Related papers: Chaos for generalized Black-Scholes equations

In this paper we prove local well-posedness in Orlicz spaces for the biharmonic heat equation $\partial_{t} u+ \Delta^2 u=f(u),\;t>0,\;x\in\R^N,$ with $f(u)\sim \mbox{e}^{u^2}$ for large $u.$ Under smallness condition on the initial data…

The following stochastic Cauchy initial-value problem is studied for the parabolic heat equation on a domain $ \mathbf{Q}\subset{\mathbf{R}}^{n}$ with random field initial data. \begin{align} &{\square}\widehat{u(x,t)} \equiv…

Let $p:C\to R$ be a subharmonic, nonharmonic polynomial and $\tau\in R$ a parameter. Define $\bar Z_{\tau p} = \partial_{\bar z} + \tau p_{\bar z} = e^{-\tau p} p_{\bar z} e^{\tau p}$, a closed, densely defined operator on $L^2(C)$. If…

Black holes are the fascinating objects in the universe. They represent extreme deformations in spacetime geometry. Here, we construct f(P) gravity and the first example of static-spherically symmetric black hole solution in f(P) gravity…

In this paper, we study the following stochastic heat equation \[ \partial_tu=\mathcal{L} u(t,x)+\dot{B},\quad u(0,x)=0,\quad 0\le t\le T,\quad x\in\mathbb{R}d, \] where $\mathcal{L}$ is the generator of a L\'evy process $X$ taking value in…

Generalization of the heat conduction equation is obtained by considering the system of equations consisting of the energy balance equation and fractional-order constitutive heat conduction law, assumed in the form of the distributed-order…

This thesis is focussed to study various aspects of black hole physics. Our approach is a semi-classical type, where the spacetime geometry of black holes is considered to be classical but the fields moving in the background are quantum in…

We consider the semilinear heat equation $$ u_t-\Delta u=|u|^{p-1}u,\ \ (t,x)\in\mathbb{R}^+\times\mathbb{R}^n. $$ The well-known difficulty with this problem is that the potential well method cannot be applied directly, due to the scaling…

We study heat equations $\partial_t u - \operatorname{div}(A\nabla u) = 0$ on bounded Lipschitz domains $\Omega$, where $-\operatorname{div}(A\nabla\,\cdot\,)$ is a second-order uniformly elliptic operator with generalised Robin boundary…

The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…

Consider a stochastic heat equation $\partial_t u = \kappa \partial^2_{xx}u+\sigma(u)\dot{w}$ for a space-time white noise $\dot{w}$ and a constant $\kappa>0$. Under some suitable conditions on the the initial function $u_0$ and $\sigma$,…

We consider non-linear time-fractional stochastic heat type equation $$\frac{\partial^\beta u}{\partial t^\beta}+\nu(-\Delta)^{\alpha/2} u=I^{1-\beta}_t \bigg[\int_{\mathbb{R}^d}\sigma(u(t,x),h) \stackrel{\cdot}{\tilde N }(t,x,h)\bigg]$$…

The purpose of this work is to provide an explicit construction of a strong Feller semigroup on the space of probability measures over the real line that additionally maps bounded measurable functions into Lipschitz continuous functions,…

This paper deals with the long term behavior of the solution to the nonlinear stochastic heat equation $\partial u /\partial t - \frac{1}{2}\Delta u = b(u)\dot{W}$, where $b$ is assumed to be a globally Lipschitz continuous function and the…

We use the theory of regularity structures to develop an It\^o formula for $u$, the solution of the one dimensional stochastic heat equation driven by space-time white noise with periodic boundary conditions. In particular for any smooth…

We study the following time-fractional heat equation: \begin{equation*} ^{C}\partial_{t}^{\alpha}u(t)+\mathscr{L}u(t)=0,\quad u(0)=u_0\in X, \quad t\in[0,T],\quad T>0,\quad 0<\alpha<1, \end{equation*} where $^{C}\partial_{t}^{\alpha}$ is…

In this paper, we study a nonlinear one spatial dimensional stochastic heat equations driven by Gaussian noise: $\frac{\partial u }{\partial t}=\frac{\partial^2 u }{\partial x^2}+\sigma(u )\dot{W} $, where $\dot{W} $ is white in time and…

We study the heat equation $\frac{\partial u}{\partial t}-\Delta u=0,\ u(x,0)=\omega (x),$ where $\Delta :=dd^{*}+d^{*}d$ is the Hodge laplacian and $u(\cdot ,t)$ and $\omega $ are $p$-differential forms in the complete Riemannian manifold…

We analyze a generalized version of the Black-Scholes equation depending on a parameter $a\!\in \!(-\infty,0)$. It satisfies the martingale condition and coincides with the Black-Scholes equation in the limit case $a\nearrow 0$. We show…

When $P$ is the fractional Laplacian $(-\Delta )^a$, $0<a<1$, or a pseudodifferential generalization thereof, the Dirichlet problem for the associated heat equation over a smooth set $\Omega \subset{\Bbb R}^n$:…