On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay

We study the connection between the martingale and free-boundary approaches in sequential detection problems for the drift of a Brownian motion, under the assumption of exponential penalty for the delay. By means of the solution of a suitable free-boundary problem, we show that the reward process can be decomposed into the product between a gain function of the boundary point and a positive martingale inside the continuation region.     

Existence of a Global Classical Solution of One Problem Arising in Combustion Theory

We consider a multidimensional free-boundary problem for a parabolic equation that arises in combustion theory. We prove the existence of a global classical solution. The idea of the method is as follows: first, we perform the differential–difference approximation of the problem and establish its solvability; then we prove uniform estimates and perform a limit transition.     

Solvability of a free-boundary problem for a heterogeneous elastic body

We consider the free-boundary problem for a stationary elastic system. We prove that the problem has a classical solution if the initial data are close to the stationary solution.     

On the Existence of Weak Solutions for a 1-D Free-Boundary Concrete Carbonation Problem

In this paper we deal with a one-dimensional free-boundary problem arising in the modeling of concrete carbonation process. More precisely, we investigate global existence, uniqueness and large-time behavior of weak solutions for the problem under consideration. We also obtain the existence of a weak solution when the measure of the initial domain vanishes.     

The Wiener Sequential Testing Problem with Finite Horizon

We present a solution of the Bayesian problem of sequential testing of two simple hypotheses about the mean value of an observed Wiener process on the time interval with finite horizon. The method of proof is based on reducing the initial optimal stopping problem to a parabolic free-boundary problem where the continuation region is determined by two continuous curved boundaries. By means of the change-of-variable formula containing the local time of a diffusion process on curves we show that the optimal boundaries can be characterized as a unique solution of the coupled system of two nonlinear integral equations.     

Radially symmetric growth of nonnecrotic tumors

The growth of tumors is an important subject in recent research. We present here a mathematical model for the growth of nonnecrotic tumors in all the three regimes of vascularisation. This leads to a free-boundary problem which we treat by means ODE techniques. We prove the existence of a unique radially symmetric stationary solution. It is also shown that, if the initial tumor is radially symmetric, there exists a unique radially symmetric solution of the evolution equation, which exists for all times. The asymptotic behaviour of this solution will be discussed in relation to the parameters characterizing cell proliferation and cell death.     

An approximate moving boundary method for American option pricing

We present a method to solve the free-boundary problem that arises in the pricing of classical American options. Such free-boundary problems arise when one attempts to solve optimal-stopping problems set in continuous time. American option pricing is one of the most popular optimal-stopping problems considered in literature. The method presented in this paper primarily shows how one can leverage on a one factor approximation and the moving boundary approach to construct a solution mechanism. The result is an algorithm that has superior runtimes-accuracy balance to other computational methods that are available to solve the free-boundary problems. Exhaustive comparisons to other pricing methods are provided. We also discuss a variant of the proposed algorithm that allows for the computation of only one option price rather than the entire price function, when the requirement is such.     

Global solution to the one-dimensional equations for a self-gravitating viscous radiative and reactive gas

In this paper we consider a system of equations describing a motion of a self-gravitating one-dimensional gaseous medium in the presence of radiation and reacting process. By introducing Lagrangian mass coordinate, this free-boundary problem is reduced to the problem in a fixed domain with an explicit gravitational term. Based on the fundamental local existence result and a priori estimates, we can construct a classical unique global solution.     

A New Stopping Time Model: A Solution to a Free-Boundary Problem

We present a new model of stopping times and American options. In so doing, we solve a free-boundary problem.     

The Wiener disorder problem with finite horizon

The Wiener disorder problem seeks to determine a stopping time which is as close as possible to the (unknown) time of ‘disorder’ when the drift of an observed Wiener process changes from one value to another. In this paper we present a solution of the Wiener disorder problem when the horizon is finite. The method of proof is based on reducing the initial problem to a parabolic free-boundary problem where the continuation region is determined by a continuous curved boundary. By means of the change-of-variable formula containing the local time of a diffusion process on curves we show that the optimal boundary can be characterized as a unique solution of the nonlinear integral equation.     

Numerical solution of a nonlocal problem arising in plasma physics

In this paper, we present a numerical method to approximate the equilibrium of a plasma magnetically confined in a stellarator device. We consider a two-dimensional nonlocal free-boundary problem which involves both relative and decreasing rearrangements. We use a finite-element discretization to the differential operator and an iterative algorithm in the nonlinear terms. An approximation scheme for the computation of the rearrangement has been implemented and tested. Finally we give numerical results for an helical system.     

