相关论文: Symmetry reduction and exact solutions of the non-…

The studied model was suggested to design a perfect hedging strategy for a large trader. In this case the implementation of a hedging strategy affects the price of the underlying security. The feedback-effect leads to a nonlinear version of…

We study entire bounded solutions to the equation $\Delta u - u + u^3 = 0$ in $\mathbb R^2$. Our approach is purely variational and is based on concentration arguments and symmetry considerations. This method allows us to construct in a…

The main object of our study is a four dimensional Lie algebra which describes the symmetry properties of a nonlinear Black-Scholes model. This model implements a feedback effect which is typical for an illiquid market. The structure of the…

We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large…

Let $\lambda^*>0$ denote the largest possible value of $\lambda$ such that \begin{align*} \left\{\begin{aligned} \Delta^2 u & = \la e^u && \text{in $B $} u &= \pd{u}{n} = 0 && \text{on $ \pa B $} \end{aligned} \right. \end{align*} has a…

We establish a relationship between an inverse optimization spectral problem for N-dimensional Schr\"odinger equation $ -\Delta \psi+q\psi=\lambda \psi $ and a solution of the nonlinear boundary value problem $-\Delta u+q_0 u=\lambda u-…

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 study the following zero-mass Schr{\"o}dinger-Poisson-Slater equation \[ - \Delta u + \left( \frac{1}{4 \pi | x |} \ast u^2 \right) u = f (| x |, u) \text{,} \qquad u \in \mathcal{D}^{1, 2} (\mathbb{R}^3) \text{} \] with nonlinearity…

We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.

We study inverse source problems associated to semilinear elliptic equations of the form \[ \Delta u(x)+a(x,u)=F(x), \] on a bounded domain $\Omega\subset \mathbb{R}^n$, $n\geq 2$. We show that it is possible to use nonlinearity to break…

In this paper we study symmetry reductions of a class of nonlinear fourth order partial differential equations \be u_{tt} = \left(\kappa u + \gamma u^2\right)_{xx} + u u_{xxxx} +\mu u_{xxtt}+\alpha u_x u_{xxx} + \beta u_{xx}^2, \ee where…

In this paper we study symmetry reductions and exact solutions of the shallow water wave (SWW) equation $$u_{xxxt} + \alpha u_x u_{xt} + \beta u_t u_{xx} - u_{xt} - u_{xx} = 0,\eqno(1)$$ where $\alpha$ and $\beta$ are arbitrary, nonzero,…

This paper deals with solutions to the equation \begin{equation*} -\Delta u = \lambda_+ \left(u^+\right)^{q-1} - \lambda_- \left(u^-\right)^{q-1} \quad \text{in $B_1$} \end{equation*} where $\lambda_+,\lambda_- > 0$, $q \in (0,1)$,…

We investigate symmetry properties of solutions to equations of the form $$ -\Delta u = \frac{a}{|x|^2} u + f(|x|, u)$$ in R^N for $N \geq 4$, with at most critical nonlinearities. By using geometric arguments, we prove that solutions with…

The present paper solves the problem of the group classification of the general Burgers' equation $u_t=f(x,u)u_x^2+g(x,u)u_{xx}$, where $f$ and $g$ are arbitrary smooth functions of the variable $x$ and $u$, by using Lie method. The paper…

Black-Scholes equation as one of the most celebrated mathematical models has an explicit analytical solution known as the Black-Scholes formula. Later variations of the equation, such as fractional or nonlinear Black-Scholes equations, do…

We analyse two classes of $(1+2)$ evolution equations which are of special interest in Financial Mathematics, namely the Two-dimensional Black-Scholes Equation and the equation for the Two-factor Commodities Problem. Our approach is that of…

Let $(N, g)$ be a complete noncompact Riemannian manifold with Ricci curvature bounded from below. In this paper, we study the gradient estimates of positive solutions to a class of nonlinear elliptic equations $$\Delta u(x)+a(x)u(x)\log…

We consider the ordinary differential equation $x^2 u'' = axu'+bu-c(u'-1)^2, x\in (0,x_0)$, with $a\in\mathbb{R}, b\in\mathbb{R}$, $c>0$ and the singular initial condition $u(0)=0$, which in financial economics describes optimal disposal of…

Using advanced classification techniques, we carry out the extended symmetry analysis of the class of generalized Burgers equations of the form $u_t+uu_x+f(t,x)u_{xx}=0$. This enhances all the previous results on symmetries of these…