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In this paper we study nonlinear partial differential equations (PDEs) that are used to model different value adjustments denoted generally as xVA. These adjustments are nowadays commonly added to the risk-free financial derivative values…
A three-point monotone difference scheme is proposed for solving a one-dimensional non-stationary convection-diffusion-reaction equation with variable coefficients. The scheme is based on a parabolic spline and allows to linearly reproduce…
We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak…
The main goal of this paper is to show how some monotonicity methods related with the subdifferential of suitable convex functions and its extensions as m-accretive operators in Banach spaces lead to new and unexpected results showing, for…
Reaction-diffusion equations with a nonlinear source have been widely used to model various systems, with particular application to biology. Here, we provide a solution technique for these types of equations in $N$-dimensions. The…
The present paper is devoted to the study of transition fronts in nonlocal reaction-diffusion equations with time heterogeneous nonlinearity of ignition type. It is proven that such an equation admits space monotone transition fronts with…
Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio and other nonlinear effects in PDE based option pricing models can be described by solutions to the generalized Black-Scholes parabolic…
In this work, we propose a nonlinear stabilization technique for scalar conservation laws with implicit time stepping. The method relies on an artificial diffusion method, based on a graph-Laplacian operator. It is nonlinear, since it…
We study the boundedness and convergence to equilibrium of weak solutions to reaction-diffusion systems with nonlinear diffusion. The nonlinear diffusion is of porous medium type and the nonlinear reaction terms are assumed to grow…
For basic machine learning problems, expected error is used to evaluate model performance. Since the distribution of data is usually unknown, we can make simple hypothesis that the data are sampled independently and identically distributed…
We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with…
Based the homogeneous balance method, a general method is suggested to obtain several kinds of exact solutions for some kinds of nonlinear equations. The validity and reliability of the method are tested by applying it to the Bousseneq…
We show that several diffusion-based approximations (classical diffusion or SP1, SP2, SP3) to the linear Boltzmann equation can (for an infinite, homogeneous medium) be represented exactly by a non-classical transport equation. As a…
We construct a monotone continuous $Q^1$ finite element method on the uniform mesh for the anisotropic diffusion problem with a diagonally dominant diffusion coefficient matrix. The monotonicity implies the discrete maximum principle.…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
We introduce a novel monotone discretization method for addressing obstacle problems involving the integral fractional Laplacian with homogeneous Dirichlet boundary conditions over bounded Lipschitz domains. This problem is prevalent in…
This paper deals with investigating numerical methods for solving coupled system of nonlinear parabolic problems. We utilize block monotone iterative methods based on Jacobi and Gauss--Seidel methods to solve difference schemes which…
We investigate the regularity of semi-stable, radially symmetric, and decreasing solutions for a class of quasilinear reaction-diffusion equations in the inhomogeneous context of Riemannian manifolds. We prove uniform boundedness, Lebesgue…
We study a class of semilinear diffusion equations on infinite, connected, weighted graphs, focusing on two types of nonlinearities: monotone decreasing and Lipschitz continuous. Under minimal structural assumptions on the graph, we…
The goal of this work is to establish the global existence of nonnegative classical solutions in all dimensions for a system of highly nonlinear reaction-diffusion equations. We address the case for different diffusion coefficients and the…