Related papers: A boundary point lemma for Black-Scholes type oper…
In this paper we consider the stability and convergence of numerical discretizations of the Black-Scholes partial differential equation (PDE) when complemented with the popular linear boundary condition. This condition states that the…
We investigate nonregular elliptic problems with boundary conditions of higher orders. We prove that these problems are Fredholm on appropriate pairs of inner product H\"ormander spaces that form a two-sided refined Sobolev scale. We also…
The paper proposes a different method of solving a simplified version of the Black-Scholes equation. This paper will discuss the importance of the Black-Scholes equation and its applications in finance.
In this paper is investigated the pricing problem of options on bonds with credit risk based on analysis on two kinds of solving problems for the Black-Scholes equations. First, a solution representation of the Black-Scholes equation with…
We analyze strict positivity at the boundary for nonnegative solutions of Robin problems in general (non-smooth) domains, e.g. open sets with rectifiable topological boundaries having finite Hausdorff measure. This question was raised by…
The purpose of this paper is to analyze and compute the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility which can be a function of the second derivative of the option price itself. A…
We establish a new algebraic characterization of sectional curvature bounds $\sec\geq k$ and $\sec\leq k$ using only curvature terms in the Weitzenb\"ock formulae for symmetric $p$-tensors. By introducing a symmetric analogue of the…
We develop a functional model for operators arising in the study of boundary-value problems of materials science and mathematical physics. We then provide explicit formulae for the resolvents of the associated extensions of symmetric…
In this work, we study the Brinkman-Forchheimer equations driven under slip boundary conditions of friction type. We prove the existence and uniqueness of weak solutions by means of regularization combined with the Faedo-Galerkin approach.…
We describe a new Maple package for treating boundary problems for linear ordinary differential equations, allowing two-/multipoint as well as Stieltjes boundary conditions. For expressing differential operators, boundary conditions, and…
In this paper, we study the boundary regularity for viscosity solutions of fully nonlinear elliptic equations. We use a unified, simple method to prove that if the domain $\Omega$ satisfies the exterior $C^{1,\mathrm{Dini}}$ condition at…
We investigate quantitative properties of nonnegative solutions $u(x)\ge 0$ to the semilinear diffusion equation $\mathcal{L} u= f(u)$, posed in a bounded domain $\Omega\subset {\mathbb R}^N$ with appropriate homogeneous Dirichlet or outer…
Fractional-order elliptic problems are investigated in case of inhomogeneous Dirichlet boundary data. The boundary integral form is proposed as a suitable mathematical model. The corresponding theory is completed by sharpening the mapping…
We survey some recent regularity results for fractional p-Laplacian elliptic equations, especially focusing on pure and weighted boundary H\"older continuity of the solutions of related Dirichlet problems. Then, we present some applications…
In this paper, we studied the sufficient conditions for the existence of positive solutions to the boundary value problems of Caputo fractional difference equations depending on parameters with non local boundary conditions. We construct…
In this work, we consider the following elliptic partial differential equations: \begin{equation*} \left\{ \begin{aligned}{} - b_{ij} \; \frac{\partial^{2} w}{\partial x_{i} \partial x_{j}} &= g \;\;\; \text{in} \;\; \Omega, w &= 0…
We prove partial regularity of suitable weak solutions to the Navier--Stokes equations at the boundary in irregular domains. In particular, we provide a criterion which yields continuity of the velocity field in a boundary point and obtain…
This paper is devoted to study the existence of a solution to Hilfer fractional differential equation with nonlocal boundary condition. We use the equivalent integral equation to study the considered Hilfer differential problem with…
Elliptic estimates in Hardy classes are proved on domains with minimally smooth boundary. The methodology is different from the original methods of Chang/Krantz/Stein.
We study regularity properties of solutions to operator equations on patchwise smooth manifolds $\partial\Omega$ such as, e.g., boundaries of polyhedral domains $\Omega \subset \mathbb{R}^3$. Using suitable biorthogonal wavelet bases…