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...

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...

We study a variational formulation for a Stefan problem in two adjoining bodies, when the heat conductivity of one of them becomes infinitely large. We study the «concentrated capacity» model arising in the limit, and we justify it by an asymptotic analysis, which is developed in the general framework of the abstract evolution equations of monotone type.

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.

In this paper, we consider a class of initial-boundary value problems for quasilinear PDEs, subject to the dynamic boundary conditions. Each initial-boundary problem is denoted by (S)${}_{\epsilon }$ with a nonnegative constant $\epsilon$, and for any $\epsilon \ge 0$, (S)${}_{\epsilon }$ can be regarded as a vectorial transmission system between the quasilinear equation in the spatial domain $\Omega$, and the parabolic equation on the boundary $\Gamma :=\partial \Omega$, having a sufficient smoothness. The objective of this study is to establish a mathematical method, which can...

We propose a virus dynamics model with reaction-diffusion and logistic growth terms, intracellular state-dependent delay and a general non-linear infection rate functional response. Classical solutions with Lipschitz in-time initial functions are investigated. This type of solutions is adequate to the discontinuous change of parameters due to, for example, drug administration. The Lyapunov functions approach is used to analyse stability of interior infection equilibria which describe the cases of...

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...

Several authors have found the characteristic mean value formula for temperatures over heat spheres. Those who derived a corresponding formula over heat balls have all chosen different mean values. In this paper we discuss an infinity of possible means over heat balls, and show that, in the wider context of subtemperatures, some are more desirable than others.

We study vortices for solutions of the perturbed Ginzburg–Landau equations $\Delta u+(u/{\epsilon }^2){\left(1-\right|u|}^2)=f_{\epsilon }$ where $f_{\epsilon }$ is estimated in $L^2$. We prove upper bounds for the Ginzburg–Landau energy in terms of $\parallel f_{\epsilon }{\parallel }_{L^2}$, and obtain lower bounds for $\parallel f_{\epsilon }{\parallel }_{L^2}$ in terms of the vortices when these form “unbalanced clusters” where ${\sum }_i{d}_i^2\ne {\left({\sum }_i{d}_i\right)}^2$. These results will serve in Part II of this paper to provide estimates on the energy-dissipation rates for solutions of the Ginzburg–Landau heat flow, which allow one to study various phenomena occurring in this flow, including...

We deduce from the first part of this paper [S1] estimates on the energy-dissipation rates for solutions of the Ginzburg–Landau heat flow, which allow us to study various phenomena occurring in this flow, including vortex collisions; they allow in particular extending the dynamical law of vortices past collision times.

We discuss the asymptotics of the parabolic Ginzburg-Landau equation in dimension $N\ge 2.$ Our only asumption on the initial datum is a natural energy bound. Compared to the case of “well-prepared” initial datum, this induces possible new energy modes which we analyze, and in particular their mutual interaction. The two dimensional case is qualitatively different and requires a separate treatment.