Two-state-variable stochastic tree problems

This paper extends the one-state-variable stochastic tree problem to the two-state-variable case. (Considering, for example, a tree whose size and price evolve according to two different Wiener processes, we solve for the optimal cutting time. The optimization of the expected present discounted value of the tree is converted to a standard free-boundary problem. Analytical results are reported. In particular we find that more variance near the optimal free boundary will increase the value of the tree. Finally, a method is developed to find the numerical solution to the free boundary problem. A numerical example is presented.     

Navier-Stokes equations: Green's matrices, vorticity direction, and regularity up to the boundary

We consider the initial-boundary value problem for the 3D Navier-Stokes equations. The physical domain is a bounded open set with a smooth boundary on which we assume a condition of free-boundary type. We show that if a suitable hypothesis on the vorticity direction is assumed, then weak solutions are regular. The main tool we use in the proof is an explicit representation of the velocity in terms of the vorticity, by means of Green's matrices.     

Vortex design problem

In this investigation we propose a computational approach for the solution of optimal control problems for vortex systems with compactly supported vorticity. The problem is formulated as a PDE-constrained optimization in which the solutions are found using a gradient-based descent method. Recognizing such Euler flows as free-boundary problems, the proposed approach relies on shape differentiation combined with adjoint analysis to determine cost functional gradients. In explicit tracking of interfaces (vortex boundaries) this method offers an alternative to grid-based techniques, such as the level-set methods, and represents a natural optimization formulation for vortex problems computed using the contour dynamics technique. We develop and validate this approach using the design of 2D equilibrium Euler flows with finite-area vortices as a model problem. It is also discussed how the proposed methodology can be applied to Euler flows featuring other vorticity distributions, such as vortex sheets, and to time-dependent phenomena.     

Global classical solutions for a free-boundary problem modeling combustion of solid propellants

We study a free-boundary problem for the heat equation in one space dimension, describing the burning of a semi-infinite adiabatic solid propellant subjected to external thermal radiation (typically, a laser). The model includes the presence on the moving solid-gas interface (the free boundary) of heat release, due both to propellant degradation and conductive heat feedback from the gas phase reactions. The pyrolysis law and the flame submodel, relating burning rate to the boundary temperature and the heat feedback, respectively, satisfy general and physically significant conditions. We prove existence and uniqueness of a classical solution, local in time, for continuous initial thermal profiles. In addition, if the initial datum is exponentially bounded at infinity, we derive the main result of existence in the large and some uniform bounds for the solution.     

Inverse problem for determination of time-dependent coefficients of a parabolic equation in a free-boundary domain

We establish conditions for unique solvability of the inverse problem of determination of time-dependent coefficients of a one-dimensional parabolic equation in a free-boundary domain.     

On a free-boundary problem arising in the study of flame propagation

The existence of a weak solution of a two-dimensional non-stationary free-boundary problem related to flame propagation is established. The main feature of the problem is that the nonlinear coupling of the two parabolic equations occur on the free boundary and has exponential growth.     

Brownian Particles with Rank-Dependent Drifts: Out-of-Equilibrium Behavior

We study the long-range asymptotic behavior for an out-of-equilibrium, countable, one-dimensional system of Brownian particles interacting through their rank-dependent drifts. Focusing on the semi-infinite case, where only the leftmost particle gets a constant drift to the right, we derive and solve the corresponding one-sided Stefan (free-boundary) equations. Via this solution we explicitly determine the limiting particle-density profile as well as the asymptotic trajectory of the leftmost particle. While doing so we further establish stochastic domination and convergence to equilibrium results for the vector of relative spacings among the leading particles. © 2019 Wiley Periodicals, Inc.     

On a Priori Energy Estimates for Characteristic Boundary Value Problems

Motivated by the study of certain non linear free-boundary value problems for hyperbolic systems of partial differential equations arising in Magneto-Hydrodynamics, in this paper we show that an a priori estimate of the solution to certain boundary value problems, in the conormal Sobolev space \(H^1_{ tan}\) , can be transformed into an \(L^2\) a priori estimate of the same problem.     

Free-Boundary Problem for a Singular Diffusion Equation

In this paper, we study the free-boundary problem associated with a singular diffusion equation. An entropy equality derived by the authors for BV solutions in an earlier paper is used in its formulation. Existence, uniqueness, and regularity results are obtained.