Vanishing of solutions of diffusion equation with convection and absorption.
Variational analysis for the Black and Scholes equation with stochastic volatility
We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...
Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...
Variational problems with free boundaries for the fractional Laplacian
We discuss properties (optimal regularity, nondegeneracy, smoothness of the free boundary etc.) of a variational interface problem involving the fractional Laplacian; due to the nonlocality of the Dirichlet problem, the task is nontrivial. This difficulty is bypassed by an extension formula, discovered by the first author and Silvestre, which reduces the study to that of a codimension 2 (degenerate) free boundary.
Volume Filling Effect in Modelling Chemotaxis
The oriented movement of biological cells or organisms in response to a chemical gradient is called chemotaxis. The most interesting situation related to self-organization phenomenon takes place when the cells detect and response to a chemical which is secreted by themselves. Since pioneering works of Patlak (1953) and Keller and Segel (1970) many particularized models have been proposed to describe the aggregation phase of this process. Most of...