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We consider an interacting particle system with two species under strong competition dynamics between the two species. Then, through the hydrodynamic limit procedure for the microscopic model, we derive a one-phase Stefan type free boundary…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
The heat transfer model for a one-dimensional supercooled melt during the final stage of solidification is considered. The Stefan problem for the determination of the temperature distribution is solved under the condition that (i) the…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend…
In this note we prove the existence of a density for the law of the solution for 1-dimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter $H…
Supercooled Stefan problems describe the evolution of the boundary between the solid and liquid phases of a substance, where the liquid is assumed to be cooled below its freezing point. Following the methodology of Delarue, Nadtochiy and…
From the one-dimensional consolidation of fine-grained soils with threshold gradient, it can be derived a special type of Stefan problems where the seepage front, due to the presence of this threshold gradient, exhibits the features of a…
We consider the inverse multiphase Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundaries. Optimal control framework is pursued, where boundary…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We consider a reaction-diffusion equation on a network subjected to dynamic boundary conditions, with time delayed behaviour, also allowing for multiplicative Gaussian noise perturbations. Exploiting semigroup theory, we rewrite the…
We prove existence and smoothness of the density of the solution to a nonlinear stochastic heat equation on $L^2(\mathcal{O})$ (evaluated at fixed points in time and space), where $\mathcal{O}$ is an open bounded domain in $\mathbb{R}^d$.…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
In this paper we study the existence of traveling wave solutions for a free-boundary problem modeling the phase transition of a material where the heat is transported by both conduction and radiation. Specifically, we consider a…
This paper develops an input-to-state stability (ISS) analysis of the Stefan problem with respect to an unknown heat loss. The Stefan problem represents a liquid-solid phase change phenomenon which describes the time evolution of a…
This paper studies the nonlinear one-dimensional stochastic heat equation driven by a Gaussian noise which is white in time and which has the covariance of a fractional Brownian motion with Hurst parameter 1/4\textless{}H\textless{}1/2 in…
We study a space-fractional Stefan problem with the Dirichlet boundary conditions. It is a model that describes superdiffusive phenomena. Our main result is the existence of the unique classical solution to this problem. In the proof we…
A one-phase Stefan problem for a semi-infinite material is investigated for special functional forms of the thermal conductivity and specific heat depending on the temperature of the phase-change material. Using the similarity…
We study a nonlocal version of the two-phase Stefan problem, which models a phase transition problem between two distinct phases evolving to distinct heat equations. Mathematically speaking, this consists in deriving a theory for…
In this paper, we consider a system of $k$ second order non-linear stochastic partial differential equations with spatial dimension $d \geq 1$, driven by a $q$-dimensional Gaussian noise, which is white in time and with some spatially…