Related papers: Existence of maximal solutions for the financial s…
In this paper we identify the Fokker-Planck equation for (reflected) Sticky Brownian Motion as a Wasserstein gradient flow in the space of probability measures. The driving functional is the relative entropy with respect to a non-standard…
In a stochastic process, where noise is always present, the fluctuation-dissipation theorem (FDT) becomes one of the most important tools in statistical mechanics and, consequently, it appears everywhere. Its major utility is to provide a…
A general reaction-diffusion equation with spatiotemporal delay and homogeneous Dirichlet boundary condition is considered. The existence and stability of positive steady state solutions are proved via studying an equivalent…
We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and losing streaks that are common across financial markets but…
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…
We perform a detailed comparison between a Markov Switching Jump Diffusion Model and a Markov Switching {\alpha}-Stable Distribution Model with respect to the analysis of non-stationary data. We show that the jump diffusion model is…
We study a finite system of diffusions on the half-line, absorbed when they hit zero, with a correlation effect that is controlled by the proportion of the processes that have been absorbed. As the number of processes in the system becomes…
The present paper discusses the diffusion approximation of the linear Boltzmann equation in cases where the collision frequency is not uniformly large in the spatial domain. Our results apply for instance to the case of radiative transfer…
We use a powerful extension of the classical method of heat potentials, recently developed by the present author and his collaborators, to solve several significant problems of financial mathematics. We consider the following problems in…
We consider the interior Stefan problem under radial symmetry in two dimension. A water ball surrounded by ice undergoes melting or freezing. We construct a discrete family of global-in-time solutions, both melting and freezing scenarios.…
We study a space-fractional Stefan problem, where the non-local diffusion flux is modeled by the Caputo derivative. We obtain the unique existence of classical solution to this problem.
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
This work is devoted to the proof of the existence of a martingale solution for a complex version of the stochastic Stefan problem. This particular formulation incorporates two important features: a mushy region and turbulent transport…
We develop an information-theoretic formulation of stochastic dynamics in which the fundamental stochastic variable is the total action connecting spacetime points, rather than individual paths. By maximizing Shannon entropy over a joint…
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility…
We derive the optimal investment decision in a project where both demand and investment costs are stochastic processes, eventually subject to shocks. We extend the approach used in Dixit and Pindyck (1994), chapter 6.5, to deal with two…
We study the Blackstock equation which models the propagation of nonlinear sound waves through dissipative fluids. Global well-posedness of the model with homogeneous Dirichlet boundary conditions is shown for small initial data. To this…
A solution is developed for a convection-diffusion equation describing chemical transport with sorption, decay, and production. The problem is formulated in a finite domain where the appropriate conservation law yields Robin conditions at…
In this paper, we study the diffusion approximation for slow-fast stochastic differential equations with state-dependent switching, where the slow component $X^{\varepsilon}$ is the solution of a stochastic differential equation with…
We consider spatially extended conductance based neuronal models with noise described by a stochastic reaction diffusion equation with additive noise coupled to a control variable with multiplicative noise but no diffusion. We only assume a…