相关论文: On a free boundary problem for an American put opt…
In this paper, we propose an iterative splitting method to solve the partial differential equations in option pricing problems. We focus on the Heston stochastic volatility model and the derived two-dimensional partial differential equation…
We study the free boundary Euler equations with surface tension in three spatial dimensions, showing that the equations are well-posed if the coefficient of surface tension is positive. Then we prove that under natural assumptions, the…
We study the obstacle problem for integro-differential operators of order $2s$, with $s\in (0,1)$. Our main result establishes that the free boundary is $C^{1,\gamma}$ and $u\in C^{1,s}$ near all regular points. Namely, we prove the…
We consider a quasilinear equation given in the half-space, i.e. a so called boundary reaction problem. Our concerns are a geometric Poincar\'e inequality and, as a byproduct of this inequality, a result on the symmetry of low-dimensional…
We consider the optimal control of singular nonlinear partial differential equation which is the distributional formulation of the multiphase Stefan type free boundary problem for the general second order parabolic equation. Boundary heat…
In this paper we examine the problem of valuing an exotic derivative known as the American passport option where the underlying is driven by a L\'evy process. The passport option is a call option on a trading account. We derive the pricing…
We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial…
This paper is devoted to the study of the large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions. This work is the sequel of [13] in which a probabilistic method was developped to show that the…
We study initial boundary value problems for linear scalar partial differential equations with constant coefficients, with spatial derivatives of {\em arbitrary order}, posed on the domain $\{t>0, 0<x<L\}$. We first show that by analysing…
We consider a nonlinear version of the Yamabe problem on locally conformally flat compact manifolds with boundary. The main technique we used is to derive boundary $C^2$ estimates directly from boundary $C^0$ estimates. In particular, the…
We study the asymptotics for large time of solutions to a one dimensional parabolic evolution equation with non-standard measure-valued right hand side, that involves derivatives of the solution computed at a free boundary point. The…
A free boundary value problem related to the genesis of multispecies granular biofilms is presented. The granular biofilm is modelled as a spherical free boundary domain with radial symmetry. The proposed model is conceived in the framework…
We study the regularity of the free boundary in one-phase Stefan problem with nonlinear operator. Using the Hodograph transform and a linearization technique, we prove that flat free boundaries are $C^{1, \alpha}$ in space and time. When…
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown.…
We study self-similar solutions of a multi-phase Stefan problem, first in the case of one space variable, and then in the radial multidimensional case. In both these cases we prove that a nonlinear algebraic system for determination of the…
In this paper we focus the attention on free boundary problems ruled by partial differential equations with nonstandard growth, presenting in particular some recent results. The interest in these problems stems from the diverse applications…
We propose a numerical method to approximate viscosity solutions of fully nonlinear free transmission problems. The method discretises a two-layer regularisation of a PDE, involving a functional and a vanishing parameter. The former is…
We establish the existence of positive solutions to a general class of overdetermined semilinear elliptic boundary problems on suitable bounded open sets $\Omega\subset\mathbb{R}^n$. Specifically, for $n\leq 4$ and under mild technical…
American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties --volatility and…
We develop a new variational formulation of the inverse Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundary. We employ optimal control framework,…