Related papers: Existence of maximal solutions for the financial s…
We consider stochastic reaction-diffusion equations on a finite network represented by a finite graph. On each edge in the graph a multiplicative cylindrical Gaussian noise driven reaction-diffusion equation is given supplemented by a…
In this paper, we propose a novel free boundary problem to model the movement of single species with a range boundary. The spatial movement and birth/death processes of the species found within the range boundary are assumed to be governed…
We investigate coupled stochastic differential equations governing N non-negative continuous random variables that satisfy a conservation principle. In various fields a conservation law requires that a set of fluctuating variables be…
Invasion phenomena for heterogeneous reaction-diffusion equations are contemporary and challenging questions in applied mathematics. In this paper we are interested in the question of spreading for a reaction-diffusion equation when the…
Fractional stochastic volatility models have been widely used to capture the non-Markovian structure revealed from financial time series of realized volatility. On the other hand, empirical studies have identified scales in stock price…
In this article, we study the stochastic aggregation-diffusion equation with a singular drift represented by a monotone radial kernel. We demonstrate the existence and uniqueness of a diffusion process that acts as a weak solution to our…
We consider approximations of the Stefan-type condition by imbalances of volume closely around the inner interface and study convergence of the solutions of the corresponding semilinear stochastic moving boundary problems. After a…
In this paper, we establish a necessary and sufficient condition for the existence and regularity of the density of the solution to a semilinear stochastic (fractional) heat equation with measure-valued initial conditions. Under a mild cone…
We study a higher-dimensional thin film equation that incorporates competitive effects between aggregation and repulsion, where repulsion is modeled by fourth-order diffusion and aggregation by backward second-order degenerate diffusion,…
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…
We formulate and solve an optimal trading problem with alpha signals, where transactions induce a nonlinear transient price impact described by a general propagator model, including power-law decay. Using a variational approach, we…
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
A brief review of the Stefan problem of solidification from a mixture, and its main numerical solution methods is given. Simulation of this problem in 2D or 3D is most practically done on a regular grid, where a sharp solid-liquid interface…
The Cahn-Hilliard/Allen-Cahn equation with noise is a simplified mean field model of stochastic microscopic dynamics associated with adsorption and desorption-spin flip mechanisms in the context of surface processes. For such an equation we…
We present a finite-element approximation for the one-sided Stefan problem and the one-sided Mullins--Sekerka problem, respectively. The problems feature a fully anisotropic Gibbs--Thomson law, as well as kinetic undercooling. Our…
A mathematical model for a one-phase change problem (particularly a Stefan problem) with a memory flux, is obtained. The hypothesis that the weighted sum of fluxes back in time is proportional to the gradient of temperature is considered.…
A subdiffusion problem in which the diffusion term is related to a stable stochastic process is introduced. Linear models of these systems have been studied in a general way, but non-linear models require a more specific analysis. The model…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
In this work, we introduce a new method to prove the existence and uniqueness of a variational solution to the stochastic nonlinear diffusion equation $dX(t)={\rm div} [\frac{\nabla X(t)}{|\nabla X(t)|}]dt+X(t)dW(t) in…
We develop a high-order energy method to prove asymptotic stability of flat steady surfaces for the Stefan problem with surface tension - also known as the Stefan problem with Gibbs-Thomson correction.