On the regularity of a free boundary near contact points with a fixed boundary

We investigate the regularity of a free boundary near contact points with a fixed boundary, with C1,1 boundary data, for an obstacle-like free boundary problem. We will show that under certain assumptions on the solution, and the boundary function, the free boundary is uniformly C¹ up to the fixed boundary. We will also construct some examples of irregular free boundaries.     

On the asymptotic behavior of a simple eigenvalue of a boundary value problem in a domain perforated along the boundary

We consider a boundary value problem for the Laplace operator in a model domain periodically perforated along the boundary. We assume that the homogeneous Neumann condition is posed on the exterior boundary and the homogeneous Dirichlet condition is posed on the boundary of the cavities. We construct and justify the asymptotic expansions of eigenelements of the boundary value problem.     

Some Structural Properties of Acyclic Heaps of Pieces

We introduce the notions of boundary vertex, linear equivalence, and effective boundary vertex in the context of Viennot??s heaps of pieces. We prove that in the heap of a fully commutative element in a star reducible Coxeter group, every boundary vertex is linearly equivalent to an effective boundary vertex.     

Sous-solutions d'équations elliptiques dans L1

We study subsolutions for semilinear elliptic boundary value problems in L1. We consider as well nonlinear as linear boundary conditions. The nonlinear functions may be multivated. We characterize in terms of p.d.e. the subsolutions defined by a nonlinear functional analysis argument. Applications are given to obtain existence results for semilinear elliptic boundary value problems and comparison and estimates for nonlinear parabolic boundary value problems.     

Boundary pairs associated with quadratic forms

We introduce a purely functional analytic framework for elliptic boundary value problems in a variational form. We define abstract Neumann and Dirichlet boundary conditions and a corresponding Dirichlet‐to‐Neumann operator, and develop a theory relating resolvents and spectra of these operators. We illustrate the theory by many examples including Jacobi operators, Laplacians on spaces with (non‐smooth) boundary, the Zaremba (mixed boundary conditions) problem and discrete Laplacians.     

The Green Function for Elliptic Systems in Two Dimensions

We construct the fundamental solution or Green function for a divergence form elliptic system in two dimensions with bounded and measurable coefficients. Our main goal is construct the Green function for the operator with mixed boundary conditions in a Lipschitz domain. Thus we specify Dirichlet data on part of the boundary and Neumann data on the remainder of the boundary. We require a corkscrew or non-tangential accessibility condition on the set where we specify Dirichlet boundary conditions. Our proof proceeds by defining a variant of the space BMO(Ω) that is adapted to the boundary conditions and showing that the solution exists in this space. We also give a construction of the Green function with Neumann boundary conditions and the fundamental solution in the plane.     

American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach

We consider the American option pricing problem in the case where the underlying asset follows a jump‐diffusion process. We apply the method of Jamshidian to transform the problem of solving a homogeneous integro‐partial differential equation (IPDE) on a region restricted by the early exercise (free) boundary to that of solving an inhomogeneous IPDE on an unrestricted region. We apply the Fourier transform technique to this inhomogeneous IPDE in the case of a call option on a dividend paying underlying to obtain the solution in the form of a pair of linked integral equations for the free boundary and the option price. We also derive new results concerning the limit for the free boundary at expiry. Finally, we present a numerical algorithm for the solution of the linked integral equation system for the American call price, its delta and the early exercise boundary. We use the numerical results to quantify the impact of jumps on American call prices and the early exercise boundary.     

Boundary singularities with a simple decomposition

We define the decomposition of a boundary singularity as a pair (a singularity in the ambient space together with a singularity of the restriction to the boundary). We prove that the Lagrange transform is an involution on the set of boundary singularities that interchanges the singularities that occur in the decomposition of a boundary singularity. We classify the boundary singularities for which both of these singularities are simple. Bibliography: 8 titles.Translated fromTrudy Seminara imeni I. G. Petrovskogo, No. 15, pp. 55–69, 1991.     

Spectral triples and manifolds with boundary

We investigate manifolds with boundary in noncommutative geometry. Spectral triples associated to a symmetric differential operator and a local boundary condition are constructed. We show that there is no tadpole for classical Dirac operators with a chiral boundary condition on spin manifolds.     

Second kind boundary integral equation for multi-subdomain diffusion problems

We consider isotropic scalar diffusion boundary value problems whose diffusion coefficients are piecewise constant with respect to a partition of space into Lipschitz subdomains. We allow so-called material junctions where three or more subdomains may abut. We derive a boundary integral equation of the second kind posed on the skeleton of the subdomain partition that involves, as unknown, only one trace function at each point of each interface. We prove the well-posedness of the corresponding boundary integral equations. We also report numerical tests for Galerkin boundary element discretisations, in which the new approach proves to be highly competitive compared to the well-established first kind direct single-trace boundary integral formulation. In particular, GMRES seems to enjoy fast convergence independent of the mesh resolution for the discrete second kind BIE.     

