Oscillation criteria and asymptotic properties of solutions of third‐order nonlinear neutral differential equations

The main goal of this article is to study the asymptotic properties and oscillation of the third‐order neutral differential equations with discrete and distributed delay. We give several theorems and related examples to illustrate the applicability of these theorems. Copyright © 2014 John Wiley & Sons, Ltd.     

Singly Periodic Solutions of the Allen-Cahn Equation and the Toda Lattice

The Allen-Cahn equation ? Δu = u ? u ³ in ?² has family of trivial singly periodic solutions that come from the one dimensional periodic solutions of the problem ?u″ =u ? u ³. In this paper we construct a non-trivial family of singly periodic solutions to the Allen-Cahn equation. Our construction relies on the connection between this equation and the infinite Toda lattice. We show that for each one-soliton solution to the infinite Toda lattice we can find a singly periodic solution to the Allen-Cahn equation, such that its level set is close to the scaled one-soliton. The solutions we construct are analogues of the family of Riemann minimal surfaces in ?³.     

Hydrodynamic Limit of the Gross-Pitaevskii Equation

We study dynamics of vortices in solutions of the Gross-Pitaevskii equation i? _t u = Δu + ?^?2 u(1 ? |u|²) on ?² with nonzero degree at infinity. We prove that vortices move according to the classical Kirchhoff-Onsager ODE for a small but finite coupling parameter ?. By carefully tracking errors we allow for asymptotically large numbers of vortices, and this lets us connect the Gross-Pitaevskii equation on the plane to two dimensional incompressible Euler equations through the work of Schochet [19 Schochet , S. ( 1996 ). The point vortex method for periodic weak solutions of the 2D Euler equations . Comm. Pure Appl. Math. 49 : 911 – 965 .[Crossref], [Web of Science ®] , [Google Scholar]].     

A Quantitative Regularity Estimate for Nonnegative Supersolutions of Uniformly Parabolic Equations

This note establishes an interior quantitative lower bound for nonnegative supersolutions of fully nonlinear uniformly parabolic equations. The result may be interpreted as a quantitative version of a growth lemma established by Krylov and Safonov for nonnegative supersolutions of linear uniformly parabolic equations in nondivergence form. Our approach is different, and follows from an application of a reverse Holder inequality. The result is the parabolic analogue of an elliptic regularity estimate established by Caffarelli, Souganidis, and Wang in the stochastic homogenization of fully nonlinear uniformly elliptic equations.     

Exponential Behavior of Solutions to Stochastic Integrodifferential Equations with Distributed Delays

In this work, we study the existence, uniqueness, and exponential asymptotic behavior of mild solutions to stochastic integrodifferential delay evolution equations. We assume that the non-delay part generates a C₀-semigroup.     

Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models

We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the zero-coupon bond price. The results of this paper are naturally related to similar results on affine term structure models of Hyndman (Math. Financ. Econ. 2(2):107–128, 2009) due to the relationship between quadratic functionals of Gaussian processes and linear functionals of affine processes. Similar to the affine case a sufficient condition for the explicit solutions to hold is the solvability in a fixed interval of Riccati-type ordinary differential equations. However, in contrast to the affine case, these Riccati equations are easily associated with those occurring in linear-quadratic control problems. We also consider quadratic models for a risky asset price and characterize the futures price and forward price of the asset in terms of similar FBSDEs. An example is considered, using an approach based on stochastic flows that is related to the FBSDE approach, to further emphasize the parallels between the affine and quadratic models. An appendix discusses solvability and explicit solutions of the Riccati equations.     

Weak Euler Approximation for Itô Diffusion and Jump Processes

This article studies the rate of convergence of the weak Euler approximation for Itô diffusion and jump processes with Hölder-continuous generators. It covers a number of stochastic processes including the nondegenerate diffusion processes and a class of stochastic differential equations driven by stable processes. To estimate the rate of convergence, the existence of a unique solution to the corresponding backward Kolmogorov equation in Hölder space is first proved. It then shows that the Euler scheme yields positive weak order of convergence.