On a stochastic differential equation arising in a price impact model

We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in the price impact model developed by Bank and Kramkov (2011)  and . These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments.     

On a hyperbolic equation arising in electrostatic MEMS

We consider the initial–boundary value problem of a damped wave equation with singular nonlinearity, which describes an electrostatic micro-electro-mechanical system (MEMS) device. The results of the pull-in voltage λ^?${\lambda }^{?}$ being the critical threshold for global existence and quenching are obtained: if the applied voltage λ<λ^?$\lambda <{\lambda }^{?}$, then the equation admits a unique global small solution that exponentially converges to the minimal steady state, while large solution may quench in finite time; if λ>λ^?$\lambda >{\lambda }^{?}$, then any solution quenches in finite time. Finally, in the sense of the viscosity dominated limit, the asymptotic relation of solutions between the hyperbolic equation and the parabolic one is investigated. Also the related error estimates in arbitrary order are derived.     

On a functional equation arising in information theory

We derive the representation of generalized additive measures of information, depending on two probability distributions and having the sum property with a regular generating function. This family of measures includes the Shannon entropy, the entropy of degree (,), the generalized information energy, the sine entropy and the generalized directed divergence.     

On a wave map equation arising in general relativity

We consider a class of space‐times for which the essential part of Einstein's equations can be written as a wave map equation. The domain is not the standard one, but the target is hyperbolic space. One ends up with a 1 + 1 nonlinear wave equation, where the space variable belongs to the circle and the time variable belongs to the positive real numbers. The main objective of this paper is to analyze the asymptotics of solutions to these equations as t → ∞. For each point in time, the solution defines a loop in hyperbolic space, and the first result is that the length of this loop tends to 0 as t^?1/2 as t → ∞. In other words, the solution in some sense becomes spatially homogeneous. However, the asymptotic behavior need not be similar to that of spatially homogeneous solutions to the equations. The orbits of such solutions are either a point or a geodesic in the hyperbolic plane. In the nonhomogeneous case, one gets the following asymptotic behavior in the upper half‐plane (after applying an isometry of hyperbolic space if necessary):

• 1 The solution converges to a point.
• 2 The solution converges to the origin on the boundary along a straight line (which need not be perpendicular to the boundary).
• 3 The solution goes to infinity along a curve y = const.
• 4 The solution oscillates around a circle inside the upper half‐plane.

Thus, even though the solutions become spatially homogeneous in the sense that the spatial variations die out, the asymptotic behavior may be radically different from anything observed for spatially homogeneous solutions of the equations. This analysis can then be applied to draw conclusions concerning the associated class of space‐times. For instance, one obtains the leading‐order behavior of the functions appearing in the metric, and one can conclude future causal geodesic completeness. © 2004 Wiley Periodicals, Inc.     

On a nonlinear generalized max-type difference equation

The boundedness character of positive solutions of the following max-type difference equation

     

On a Stefan-type model arising in ecology

We discuss the dispersal of a chemical, emitted from a point source, into a reacting medium. The diffusion and reaction are such that a front emerges, so that at all times the chemical remains confined to a bounded domain around the source. We focus on the final stationary state which is a non-standard Stefan-type boundary value problem for an Emden–Fowler equation. We prove its existence and uniqueness and obtain, analytically as well as numerically, bounds for the location of the front and for the concentration profile.     

On a max-type and a min-type difference equation

This note shows that every positive solution to the following third order non–autonomous max-type difference equation

when is a three-periodic sequence of positive numbers, is periodic with period three. The same result was proved for the following min-type difference equation

     

On a Schröder equation arising in branching processes

It is shown that a 1-1 correspondence exists between the possible Yaglom conditional limits when a subcritical Galton-Watson process is initiated with an arbitrary probability distribution and the invariant measures of the process. This is proven by an examination of the relevant Schröder and Abel functional equations.     

On a nonlinear elliptic equation arising in a free boundary problem

 Let p ^* =n/(n−2) and n≥3. In this paper, we first classify all non-constant solutions of

On a system of difference equations arising in the cyclic reduction

Cyclic reduction is a powerful technique in numerical linear algebra for solving tridiagonal systems. It can be classified in the class of divide and conquer methods. Some of its surprising properties have been studied recently essentially in the case of diagonally dominant matrices. In this paper the case of Toeplitz matrices will be considered. A complete analysis of the properties of the cyclic reduction will be done by studing an associate system of nonlinear difference equations.     

On a nonautonomous difference equation with bounded coefficient

In this paper we investigate the boundedness, the persistence and the attractivity of the positive solutions of the nonautonomous difference equation

     

On a degenerate parabolic equation arising in pricing of Asian options

We study a certain one-dimensional, degenerate parabolic partial differential equation with a boundary condition which arises in pricing of Asian options. Due to degeneracy of the partial differential operator and the non-smooth boundary condition, regularity of the generalized solution of such a problem remained unclear. We prove that the generalized solution of the problem is indeed a classical solution.