On the Global-in-Time Existence of a Generalized Solution to a Free-Boundary Problem

A problem with free (unknown) boundary for a one-dimensional diffusion-convection equation is considered. The unknown boundary is found from an additional condition on the free boundary. By the extension of the variables, the problem in an unknown domain is reduced to an initial boundary-value problem for a strictly parabolic equation with unknown coefficients in a known domain. These coefficients are found from an additional boundary condition that enables the construction of a nonlinear operator whose fixed points determine a solution of the original problem.

     

Numerical solution of the Falkner-Skan equation based on quasilinearization

We present two iterative methods for solving the Falkner-Skan equation based on the quasilinearization method. We formulate the original problem as a new free boundary value problem. The truncated boundary depending on a small parameter is an unknown free boundary and has to be determined as part of solution. Using a change of variables, the free boundary value problem is transformed to a problem defined on [0, 1]. We apply the quasilinearization method to solve the resulting nonlinear problem. Then we propose two different iterative algorithms by means of a cubic spline solver. Numerical results for various instances are compared with those reported previously in the literature. The comparisons show the accuracy, robustness and efficiency of the presented methodology.     

Singular limit of a competition–diffusion system with large interspecific interaction

We consider a competition–diffusion system for two competing species; the density of the first species satisfies a parabolic equation together with an inhomogeneous Dirichlet boundary condition whereas the second one either satisfies a parabolic equation with a homogeneous Neumann boundary condition, or an ordinary differential equation. Under the situation where the two species spatially segregate as the interspecific competition rate becomes large, we show that the resulting limit problem turns out to be a free boundary problem. We focus on the singular limit of the interspecific reaction term, which involves a measure located on the free boundary.     

Monotonicity in a stefan problem for the heat equation

A theorem on differential inequalities related to a simple parabolic free boundary value problem is presented. The result can be used for the construction of pointwise upper and lower bounds of the free boundary curve.     

Classical Solutions for a Nonlinear Fokker-Planck Equation Arising in Computational Neuroscience

In this paper we analyze the global existence of classical solutions to the initial boundary-value problem for a nonlinear parabolic equation describing the collective behavior of an ensemble of neurons. These equations were obtained as a diffusive approximation of the mean-field limit of a stochastic differential equation system. The resulting nonlocal Fokker-Planck equation presents a nonlinearity in the coefficients depending on the probability flux through the boundary. We show by an appropriate change of variables that this parabolic equation with nonlinear boundary conditions can be transformed into a non standard Stefan-like free boundary problem with a Dirac-delta source term. We prove that there are global classical solutions for inhibitory neural networks, while for excitatory networks we give local well-posedness of classical solutions together with a blow up criterium. Surprisingly, we will show that the spectrum for the operator in the linear case, that corresponding to a system of uncoupled networks, does not give any information about the large time asymptotic behavior.     

Spectral Method for the Black-Scholes Model of American Options Valuation

In this paper, we devote ourselves to the research of numerical methods for American option pricing problems under the Black-Scholes model. The optimal exercise boundary which satisfies a nonlinear Volterra integral equation is resolved by a high-order collocation method based on graded meshes. For the other spatial domain boundary, an artificial boundary condition is applied to the pricing problem for the effective truncation of the semi-infinite domain. Then, the front-fixing and stretching transformations are employed to change the truncated problem in an irregular domain into a one-dimensional parabolic problem in [−1,1]. The Chebyshev spectral method coupled with fourth-order Runge-Kutta method is proposed for the resulting parabolic problem related to the options. The stability of the semi-discrete numerical method is established for the parabolic problem transformed from the original model. Numerical experiments are conducted to verify the performance of the proposed methods and compare them with some existing methods.     

A discrete finite element galerkin method for a unidimensional single-phase Stefan problem

Based on Landau-type transformation, a Stefan problem with nonlinear free boundary condition is transformed into a system consisting of parabolic equation and the ordinary differential equations. Semidiscrete approximations are constructed. Optimal orders of convergence of semidiscrete approximation inL ₂,H ¹ andH ² normed spaces are derived.     

Approximations for the values of american options

The solution of the American option valuation problem is the solution of a parabolic partial differential equation satisfying free boundary conditions. The free boundary represents the critical price, at which the option should be exercised. In this paper the free boundary is determined by an algebraic relation and an approximate solution derived. A suitable modification of the approximate solution gives the exact solution. The uniqueness of the free boundary implies the expression determined by the algebraic relation is the true critical price     

On Stokes flow with variable and degenerate surface tension coefficient

Short-time existence, uniqueness, and regularity results are shown for the moving boundary problem of a free drop of liquid governed by the Stokes equations and driven by surface tension. The value of the surface tension coefficient is variable, not necessarily strictly positive, and transported with the flow on the moving surface.By a perturbation of identity approach, the problem is transformed into a nonlinear, nonlocal first order degenerate parabolic evolution equation on a fixed reference manifold. Its solvability is proved by deriving a priori estimates and using Galerkin approximations.     

