We derive closed-form solutions to some discounted optimal stopping problems related to the perpetual American cancellable dividend-paying put and call option pricing problems in an extension of the Black–Merton–Scholes model. The cancellation times are assumed to occur when the underlying risky asset price process hits some unobservable random thresholds. The optimal stopping times are shown to be the first times at which the asset price reaches stochastic boundaries depending on the current values of its running maximum and minimum processes. The proof is based on the reduction of the original optimal stopping problems to the associated free-boundary problems and the solution of the latter problems by means of the smooth-fit and modified normal-reflection conditions. We show that the optimal stopping boundaries are characterised as the maximal and minimal solutions of certain first-order nonlinear ordinary differential equations.

In this paper, we establish a new fractional interpolation inequality for radially symmetric measurable functions on the whole space $R^{N}$ and a new compact imbedding result about radially symmetric measurable functions. We show that the best constant in the new interpolation inequality can be achieved by a radially symmetric function. As applications of this compactness result, we study the existence of ground states of the nonlinear fractional Schrödinger equation on the whole space $R^{N}$. We also prove an existence result of standing waves and prove their orbital stability.

We study the effect of population mobility on the transmission dynamics of infectious diseases by considering a susceptible-exposed-infectious-recovered (SEIR) epidemic model with graph Laplacian diffusion, that is, on a weighted network. First, we establish the existence and uniqueness of solutions to the SEIR model defined on a weighed graph. Then by constructing Liapunov functions, we show that the disease-free equilibrium is globally asymptotically stable if the basic reproduction number is less than unity and the endemic equilibrium is globally asymptotically stable if the basic reproduction number is greater than unity. Finally, we apply our generalized weighed graph to Watts–Strogatz network and carry out numerical simulations, which demonstrate that degrees of nodes determine peak numbers of the infectious population as well as the time to reach these peaks. It also indicates that the network has an impact on the transient dynamical behaviour of the epidemic transmission.

In this work we prove a Fourier–Bros–Iagolnitzer (F.B.I.) characterisation for Gevrey vectors on hypo-analytic structures and we analyse the main differences of Gevrey regularity and hypo-analyticity concerning the F.B.I. transform. We end with an application of this characterisation on a propagation of Gevrey singularities result for solutions of the nonhomogeneous system associated with the hypo-analytic structure for analytic structures of tube type.

Experimental results on the immune response to cancer indicate that activation of cytotoxic T lymphocytes (CTLs) through interactions with dendritic cells (DCs) can trigger a change in CTL migration patterns. In particular, while CTLs in the pre-activation state move in a non-local search pattern, the search pattern of activated CTLs is more localised. In this paper, we develop a kinetic model for such a switch in CTL migration modes. The model is formulated as a coupled system of balance equations for the one-particle distribution functions of CTLs in the pre-activation state, activated CTLs and DCs. CTL activation is modelled via binary interactions between CTLs in the pre-activation state and DCs. Moreover, cell motion is represented as a velocity-jump process, with the running time of CTLs in the pre-activation state following a long-tailed distribution, which is consistent with a Lévy walk, and the running time of activated CTLs following a Poisson distribution, which corresponds to Brownian motion. We formally show that the macroscopic limit of the model comprises a coupled system of balance equations for the cell densities, whereby activated CTL movement is described via a classical diffusion term, whilst a fractional diffusion term describes the movement of CTLs in the pre-activation state. The modelling approach presented here and its possible generalisations are expected to find applications in the study of the immune response to cancer and in other biological contexts in which switch from non-local to localised migration patterns occurs.

