Related papers: Chaos for generalized Black-Scholes equations
We propose a novel Black-Scholes model under which the stock price processes are modeled by stochastic differential equations driven by sub-diffusions. The new framework can capture the less financial activity phenomenon during the bear…
We study the paralinearised weakly dispersive Burgers type equation: $$\partial_t u+T_u \partial_xu+\partial_x |D|^{\alpha-1}u=0,\ \alpha \in ]1,2[,$$ which contains the main non linear "worst interaction" terms, that is low-high…
We construct an analytic model of static semiclassical backreaction for a Schwarzschild black hole in the Hartle--Hawking state enclosed within a finite spherical cavity. Using a minimal renormalized stress--energy tensor consistent with…
We investigate a weak space-time formulation of the heat equation and its use for the construction of a numerical scheme. The formulation is based on a known weak space-time formulation, with the difference that a pointwise component of the…
This paper is devoted to the one-dimensional heat equation and the non-linear ordinary differential equations associated to it. We consider homogeneous polynomial dynamical systems in the n-dimensional space, n = 0, 1, 2, .... For any such…
In this work, a boundary control problem for the following generalized Burgers-Huxley (GBH) equation: $$u_t=\nu u_{xx}-\alpha u^{\delta}u_x+\beta u(1-u^{\delta})(u^{\delta}-\gamma), $$ where $\nu,\alpha,\beta>0,$ $1\leq\delta<\infty$,…
We obtain Strichartz estimates for the fractional heat equations by using both the abstract Strichartz estimates of Keel-Tao and the Hardy-Littlewood-Sobolev inequality. We also prove an endpoint homogeneous Strichartz estimate via…
In this paper, we investigate the non-linear Black--Scholes equation: $$u_t+ax^2u_{xx}+bx^3u_{xx}^2+c(xu_x-u)=0,\quad a,b>0,\ c\geq0.$$ and show that the one can be reduced to the equation $$u_t+(u_{xx}+u_x)^2=0$$ by an appropriate point…
In this paper, we consider the asymptotic behavior of the nonlocal parabolic problem \[ u_{t}=\Delta u+\displaystyle\frac{\lambda f(u)}{\big(\int_{\Omega}f(u)dx\big)^{p}}, x\in \Omega, t>0, \] with homogeneous Dirichlet boundary condition,…
We construct a new class of asymptotically (a)dS black hole solutions of Einstein-Yang-Mills massive gravity in the presence of Born-Infeld nonlinear electrodynamics. The obtained solutions possess a Coulomb electric charge, massive term…
We have derived a new Generalised Uncertainty Principle (GUP) based on certain general assumptions. This GUP is consistent with predictions from string theory. It is then used to study Schwarzschild black hole thermodynamics. Corrections to…
In the paper, we show a global Carleman estimate for the non-local heat equation. To be more precise, let $\Omega\subset\RR^d$ be a bounded domain and $\CO\subset\Omega$ an open subdomain, $s\in(0,1)$. We show that there exist constants…
The parabolic Anderson problem is the Cauchy problem for the heat equation $\partial_t u(t,z)=\Delta u(t,z)+\xi(z) u(t,z)$ on $(0,\infty)\times {\mathbb Z}^d$ with random potential $(\xi(z) \colon z\in {\mathbb Z}^d)$. We consider…
Although the fundamental equations of ordinary thermodynamic systems are known to correspond to first-degree homogeneous functions, in the case of non-ordinary systems like black holes the corresponding fundamental equations are not…
A distribution on the real line has a continuous primitive integral if it is the distributional derivative of a function that is continuous on the extended real line. The space of distributions integrable in this sense is a Banach space…
We study inhomogeneous heat equation with inverse square potential, namely, \[\partial_tu + \mathcal{L}_a u= \pm |\cdot|^{-b} |u|^{\alpha}u,\] where $\mathcal{L}_a=-\Delta + a |x|^{-2}.$ We establish some fixed-time decay estimate for…
In this paper we construct pseudo random walks (symmetric and asymmetric) which converge in law to compositions of pseudoprocesses stopped at stable subordinators. We find the higher-order space-fractional heat-type equations whose…
The semi-classical derivation of Hawking radiation for axially symmetric, stationary spacetimes with a Killing horizon is examined following the recent quasi-classical tunneling analysis and a simple formula is found for the inverse Hawking…
Polymer quantization is a non-standard representation of the quantum mechanics that inspired by loop quantum gravity. To study the associated statistical mechanics, one needs to find microstates' energies which are eigenvalues of the…
We consider a Cauchy problem for a fractional anisotropic parabolic equation in anisotropic H\"{o}lder spaces. The equation generalizes the heat equation to the case of fractional power of the Laplace operator and the power of this operator…