Related papers: Some PDE results in Heston model with applications
In this paper we establish H\"older continuity estimates for viscosity solutions to first order Hamilton-Jacobi equations linked to linear control systems satisfying the Kalman rank condition. Our model Hamiltonians are non-convex in the…
The classical Feynman-Kac identity represents solutions of linear partial differential equations in terms of stochastic differential euqations. This representation has been generalized to nonlinear partial differential equations on the one…
We extend the theory of viscosity solutions to treat scalar-valued doubly-nonlinear evolution equations. Such equations arise naturally in many mechanical models including a dry friction. After providing a suitable definition for…
We study the asymptotic behavior of solution of semi-linear PDEs. Neither periodicity nor ergodicity will be assumed. In return, we assume that the coefficients admit a limit in \`{C}esaro sense. In such a case, the averaged coefficients…
Assuming that initial velocity has finite energy and initial vorticity is bounded in the plane, we show that for any finite time interval the unique solutions of the Navier-Stokes equations converge uniformly to the unique solution of the…
We are concerned with the hyperbolic Keller-Segel model with quorum sensing, a model describing the collective cell movement due to chemical signalling with a flux limitation for high cell densities. This is a first order quasilinear…
We consider the continuous version of the Vicsek model with noise, proposed as a model for collective behavior of individuals with a fixed speed. We rigorously derive the kinetic mean-field partial differential equation satisfied when the…
We consider the classical initial and boundary value problem for the Cahn--Hilliard equation with non-degenerate mobility and singular (e.g., logarithmic) potential. We prove that any weak solution converges to a single equilibrium using…
We describe a method to show short time uniqueness results for viscosity solutions of general nonlocal and non-monotone second-order geometric equations arising in front propagation problems. Our method is based on some lower gradient…
We establish the existence of solutions to common noise McKean-Vlasov martingale problems for coefficients with low regularity. Our approach is able to handle the key challenge posed by drift coefficients that are discontinuous with respect…
We present the idea of intertwining of two diffusions by Feynman-Kac operators. We present some variations and implications of the method and give examples of its applications. Among others, it turns out to be a very useful tool for finding…
We obtain new quantitative estimates of the vanishing viscosity approximation for time-dependent, degenerate, Hamilton-Jacobi equations that are neither concave nor convex in the gradient and Hessian entries of the form $\partial_t…
This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large…
In this paper we prove an approximation result for the viscosity solution of a system of semi-linear partial differential equations with continuous coefficients and nonlinear Neumann boundary condition. The approximation we use is based on…
For scalar fully nonlinear partial differential equations depending on the Hessian andspatial coordinates, we present a general theory for obtaining comparison principles and well posedness for the associated Dirichlet problem with…
We prove the uniqueness of the viscosity solution to the Hamilton-Jacobi equation associated with a Bolza problem of the Calculus of Variations, assuming that the Lagrangian is autonomous, continuous, superlinear, and satisfies the usual…
We are concerned with the existence and uniqueness of solutions with only bounded density for the barotropic compressible Navier-Stokes equations. Assuming that the initial velocity has slightly sub-critical regularity and that the initial…
In this work, we study a phase transition model in atmospheric dynamics, inspired by the works [6,14,15], which analyze the primitive equations governing the evolution of velocity, temperature, and specific humidity. The main difficulty…
In this article, we adapt the definition of viscosity solutions to the obstacle problem for fully nonlinear path-dependent PDEs with data uniformly continuous in $(t,\omega)$, and generator Lipschitz continuous in $(y,z,\gamma)$. We prove…
The Fokker-Planck equation (FPE) is the partial differential equation that governs the density evolution of the It\^o process and is of great importance to the literature of statistical physics and machine learning. The FPE can be regarded…