In this paper, we are concerned with the physically engaging pseudo-relativistic Schrödinger system:

\[ \begin{cases} \left(-\Delta+m^{2}\right)^{s}u(x)=f(x,u,v,\nabla u) & \hbox{in } \Omega,\\ \left(-\Delta+m^{2}\right)^{t}v(x)=g(x,u,v,\nabla v) & \hbox{in } \Omega,\\ u>0,v>0 & \hbox{in } \Omega, \\ u=v\equiv 0 & \hbox{in } \mathbb{R}^{N}\setminus\Omega, \end{cases} \]

$s,t\in (0,1)$

$m>0.$

$\mathbb {R}^{N}$

$\mathbb {R}^{N}_{+}$

$\Omega$

$\mathbb {R}^{N}$

A linear growth-diffusion equation is studied in a time-dependent interval whose location and length both vary. We prove conditions on the boundary motion for which the solution can be found in exact form and derive the explicit expression in each case. Next, we prove the precise behaviour near the boundary in a ‘critical’ case: when the endpoints of the interval move in such a way that near the boundary there is neither exponential growth nor decay, but the solution behaves like a power law with respect to time. The proof uses a subsolution based on the Airy function with argument depending on both space and time. Interesting links are observed between this result and Bramson's logarithmic term in the nonlinear FKPP equation on the real line. Each of the main theorems is extended to higher dimensions, with a corresponding result on a ball with a time-dependent radius.

In this paper, we concern with a backward problem for a nonlinear time fractional wave equation in a bounded domain. By applying the properties of Mittag-Leffler functions and the method of eigenvalue expansion, we establish some results about the existence and uniqueness of the mild solutions of the proposed problem based on the compact technique. Due to the ill-posedness of backward problem in the sense of Hadamard, a general filter regularization method is utilized to approximate the solution and further we prove the convergence rate for the regularized solutions.

This paper establishes the mapping properties of pseudo-differential operators and the Fourier integral operators on the weighted Morrey spaces with variable exponents and the weighted Triebel–Lizorkin–Morrey spaces with variable exponents. We obtain these results by extending the extrapolation theory to the weighted Morrey spaces with variable exponents. This extension also gives the mapping properties of Calderón–Zygmund operators on the weighted Hardy–Morrey spaces with variable exponents and the wavelet characterizations of the weighted Hardy–Morrey spaces with variable exponents.

Dye-sensitized solar cells consistently provide a cost-effective avenue for sources of renewable energy, primarily due to their unique utilization of nanoporous semiconductors. Through mathematical modelling, we are able to uncover insights into electron transport to optimize the operating efficiency of the dye-sensitized solar cells. In particular, fractional diffusion equations create a link between electron density and porosity of the nanoporous semiconductors. We numerically solve a fractional diffusion model using a finite-difference method and a finite-element method to discretize space and an implicit finite-difference method to discretize time. Finally, we calculate the accuracy of each method by evaluating the numerical errors under grid refinement.

In this paper, we study some properties of the generalized Fokker–Planck equation induced by the time-changed fractional Ornstein–Uhlenbeck process. First of all, we exploit some sufficient conditions to show that a mild solution of such equation is actually a classical solution. Then, we discuss an isolation result for mild solutions. Finally, we prove the weak maximum principle for strong solutions of the aforementioned equation and then a uniqueness result.

In this paper, by the moving spheres method, Caffarelli-Silvestre extension formula and blow-up analysis, we study the local behaviour of nonnegative solutions to fractional elliptic equations

\begin{align*} (-\Delta)^{\alpha} u =f(u),~~ x\in \Omega\backslash \Gamma, \end{align*}