On a waveguide with an infinite number of small windows

We consider a waveguide modeled by the Laplacian in a straight planar strip with the Dirichlet condition on the upper boundary, while on the lower one we impose periodically alternating boundary conditions with a small period. We study the case when the homogenization leads us to the Neumann boundary condition on the lower boundary. We establish the uniform resolvent convergence and provide the estimates for the rate of convergence. We construct the two-terms asymptotics for the first band functions of the perturbed operator and also the complete two-parametric asymptotic expansion for the bottom of its spectrum.     

Signature invariants of covering links

We apply the theory of signature invariants of links in rational homology spheres to covering links of homology boundary links. From patterns and Seifert matrices of homology boundary links, we derive an explicit formula to compute signature invariants of their covering links. Using the formula, we produce fused boundary links that are positive mutants of ribbon links but are not concordant to boundary links. We also show that for any finite collection of patterns, there are homology boundary links that are not concordant to any homology boundary links admitting a pattern in the collection.

     

Fredholm property of boundary value problems for a fourth-order elliptic differential-operator equation with operator boundary conditions

In a Hilbert space H, we study the Fredholm property of a boundary value problem for a fourth-order differential-operator equation of elliptic type with unbounded operators in the boundary conditions. We find sufficient conditions on the operators in the boundary conditions for the problem to be Fredholm. We give applications of the abstract results to boundary value problems for fourth-order elliptic partial differential equations in nonsmooth domains.     

On the convergence of solutions and eigenelements of a boundary value problem in a domain perforated along the boundary

We consider a boundary value problem in a model domain periodically perforated along the boundary. We assume that the homogeneous Neumann condition is posed on the external boundary and the homogeneous Dirichlet condition is posed on the boundary of the cavities. A limit (homogenized) problem is obtained. We prove the convergence of the solutions, eigenvalues, and eigenfunctions of the original problem to the solutions, eigenvalues, and eigenfunctions, respectively, of the limit problem.     

Stefan problem for the laplace equation with regard for the curvature of the free boundary

We consider a nonstationary problem with free boundary for an elliptic equation in the case where the value of the required function on an unknown boundary is proportional to the curvature of this boundary. We prove the existence of a solution in the small with respect to time in the spaces of smooth functions.     

Elliptic boundary problems on manifolds with polycylindrical ends

We investigate general Shapiro-Lopatinsky elliptic boundary value problems on manifolds with polycylindrical ends. This is accomplished by compactifying such a manifold to a manifold with corners of in general higher codimension, and we then deal with boundary value problems for cusp differential operators. We introduce an adapted Boutet de Monvel's calculus of pseudodifferential boundary value problems, and construct parametrices for elliptic cusp operators within this calculus. Fredholm solvability and elliptic regularity up to the boundary and up to infinity for boundary value problems on manifolds with polycylindrical ends follows.     

Density symmetries for a class of 2-D diffusions with applications to finance

We study densities of two-dimensional diffusion processes with one non-negative component. For such diffusions, the density may explode at the boundary, thus making a precise specification of the boundary condition in the corresponding forward Kolmogorov equation problematic. We overcome this by extending a classical symmetry result for densities of one-dimensional diffusions to our case, thereby reducing the study of forward equations with exploding boundary data to the study of a related backward equation with non-exploding boundary data. We also discuss applications of this symmetry for option pricing in stochastic volatility models and in stochastic short rate models.     

Boundary homogenization in domains with randomly oscillating boundary

We consider a model homogenization problem for the Poisson equation in a domain with a rapidly oscillating boundary which is a small random perturbation of a fixed hypersurface. A Fourier boundary condition with random coefficients is imposed on the oscillating boundary. We derive the effective boundary condition, prove a convergence result, and establish error estimates.     

Continuity of the temperature in boundary heat control problems

Motivated by the boundary heat control problems formulated in the book of Duvaut and Lions, we study a boundary Stefan problem and a boundary porous media problem. We prove continuity of the solution with the appropriate modulus. We also extend the results to the fractional order case and to the anomalous diffusion problems.     

Delay nonlinear boundary conditions as limit of reactions concentrating in the boundary

In this work, we are interested in the dynamic behavior of a parabolic problem with nonlinear boundary conditions and delay in the boundary. We construct a reaction–diffusion problem with delay in the interior, where the reaction term is concentrated in a neighborhood of the boundary and this neighborhood shrinks to boundary, as a parameter ? goes to zero. We analyze the limit of the solutions of this concentrated problem and prove that these solutions converge in certain continuous function spaces to the unique solution of the parabolic problem with delay in the boundary. This convergence result allows us to approximate the solution of equations with delay acting on the boundary by solutions of equations with delay acting in the interior and it may contribute to analyze the dynamic behavior of delay equations when the delay is at the boundary.