arXiv research

Maximal regularity for nonuniformly parabolic problems with normal degeneration.

We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.

Researchers solve optimal investment in Heston model with stochastic volatility.

In this work there is established an optimal existence and regularity theory for second order linear parabolic differential equations on a large class of noncompact Riemannian manifolds. Then it is shown that it provides a general unifying approach to problems with strong degeneracies in the interior or at the boundary…

The paper proves gradient estimates for nonlinear parabolic equations on smooth metric measure spaces.

Smooth solutions up to evolving free boundaries for degenerate equations.

Study proves existence of solutions for a specific type of parabolic equations.

Long time existence and uniqueness of solutions to the Yang-Mills heat equation is proven over a compact 3-manifold with smooth boundary. The initial data is taken to be a Lie algebra valued connection form in the Sobolev space $H_1$. Three kinds of boundary conditions are explored, Dirichlet type, Neumann type and Mar…

The paper develops a stability theorem for certain differential equations and applies it to free boundary problems.

Exponential rate of convergence for optimal mass transport solutions.

Estimates for Dirac solutions applied to a new elliptic-parabolic problem.

Develops deep learning methods for non-linear PDEs in credit risk.

Anisotropic obstacle problems and Stefan problem studied with evolving surfaces.

The paper explores new phenomena in boundaries of relatively hyperbolic groups.

New methods solve complex PDEs with mixed boundary conditions.

In 1993, Bartnik introduced a quasi-spherical construction of metrics of prescribed scalar curvature on 3-manifolds. Under quasi-spherical ansatz, the problem is converted into the initial value problem for a semi-linear parabolic equation of the lapse function. The original ansatz of Bartnik started with a background …

In this article we establish a local parabolic almost monotonicity formula for two phase free boundary problems on Riemannian manifolds, which is an extension of a work of Edquist-Petrosyan.

Extends parabolic study to flat hyperkähler manifolds.

Solves short-term solutions for complex nonlinear systems on manifolds.

The paper solves a class of nonlinear flows with boundary conditions, preserving convexity and proving long-term existence.

We consider a fully nonlinear parabolic equation with nonlinear Neumann type boundary condition, and show that the longtime existence and convergence of the flow. Finally we apply this study to the boundary value problem for minimal Lagrangian graphs.

Unified diffusive bounds for non-linear parabolic equations.

Solves pair trading problem using consumption-investment theory.

A $T$-Schottky group is a discrete group of Möbius transformations whose generators identify pairs of, possibly-tangent, Jordan curves on the complex sphere, ${\hat{\IC}}$. If the curves are Euclidean circles then the group is termed classical $T$-Schottky. We describe the boundary of the space of classical $T$-Schottk…

This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and on the investigation of differential and certain qualitative properties of solutions of such equations. The generalized solvability for such …

We present some new ideas to derive {\em a priori} second order estiamtes for a wide class of fully nonlinear parabolic equations. Our methods, which produce new existence results for the initial-boundary value problems in $\bfR^n$, are powerful enough to work in general Riemannian manifolds.

The paper proves formulas for solving certain types of stochastic problems.

The moving coframe method is applied to solve the local equivalence problem for the class of linear parabolic equations in two independent variables under an action of the pseudo-group of contact transformations. The structure equations and the complete sets of differential invariants for symmetry groups are found. The…

This paper studies the parabolic free boundary problem arising from pricing American-style put options on an asset whose index follows a geometric Brownian motion process. The contribution is to propose a condition for that the early exercise boundary is a convex function.

In this paper, we establish a general monotonicity formula of the following elliptic system $$ Δu_i+f_i(u_1,...,u_m)=0 \quad {\rm in} Ω, \label{0.1} $$ where $Ω\subset\subset \mathbb{R}^n$ is a bounded domain, $(f_i(u_1,...,u_m))=\nabla F(\vec{u})$, and $F(\vec{u})$ is a given smooth function of $\vec{u}=(u_1,...,u_m)$…

We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the market parameters, but rather use historical stock prices. For a non-linear problem with a general performance criterion, th…

New boundary condition for weak inverse mean curvature flow in bounded domains.

Study deep neural nets for solving complex insurance equations.

In this short note we extend Chow and Lu's advanced maximum principles for parabolic systems on closed manifolds to the case of compact manifolds with boundary, which also generalizes a Hopf type theorem of Pulemotov.

We describe a simple fundamental domain for the holonomy group of the boundary unipotent spherical CR uniformization of the figure eight knot complement, and deduce that small deformations of that holonomy group (such that the boundary holonomy remains parabolic) also give a uniformization of the figure eight knot comp…

The purpose of this survey chapter is to present a transformation technique that can be used in analysis and numerical computation of the early exercise boundary for an American style of vanilla options that can be modelled by class of generalized Black-Scholes equations. We analyze qualitatively and quantitatively the…

In this note we discuss the behavior of the Gromov boundaries and limit sets for the surface subgroups of the mapping class group with accidental parabolics constructed by the author and A. Reid in earlier work. Specifically, we show that generically there are no Cannon--Thurston maps from the Gromov boundary to Thurst…

The paper defines function spaces on manifolds with bounded or singular geometries.

Second part of a study on heat equations on special manifolds, focusing on parametrix construction.

In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying asset prices over some predetermined time interval. The mathematical model for the …

Study curves evolving on hypersurfaces with free boundaries, preserving length.

Non-uniqueness found in option valuation for certain α values.

We establish parabolicity and quadratic area growth for minimal surfaces-with-boundary contained in regions of R^3 which are within a sub-logarithmic factor of the exterior of a cone. Unlike previous work showing that these two properties hold for minimal surfaces-with-boundary contained between two catenoids, we do no…

The first part of the paper discusses a second-order quasilinear parabolic equation in a vector bundle over a compact manifold $M$ with boundary $\partial M$. We establish a short-time existence theorem for this equation. The second part of the paper is devoted to the investigation of the Ricci flow on $M$. We propose …

New method for creating metrics in complex geometries.

Groups' boundary actions are stable under small perturbations.

We consider a system of three surfaces, graphs over a bounded domain in ${\mathbb R}^2$, intersecting along a time-dependent curve and moving by mean curvature while preserving the pairwise angles at the curve of intersection (equal to $2π/3$.) For the corresponding two-dimensional parabolic free boundary problem we pr…

Study of rank 2 Kleinian groups with specific parabolic elements.