Valuation of game options in jump-diffusion model and with applications to convertible bonds.
Variational convergence of nonlinear diffusion equations: applications to concentrated capacity problems with change of phase
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.