Related papers: Chaos for generalized Black-Scholes equations

In this paper we study the boundary behavior of solutions of a divergence-form subelliptic heat equation in a time-varying domain \Omega in R^{n+1}, structured on a set of vector fields X = (X_1, ... X_m) with smooth coefficients satisfying…

We consider nonnegative solutions of the quasilinear heat equation $\partial_t u = \tfrac{1}{2} u \partial_x^2 u$ in one dimension. Our solutions may vanish and may be unbounded. The equation is then degenerate, and weak solutions are…

The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is described by the Black-Scholes formula, one of the most…

We consider the solution of $\partial_t u=\partial_x^2 u+\partial_x\partial_t B,\,(x,t)\in R\times(0,\infty)$, subject to $u(x,0)=0,\,x\in R$, where $B$ is a Brownian sheet. We show that $u$ also satisfies $\partial_x^2 u…

The standard problem for the classical heat equation posed in a bounded domain $\Omega$ of $\mathbb R^n$ is the initial and boundary value problem. If the Laplace operator is replaced by a version of the fractional Laplacian, the initial…

The main purpose of this article is to give a general overview and understanding of the first widely used option-pricing model, the Black-Scholes model. The history and context are presented, with the usefulness and implications in the…

Let $\Omega\subset\mathbb R^N$ be a bounded open set with Lipschitz continuous boundary $\Gamma$. Let $\gamma>0$, $\delta\ge 0$ be real numbers and $\beta$ a nonnegative measurable function in $L^\infty(\Gamma)$. Using some suitable…

We give a multimensional version of the p-adic heat equation, and show that its fundamental solution is the transition density of a Markov process.

We study the partial Gelfand-Shilov regularizing effect and the exponential decay for the solutions to evolution equations associated to a class of accretive non-selfadjoint quadratic operators, which fail to be globally hypoelliptic on the…

We present a new connection between the classical theory of full and truncated moment problems and the theory of partial differential equations, as follows. For the classical heat equation $\partial_t u = \nu \Delta u$, with initial data…

We consider the stochastic fractional heat equation $\partial_{t}u=\triangle^{\alpha/2}u+\lambda\sigma(u)\dot{w}$ on $[0,L]$ with Dirichlet boundary conditions, where $\dot{w}$ denotes the space-time white noise. For any $\lambda>0$, we…

We consider the stochastic heat equation with multiplicative white noise: $\partial_t u =\partial_x^2u + b(u) +\sigma(u) \dot W$, both on $[0,1]$ and $\mathbf{R}$. In the case of $[0,1]$ we show that the finite Osgood criterion on $b$ is a…

This paper is concerned with the blowup phenomenon of stochastic parabolic equations both on bounded domain and in the whole space. We introduce a new method to study the blowup phenomenon on bounded domain. Comparing with the existing…

In this work, we discuss the generalized Einstein-Maxwell-Dilaton gravity theory with a nonminimal coupling between the Maxwell field and scalar field. Considering different geometric properties of black hole horizon structure, the charged…

A new class of fractional-order stochastic evolution equations of the form $(\partial_t + A)^\gamma X(t) = \dot{W}^Q(t)$, $t\in[0,T]$, $\gamma \in (0,\infty)$, is introduced, where $-A$ generates a $C_0$-semigroup on a separable Hilbert…

In this paper, we consider the semilinear heat equations under Dirichlet boundary condition \[ u_{t}\left(x,t\right)=\Delta u\left(x,t\right)+f(u(x,t)), & \left(x,t\right)\in \Omega\times\left(0,+\infty\right), u\left(x,t\right)=0, &…

For the fundamental solutions of heat-type equations of order $n$ we give a general stochastic representation in terms of damped oscillations with generalized gamma distributed parameters. By composing the pseudo-process $X_n$ related to…

The thermodynamics for regular black holes (RBHs) is considered under the restricted phase space (RPS) formalism. It is shown that the RPS formalism seems to hold for RBHs, however, in order for the extensive thermodynamic parameters to be…

Some solutions for one class of nonlinear fourth-order partial differential equations \[u_{tt} = ({\kappa u + \gamma u^2})_{xx} + \nu uu_{xxxx} + \mu u_{xxtt} + \alpha u_x u_{xxx} + \beta u_{xx}^2 \] where $\alpha ,\;\beta ,\;\gamma ,\;\mu…

Let $u(t, x) = (u_1(t, x), \dots, u_d(t, x))$ be the solution to the systems of nonlinear stochastic heat equations \[ \begin{split} \frac{\partial}{\partial t} u(t, x) &= \frac{\partial^2}{\partial x^2} u(t, x) + \sigma(u(t, x)) \dot{W}(t,…