相关论文: An obstacle problem arising from American options …

In this paper we prove existence, uniqueness of weak solutions of the following nonlocal nonlinear logistic equation \begin{equation*} \begin{cases} (-\Delta)_p^s u_\lambda=\lambda u_\lambda^q - b(x)u_\lambda^r \quad \text{in} \;\Omega,\\…

We investigate the Optimal Obstacle Placement (OOP) problem under uncertainty, framed as the dual of the Optimal Traversal Path problem in the Stochastic Obstacle Scene paradigm. We consider both continuous domains, discretized for…

We prove the existence of half-entire parabolic solutions, asymptotic to a prescribed central configuration, for the equation \begin{equation*} \ddot{x} = \nabla U(x) + \nabla W(t,x), \qquad x \in \mathbb{R}^{d}, \end{equation*} where $d…

For $0<s<1$, we consider the Dirichlet problem for the fractional nonlocal Ornstein--Uhlenbeck equation $$\begin{cases} (-\Delta+x\cdot\nabla)^su=f&\hbox{in}~\Omega\\ u=0&\hbox{on}~\partial\Omega, \end{cases}$$ where $\Omega$ is a possibly…

We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…

We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process is locally H\"older continuous with exponent $\delta\in (0,…

We consider a singular parabolic equation of form \[ u_t = u_{xx} + \frac{\alpha}{2}(\mathrm{sgn}\,u_x)_x \] with periodic boundary conditions. Solutions to this kind of equations exhibit competition between smoothing due to one-dimensional…

We study a model for combustion on a boundary. Specifically, we study certain generalized solutions of the equation \[ (-\Delta)^s u = \chi_{\{u>c\}} \] for $0<s<1$ and an arbitrary constant $c$. Our main object of study is the free…

American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale…

This paper investigates the regularity of solutions and structural properties of the free boundary for a class of fourth-order elliptic problems with Neumann-type boundary conditions. The singular and degenerate elliptic operators studied…

This work is concerned with the probabilistic representation of solutions to the $p$-Laplace evolution equation $\frac{\partial u}{\partial t}={\rm div}(|\nabla u|^{p-2}\nabla u)$ in $(0,\infty)\times\mathbb{R}^d$, $u(0,x)=u_0(x),$…

We examine the fourth order problem $\Delta^2 u = \lambda f(u) $ in $ \Omega$ with $ \Delta u = u =0 $ on $ \partial \Omega$, where $ \lambda > 0$ is a parameter, $ \Omega$ is a bounded domain in $ R^N$ and where $f$ is one of the following…

In this manuscript we deal with existence/uniqueness and regularity issues of suitable weak solutions to nonlocal problems driven by fractional Laplace type operators. Different from previous researches, in our approach we consider gradient…

Option pricing models, essential in financial mathematics and risk management, have been extensively studied and recently advanced by AI methodologies. However, American option pricing remains challenging due to the complexity of…

In this paper, we investigate the nonlocal problem \begin{equation*}\left\lbrace \begin{aligned} &A_{s} u=(|x|^{-(n-2s)}\ast u^{2_{s}^{\sharp}-1-\epsilon})u^{2_{s}^{\sharp}-2-\epsilon} \quad\quad\hspace{3.5mm} \mbox{in}\hspace{2mm}\Omega,\\…

Let $D$ be a bounded $C^2$-domain. Consider the following Dirichlet initial-boundary problem of nonlocal operators with a drift: $$ \partial_t u={\mathscr L}^{(\alpha)}_\kappa u+b\cdot \nabla u+f\ \mathrm{in}\ \mathbb R_+\times D,\ \…

We study the regularity up to the boundary of solutions to the Neumann problem for the fractional Laplacian. We prove that if $u$ is a weak solution of $(-\Delta)^s u=f$ in $\Omega$, $\mathcal N_s u=0$ in $\Omega^c$, then $u$ is $C^\alpha$…

In this work we introduce the obstacle-mass constraint problem for a multidimensional scalar hyperbolic conservation law. We prove existence of an entropy solution to this problem by a penalization/viscosity method. The mass constraint…

This paper is concerned with the numerical solution of a class of variational inequalities of the second kind, involving the $p$-Laplacian operator. This kind of problems arise, for instance, in the mathematical modelling of non-Newtonian…

In this paper, we consider the following problem: \[ \begin{cases} -\nabla\cdot A(x,u,\nabla u) + H(x,u,\nabla u) = f(x), & x \in \Omega, u = 0, & x \in \partial \Omega, \end{cases} \] in a bounded open set \( \Omega \subset \mathbb{R}^N…