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Solving Free-boundary Problems with Applications in Finance

Author: Kumar Muthuraman
Publisher: Now Publishers Inc
ISBN: 1601981686
Category : Boundary value problems
Languages : en
Pages : 94

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Book Description
Outlines and explains a recent computational method that solves free boundary problems by reducing them into a sequence of fixed boundary problems which are relatively easy to solve numerically.

A Geometric Approach to Free Boundary Problems

Author: Luis A. Caffarelli
Publisher: American Mathematical Soc.
ISBN: 0821837842
Category : Boundary value problems
Languages : en
Pages : 282

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Book Description
We hope that the tools and ideas presented here will serve as a basis for the study of more complex phenomena and problems."--Jacket.

Free Boundary Problems

Author: Pierluigi Colli
Publisher: Birkhäuser
ISBN: 3034878931
Category : Mathematics
Languages : en
Pages : 342

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Book Description
Many phenomena of interest for applications are represented by differential equations which are defined in a domain whose boundary is a priori unknown, and is accordingly named a "free boundary". A further quantitative condition is then provided in order to exclude indeterminacy. Free boundary problems thus encompass a broad spectrum which is represented in this state-of-the-art volume by a variety of contributions of researchers in mathematics and applied fields like physics, biology and material sciences. Special emphasis has been reserved for mathematical modelling and for the formulation of new problems.

Optimal Stopping and Free-Boundary Problems

Author: Goran Peskir
Publisher: Springer Science & Business Media
ISBN: 3764373903
Category : Mathematics
Languages : en
Pages : 515

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Book Description
This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics.

Free Boundary Problems

Author: Darya Apushkinskaya
Publisher: Springer
ISBN: 3319970798
Category : Mathematics
Languages : en
Pages : 146

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Book Description
This book is concerned with several elliptic and parabolic obstacle-type problems with a focus on the cases where the free and fixed boundaries meet. The results presented complement those found in existing books in the subject, which mainly treat regularity properties away from the fixed boundary. The topics include optimal regularity, analysis of global solutions, tangential touch of the free and fixed boundaries, as well as Lipschitz- and $C^1$-regularity of the free boundary. Special attention is given to local versions of various monotonicity formulas. The intended audience includes research mathematicians and advanced graduate students interested in problems with free boundaries.

Free Boundary Problems

Author: Ioannis Athanasopoulos
Publisher: CRC Press
ISBN: 9781584880189
Category : Mathematics
Languages : en
Pages : 372

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Book Description
Free boundary problems arise in an enormous number of situations in nature and technology. They hold a strategic position in pure and applied sciences and thus have been the focus of considerable research over the last three decades. Free Boundary Problems: Theory and Applications presents the work and results of experts at the forefront of current research in mathematics, material sciences, chemical engineering, biology, and physics. It contains the plenary lectures and contributed papers of the 1997 International Interdisciplinary Congress proceedings held in Crete. The main topics addressed include free boundary problems in fluid and solid mechanics, combustion, the theory of filtration, and glaciology. Contributors also discuss material science modeling, recent mathematical developments, and numerical analysis advances within their presentations of more specific topics, such as singularities of interfaces, cusp cavitation and fracture, capillary fluid dynamics of film coating, dynamics of surface growth, phase transition kinetics, and phase field models. With the implications of free boundary problems so far reaching, it becomes important for researchers from all of these fields to stay abreast of new developments. Free Boundary Problems: Theory and Applications provides the opportunity to do just that, presenting recent advances from more than 50 researchers at the frontiers of science, mathematics, and technology.

Free Boundary Problems in PDEs and Particle Systems

Author: Gioia Carinci
Publisher: Springer
ISBN: 3319333704
Category : Mathematics
Languages : en
Pages : 110

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Book Description
In this volume a theory for models of transport in the presence of a free boundary is developed.Macroscopic laws of transport are described by PDE's. When the system is open, there are several mechanisms to couple the system with the external forces. Here a class of systems where the interaction with the exterior takes place in correspondence of a free boundary is considered. Both continuous and discrete models sharing the same structure are analysed. In Part I a free boundary problem related to the Stefan Problem is worked out in all details. For this model a new notion of relaxed solution is proposed for which global existence and uniqueness is proven. It is also shown that this is the hydrodynamic limit of the empirical mass density of the associated particle system. In Part II several other models are discussed. The expectation is that the results proved for the basic model extend to these other cases.All the models discussed in this volume have an interest in problems arising in several research fields such as heat conduction, queuing theory, propagation of fire, interface dynamics, population dynamics, evolution of biological systems with selection mechanisms.In general researchers interested in the relations between PDE’s and stochastic processes can find in this volume an extension of this correspondence to modern mathematical physics.

Regularity of Free Boundaries in Obstacle-Type Problems

Author: Arshak Petrosyan
Publisher: American Mathematical Soc.
ISBN: 0821887947
Category : Mathematics
Languages : en
Pages : 233

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Book Description
The regularity theory of free boundaries flourished during the late 1970s and early 1980s and had a major impact in several areas of mathematics, mathematical physics, and industrial mathematics, as well as in applications. Since then the theory continued to evolve. Numerous new ideas, techniques, and methods have been developed, and challenging new problems in applications have arisen. The main intention of the authors of this book is to give a coherent introduction to the study of the regularity properties of free boundaries for a particular type of problems, known as obstacle-type problems. The emphasis is on the methods developed in the past two decades. The topics include optimal regularity, nondegeneracy, rescalings and blowups, classification of global solutions, several types of monotonicity formulas, Lipschitz, $C^1$, as well as higher regularity of the free boundary, structure of the singular set, touch of the free and fixed boundaries, and more. The book is based on lecture notes for the courses and mini-courses given by the authors at various locations and should be accessible to advanced graduate students and researchers in analysis and partial differential equations.

Free and Moving Boundary Problems

Author: John Crank
Publisher: Oxford University Press, USA
ISBN:
Category : Mathematics
Languages : en
Pages : 438

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Book Description
Here is a wide-ranging, comprehensive account of the mathematical formulation of problems involving free boundaries as they occur in such diverse areas as hydrology, metallurgy, chemical engineering, soil science, molecular biology, materials science, and steel and glass production. Many newmethods of solution are discussed, including modern computer techniques which address multidimensional, multiphase practical problems.