An adaptive algorithm for the Thomas–Fermi equation

A free boundary value problem is introduced to approximate the original Thomas–Fermi equation. The unknown truncated free boundary is determined iteratively. We transform the free boundary value problem to a nonlinear boundary value problem defined on [0,1]. We present an adaptive algorithm to solve the problem by means of the moving mesh finite element method. Comparison of our numerical results with those obtained by other approaches shows high accuracy of our method.     

On the uniqueness of a solution of a two-phase free boundary problem

In this paper, we study the uniqueness problem of a two-phase elliptic free boundary problem arising from the phase transition problem subject to given boundary data. We show that in general the comparison principle between the sub- and super-solutions does not hold, and there is no uniqueness of either a viscosity solution or a minimizer of this free boundary problem by constructing counter-examples in various cases in any dimension. In one-dimension, a bifurcation phenomenon presents and the uniqueness problem has been completely analyzed. In fact, the critical case signifies the change from uniqueness to non-uniqueness of a solution of the free boundary problem. Non-uniqueness of a solution of the free boundary problem suggests different physical stationary states caused by different processes, such as melting of ice or solidification of water, even with the same prescribed boundary data. However, we prove that a uniqueness theorem is true for the initial-boundary value problem of an ε-evolutionary problem which is the smoothed two-phase parabolic free boundary problem.     

Classical solutions of many-dimensional elliptic–parabolic free boundary problems

We consider a free boundary problem modeling fluid flow in a partially saturated porous media. In that context an unknown function represents the pressure and satisfies an elliptic equation in the saturated domain and a quasilinear parabolic equation in the unsaturated domain. The principal part of this work is the investigation of the smoothness properties of an unknown (free) boundary between domains of ellipticity and parabolicity.      

A free boundary problem in an absorbing porous material with saturation dependent permeability

We prove a well posedness result for a free boundary problem describing the filtration of an incompressible viscous fluid in a porous medium containing water absorbing granules.?The location of the wetting front (the free boundary) is described by a Stefan like problem for a parabolic equation which is coupled with an hyperbolic equation describing the absorption kinetic of the granules. Received December 1999     

A parabolic variational inequality arising from the valuation of strike reset options

A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a one-dimensional parabolic variational inequality, or equivalently, a free boundary problem, where the free boundary just corresponds to the optimal reset strategy adopted by the holder of the option. This paper is concerned with the theoretical analysis of the model. The existence and uniqueness of the solution are established. Furthermore, we study properties of the free boundary. The monotonicity and C^∞ smoothness of the free boundary are proven in some situations.     

Global Existence for a Parabolic-hyperbolic Free Boundary Problem Modelling Tumor Growth

In this paper we study a free boundary problem modelling tumor growth, proposed by A. Friedman in 2004. This free boundary problem involves a nonlinear second-order parabolic equation describing the diffusion of nutrient in the tumor, and three nonlinear first-order hyperbolic equations describing the evolution of proliferative cells, quiescent cells and dead cells, respectively. By applying Lp theory of parabolic equations, the characteristic theory of hyperbolic equations, and the Banach fixed point theorem, we prove that this problem has a unique global classical solution.     

Classical Solvability of a Model Problem in a Half-Space, Related to the Motion of an Isolated Mass of a Compressible Fluid

For an arbitrary finite time interval, the unique solvability of a linear half-space problem is obtained in Hölder classes of functions. The problem arises as the result of the linearization of a free boundary problem for the Navier--Stokes system governing the unsteady motion of a finite mass of a compressible fluid. The boundary conditions in the linear problem are noncoercive because of the surface tension acting on the free boundary. This fact presents the main difficulty in the problem, while the differential system in itself is parabolic in the sense of Petrovskii. The principal idea of the investigation is to reduce the noncoercive problem to a coercive one with zero coefficient of the surface tension. Bibliography: 6 titles.     

Debt–equity swap with finite time horizon—variational inequality approach

This paper concerns the finite-horizon optimal reorganization problem under debt–equity swap. The model of equity is formulated as a parabolic variational inequality, or equivalently, a free boundary problem, where the free boundary corresponds to the optimal reorganization boundary. The existence and uniqueness of the solution are proven and the behavior of the free boundary, such as smoothness, monotonicity and boundedness, is studied. To the best of our knowledge, this is the first complete set of results on debt–equity swap for finite maturity obtained using PDE techniques.     

The Fredholm alternative for parabolic evolution equations with inhomogeneous boundary conditions

We study the Fredholm properties of parabolic evolution equations on R with inhomogeneous boundary values. These problems are transformed into evolution equations with inhomogeneities taking values in certain extrapolation spaces. Assuming that the underlying homogeneous problem is asymptotically hyperbolic, we show the Fredholm alternative for these equations. The results are applied to parabolic partial differential equations.     

The method of lines for nonlinear parabolic differential equations with mixed derivatives

Summary By the so-called longitudinal method of lines the first boundary value problem for a parabolic differential equation is transformed into an initial value problem for a system of ordinary differential equations. In this paper, for a wide class of nonlinear parabolic differential equations the spatial derivatives occuring in the original problem are replaced by suitable differences such that monotonicity methods become applicable. A convergence theorem is proved. Special interest is devoted to the equationu _t=f(x,t,u,u _x,u _xx), if the matrix of first order derivatives off(x,t,z,p,r) with respect tor may be estimated by a suitable Minkowski matrix.