Related papers: Chaos for generalized Black-Scholes equations
Black-Scholes implied volatility is a quantile. The insight follows from the normalized option price being a probability on the variance scale, with the inverse Gaussian distribution providing the link. It enables analytically exact and…
This paper explores the finite time explosion of the stochastic parabolic equation $\frac{\partial u}{\partial t}(t,x)=Au(t,x)+\sigma(u(t,x))\dot{W}(t,x)$ in arbitrary bounded spatial domain with a large class of space-time colored noise…
In this paper, we study generalized Schauder theory for the degenerate/singular parabolic equations of the form $$u_t = a^{i'j'}u_{i'j'} + 2 x_n^{\gamma/2} a^{i'n} u_{i'n} + x_n^{\gamma} a^{nn} u_{nn} + b^{i'} u_{i'} + x_n^{\gamma/2} b^n…
Considering a linear parabolic stochastic partial differential equation driven by impulsive space time noise, dX_t+AX_t dt= Q^{1/2}dZ_t, X_0=x_0\in H, t\in [0,T], we approximate the distribution of X_T. (Z_t)_{t\in[0,T]} is an impulsive…
We study the connection between many-body quantum chaos and energy dynamics for the holographic theory dual to the Kerr-AdS black hole. In particular, we determine a partial differential equation governing the angular profile of…
We study the two-dimensional stochastic nonlinear heat equation (SNLH) and stochastic damped nonlinear wave equation (SdNLW) with an exponential nonlinearity $\lambda\beta e^{\beta u }$, forced by an additive space-time white noise. We…
In this paper, we analyze an operator splitting scheme of the nonlinear heat equation in $\Omega\subset\mathbb{R}^d$ ($d\geq 1$): $\partial_t u = \Delta u + \lambda |u|^{p-1} u$ in $\Omega\times(0,\infty)$, $u=0$ in…
This paper concerns the null controllability for a class of stochastic degenerate parabolic equations. We first establish a global Carleman estimate for a linear forward stochastic degenerate equation with multiplicative noise. Using this…
Suppose one buys two very similar stocks and is curious about how much, after some time T, one of them will contribute to the overall asset, expecting, of course, that it should be around 1/2 of the sum. Here we examine this question within…
Considering a generalised action for Einstein Maxwell theory in four dimensions coupled to scalar and pseudo-scalar fields, the thermodynamic properties of asymptotically flat black holes solutions in such a background are investigated.…
We investigate existence of global in time solutions and blow-up of solutions to the semilinear heat equation posed on infinite graphs. The source term is a general function $f(u)$. We always assume that the infimum of the spectrum of the…
We introduce some families of generalized Black--Scholes equations which involve the Riemann-Liouville and Weyl space-fractional derivatives. We prove that these generalized Black--Scholes equations are well-posed in…
In the context of the generalized (off-shell) free energy, we explore the phase emergence and corresponding phase transitions of charged dilaton $\text{AdS}$ black holes in the gauged Kaluza-Klein (KK) theory where the KK vector field is…
We investigate the thermodynamics of a Schwarzschild black hole, surrounded by the quintessence energy-matter in the linear and quadratic generalized uncertainty principle framework. Considering the variance in the position to be of the…
We consider a rather general class of evolutionary PDEs involving dissipation (of possibly fractional order), which competes with quadratic nonlinearities on the regularity of the overall equation. This includes as prototype models,…
We obtain the asymptotics, as $t + |x| \rightarrow \infty$, of the fundamental solution to the heat equation with a compactly supported potential. It is assumed that the corresponding stationary operator has at least one positive…
In this paper, we consider fractional parabolic equation of the form $ \frac{\partial u}{\partial t}=-(-\Delta)^{\frac{\alpha}{2}}u+u\dot W(t,x)$, where $-(-\Delta)^{\frac{\alpha}{2}}$ with $\alpha\in(0,2]$ is a fractional Laplacian and…
We resolve a puzzle associated with the spherically-symmetric sector of the AdS$_4$ Einstein-Maxwell partition function with inverse temperature $\beta$. Since charge is quantized, the semiclassical limit of the partition function is…
We consider the Dirichlet problem for the energy-critical heat equation \begin{equation*} \begin{cases} u_t=\Delta u+u^5,~&\mbox{ in } \Omega \times \mathbb{R}^+,\\ u(x,t)=0,~&\mbox{ on } \partial \Omega \times \mathbb{R}^+,\\…
We give a review of the existence of Taub-NUT/bolt solutions in Einstein Gauss-Bonnet gravity with the parameter $\alpha $ in six dimensions. Although the spacetime with base space $S^{2}\times S^{2}$ has curvature singularity at $r=N$,…