Related papers: Existence of maximal solutions for the financial s…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
In this paper we develop a metastability theory for a class of stochastic reaction-diffusion equations exposed to small multiplicative noise. We consider the case where the unperturbed reaction-diffusion equation features multiple…
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective…
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function. To address this, we adopt a game-theoretic framework and…
We examine travelling wave solutions of the reaction-diffusion equation, $\partial_t u= R(u) + \partial_x \left[D(u) \partial_x u\right]$, with a Stefan-like condition at the edge of the moving front. With only a few assumptions on $R(u)$…
The purpose of this article is to study a new problem of stochastic control, related to Walsh's spider diffusion, named: stochastic optimal scattering control. The optimal scattering control of the spider diffusion at the junction point is…
We consider the problem of maximizing the asymptotic growth rate of an investor under drift uncertainty in the setting of stochastic portfolio theory (SPT). As in the work of Kardaras and Robertson we take as inputs (i) a Markovian…
We study a two-phase modified Stefan problem modeling solid combustion and nonequilibrium phase transition. The problem is known to exhibit a variety of non-trivial dynamical scenarios. We develop a priori estimates and establish…
For an SDE driven by a rotationally invariant $\alpha$-stable noise we prove weak uniqueness of the solution under the balance condition $\alpha+\gamma>1$, where $\gamma$ denotes the Holder index of the drift coefficient. We prove existence…
We repeat the numerical experiments for diffusion limited aggregation (DLA) and show that there is a potentially infinite set of conserved quantities for the long time asymptotics. We connect these observations with the exact integrability…
The qualitative behavior of a thermodynamically consistent two-phase Stefan problem with surface tension and with or without kinetic undercooling is studied. It is shown that these problems generate local semiflows in well-defined state…
In this paper, a one-phase Stefan-type problem for a semi-infinite material which has as its main feature a variable latent heat that depends on the power of the position and the velocity of the moving boundary is studied. Exact solutions…
We consider the three-dimensional radial Stefan problem which describes the evolution of a radial symmetric ice ball with free boundary \begin{equation*} \left\{\begin{aligned} &\partial_{t}u-\partial_{rr}u-\frac{2}{r}\partial_{r}u=0 \quad…
We prove the existence of a solution to an equation governing the number density within a compact domain of a discrete particle system for a prescribed class of particle interactions taking into account the effects of the diffusion and…
We use a white noise approach to study the problem of optimal inside control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N. In particular, we use Hida-Malliavin calculus and the Donsker delta…
We argue that the celebrated Stefan condition on the moving interphase, accepted in mathematical physics up to now, can not be imposed if energy sources are spatially distributed in the volume. A method based on Tikhonov and Samarskii's…
We consider (a variant of) the external multi-particle diffusion-limited aggregation (MDLA) process of Rosenstock and Marquardt on the plane. Based on the recent findings of [11], [10] in one space dimension it is natural to conjecture that…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and…
Similarity solutions for a one-dimensional mathematical model for thawing in a saturated semi-infinite porous media is considered when change of phase induces a density jump and a convective boundary condition is imposed at the fixed face…