finitely long convergent nozzle with straight solid wall, which are governed by a free boundary problem for a quasilinear elliptic…
We are concerned with a model describing the motion of two compressible, immiscible fluids with density-dependent viscosity in the whole $\mathbb R^3$. The phases of the flow may have different pressure and viscosity laws and are separated…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
We analyze both numerically and experimentally the stability of the steady jetting tip streaming produced by focusing a liquid stream with another liquid current when they coflow through the orifice of an axisymmetric nozzle. We calculate…
In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time change we establish a link between the stochastic area…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
We consider the Cauchy problem for two prototypes of flux-saturated diffusion equations. In arbitrary space dimension, we give an optimal condition on the growth of the initial datum which discriminates between occurrence or nonoccurrence…
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). We first provide general existence, uniqueness and…
We consider the simplest example of a time-dependent first order Hamilton-Jacobi equation, in one space dimension and with a bounded and Lipschitz continuous Hamiltonian which only depends on the spatial derivative. We show that if the…