arXiv research

This is the content of the lectures given by the author at the winter school KAWA3 held at the University of Barcelona in 2012 from January 30 to February 3. The main goal was to give an account of viscosity techniques and to apply them to degenerate Complex Monge-Ampère equations following recent works of P. Eyssidieu…

Proves regularity for Brakke flow near stationary half-plane.

Proves existence and uniqueness of weak solutions for specific equations.

Paper studies viscosity solutions in unique Martinet spaces.

Study on PDEs in Heston model with unique solution and convergence proof.

Proves existence and uniqueness of viscosity solutions to complex Hessian equations on compact Hermitian manifolds.

Smooth solutions found for a specific type of Yamabe problem.

This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state constraint and possibly unbounded cost coefficients. The existence result is based on a novel comparison principle for…

The paper concerns singular solutions of nonlinear elliptic equations, which include removable singularities for viscosity solutions, a strengthening of the Hopf Lemma including parabolic equations, Strong maximum principle and Hopf Lemma for viscosity solutions including also parabolic equations.

Convex solutions to a specific equation are smooth when the phase is smooth enough.

We establish the estimates of modulus of continuity for viscosity solutions of nonlinear evolution equations on manifolds, extending previous work of B. Andrews and J. Clutterbuck for regular solutions on manifolds \cite{AC3} and the first author's recent work for viscosity solutions in Euclidean spaces \cite{me1}.

In this work we consider viscosity solutions to second order partial differential equations on Riemannian manifolds. We prove maximum principles for solutions to Dirichlet problem on a compact Riemannian manifold with boundary. Using a different method, we generalize maximum principles of Omori and Yau to a viscosity v…

Model predicts viscosity of multicomponent systems efficiently.

We develop an alternative approach to Degenerate complex Monge-Ampère equations on compact Kähler manifolds based on the concept of viscosity solutions and compare systematically viscosity concepts with pluripotential theoretic ones. We generalize to the Kähler case a theorem due to Dinew and Zhang in the projective ca…

Viscosity solutions are suitable notions in the study of nonlinear PDEs justified by estimates established via the maximum principle or the comparison principle. Here we prove that the isoperimetric profile functions of Riemannian manifolds with Ricci lower bound are viscosity super-solutions of some nonlinear differen…

In this paper, we investigate the moduli of continuity for viscosity solutions of a wide class of nonsingular quasilinear evolution equations and also for the level set mean curvature flow, which is an example of singular degenerate equations. We prove that the modulus of continuity is a viscosity subsolution of some o…

New proofs for curvature problems using a viscosity approach.

Global singularities propagate in magnetic mechanical systems on Riemannian manifolds.

We establish interior regularity for convex viscosity solutions of the special Lagrangian equation. Our result states that all such solutions are real analytic in the interior of the domain.

We apply ideas from viscosity theory to establish the existence of a unique global weak solution to the generalized Kahler-Ricci flow in the setting of commuting complex structures. Our results are restricted to the case of a smooth manifold with smooth background data. We discuss the possibility of extending these res…

Paper aims to minimize ruin probability in insurance companies using Sparre Andersen model.

Generic level sets in mean curvature flow are BV solutions.

Abstract: Survey on quadratic Hessian equations, their properties, and open problems.

We study viscosity solutions to complex hessian equations. In the local case, we consider $Ω$ a bounded domain in $\mathbb{C}^n,$ $β$ the standard Kähler form in $\mathcal{C}^n$ and $1\leq m\leq n.$ Under some suitable conditions on $F, g$, we prove that the equation $(dd^c \varphi)^m\wedgeβ^{n-m}=F(x,\varphi)β^n,\ \f=…

Let $X$ be a compact Kähler manifold and $θ$ a smooth closed $(1,1)$-real form representing a big cohomology class $α\in H^{1,1}(X,\R)$. The purpose of this note is to show, using pluripotential and viscosity techniques, that any $θ$-plurisubharmonic function $\f$ can be approximated from above by a decreasing sequence…

Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differential equation smoothing techniques, we prove that the super-replication price is the viscosity solution of a fully non-linear parabolic equatio…

Sharp Lipschitz bounds and gradient estimates for fully nonlinear parabolic equations.

New equations reveal viscosity from boundary measurements.

We observe that the comparison result of Barles-Biton-Ley for viscosity solutions of a class of nonlinear parabolic equations can be applied to a geometric fully nonlinear parabolic equation which arises from the graphic solutions for the Lagrangian mean curvature flow.

Proves smoothness and estimates for special Lagrangian solutions with semi-convexity.

Study values American passport options in an exponential Lévy model.

Study uses viscosity solutions to solve control problems involving measure-valued martingales.

We give a generalization of a theorem of Bôcher for the Laplace equation to a class of conformally invariant fully nonlinear degenerate elliptic equations. We also prove a Harnack inequality for locally Lipschitz viscosity solutions and a classification of continuous radially symmetric viscosity solutions.

We compare various notions of weak subsolutions to degenerate complex Monge-Amp{è}re flows, showing that they all coincide. This allows us to show that the viscosity solution coincides with the envelope of pluripotential subsolutions. Dedicated to Duong Hong Phong on the occasion of his 65th birthday.

Optimal dividend payout strategy found for Brownian risk model with ratcheting constraint.

In this paper, we study the valuation of American type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard (2001). We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation when the payoff function satisfies a Lipschitz condi…

In a recent paper the author introduced a new method based on viscosity techniques for producing minimal surfaces by minmax arguments. The present work corresponds to the regularity part of the method. Precisely we establish that any weakly conformal $W^{1,2}$ map from a riemann surface $S$ into a closed oriented sub-m…

We prove that the support of an $m$ dimensional rectifiable varifold with a uniform lower bound on the density and bounded generalized mean curvature can be covered $\mathscr{H}^{m}$ almost everywhere by a countable union of $m$ dimensional submanifolds of class $\mathcal{C}^{2}$. We obtain this result using the …

Study on Tukey depth in machine learning using Hamilton-Jacobi equations.

We present a viscosity approach to the min-max construction of closed geodesics on compact Riemannian manifolds of arbitrary dimension. We also construct counter-examples in dimension $1$ and $2$ to the $\varepsilon$-regularity in the convergence procedure. Furthermore, we prove the lower semi-continuity of the index o…

Smooths out complex shapes into simpler forms.

Defines weak geodesics on specific subsets of manifolds.

This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm to issue collateralized debt to increase its investment in productive assets resulting in a performance sensitive interest rate on debt. We f…

We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on semiconvexity arguments, we prove that the value function is a classical solution to …

We study the Kähler-Ricci flow on compact Kähler manifolds whose canonical bundle is big. We show that the normalized Kähler-Ricci flow has long time existence in the viscosity sense, is continuous in a Zariski open set, and converges to the unique singular Kähler-Einstein metric in the canonical class. The key ingredi…

Study investigates non-existence of bounded solutions on curved spaces.

This paper develops a novel numerical method for pricing American options in a two-asset jump-diffusion model.

New, shorter proofs for varifolds and flows with improved decay of flatness.