$0<\alpha <1$

$\Omega = \mathbb {R}^{N}$

$\Omega$

$\Gamma$

$\Omega$

$f(t)$

$t\in [0,\,\infty )$

$f(t)/t^{({N+2\alpha })/({N-2\alpha })}$

$t$

$t$

$t>0$

\begin{align*} f(u(x))/ u(x)\leq C d(x,\Gamma)^{{-}2\alpha}. \end{align*}

$\Gamma =\{0\}$

We consider a model for the dynamics of growing cell populations with heterogeneous mobility and proliferation rate. The cell phenotypic state is described by a continuous structuring variable and the evolution of the local cell population density function (i.e. the cell phenotypic distribution at each spatial position) is governed by a non-local advection–reaction–diffusion equation. We report on the results of numerical simulations showing that, in the case where the cell mobility is bounded, compactly supported travelling fronts emerge. More mobile phenotypic variants occupy the front edge, whereas more proliferative phenotypic variants are selected at the back of the front. In order to explain such numerical results, we carry out formal asymptotic analysis of the model equation using a Hamilton–Jacobi approach. In summary, we show that the locally dominant phenotypic trait (i.e. the maximum point of the local cell population density function along the phenotypic dimension) satisfies a generalised Burgers’ equation with source term, we construct travelling-front solutions of such transport equation and characterise the corresponding minimal speed. Moreover, we show that, when the cell mobility is unbounded, front edge acceleration and formation of stretching fronts may occur. We briefly discuss the implications of our results in the context of glioma growth.

We consider the explicit solution to the axisymmetric diffusion equation. We recast the solution in the form of a Mellin inversion formula, and outline a method to compute a formula for $u(r,t)$ as a series using the Cauchy residue theorem. As a consequence, we are able to represent the solution to the axisymmetric diffusion equation as a rapidly converging series.

The classical model for studying one-phase Hele-Shaw flows is based on a highly nonlinear moving boundary problem with the fluid velocity related to pressure gradients via a Darcy-type law. In a standard configuration with the Hele-Shaw cell made up of two flat stationary plates, the pressure is harmonic. Therefore, conformal mapping techniques and boundary integral methods can be readily applied to study the key interfacial dynamics, including the Saffman–Taylor instability and viscous fingering patterns. As well as providing a brief review of these key issues, we present a flexible numerical scheme for studying both the standard and nonstandard Hele-Shaw flows. Our method consists of using a modified finite-difference stencil in conjunction with the level-set method to solve the governing equation for pressure on complicated domains and track the location of the moving boundary. Simulations show that our method is capable of reproducing the distinctive morphological features of the Saffman–Taylor instability on a uniform computational grid. By making straightforward adjustments, we show how our scheme can easily be adapted to solve for a wide variety of nonstandard configurations, including cases where the gap between the plates is linearly tapered, the plates are separated in time, and the entire Hele-Shaw cell is rotated at a given angular velocity.

This paper is concerned with the asymptotic propagations for a nonlocal dispersal population model with shifting habitats. In particular, we verify that the invading speed of the species is determined by the speed c of the shifting habitat edge and the behaviours near infinity of the species’ growth rate which is nondecreasing along the positive spatial direction. In the case where the species declines near the negative infinity, we conclude that extinction occurs if c > c*(∞), while c < c*(∞), spreading happens with a leftward speed min{−c, c*(∞)} and a rightward speed c*(∞), where c*(∞) is the minimum KPP travelling wave speed associated with the species’ growth rate at the positive infinity. The same scenario will play out for the case where the species’ growth rate is zero at negative infinity. In the case where the species still grows near negative infinity, we show that the species always survives ‘by moving’ with the rightward spreading speed being either c*(∞) or c*(−∞) and the leftward spreading speed being one of c*(∞), c*(−∞) and −c, where c*(−∞) is the minimum KPP travelling wave speed corresponding to the growth rate at the negative infinity. Finally, we give some numeric simulations and discussions to present and explain the theoretical results. Our results indicate that there may exists a solution like a two-layer wave with the propagation speeds analytically determined for such type of nonlocal dispersal equations.

We study the multiplicity and concentration of complex-valued solutions for a fractional magnetic Schrödinger equation involving a scalar continuous electric potential satisfying a local condition and a continuous nonlinearity with subcritical growth. The main results are obtained by applying a penalization technique, generalized Nehari manifold method and Ljusternik–Schnirelman theory. We also prove a Kato's inequality for the fractional magnetic Laplacian which we believe to be useful in the study of other fractional magnetic problems.

An emerging technique in image segmentation, semi-supervised learning and general classification problems concerns the use of phase-separating flows defined on finite graphs. This technique was pioneered in Bertozzi and Flenner (2012, Multiscale Modeling and Simulation10(3), 1090–1118), which used the Allen–Cahn flow on a graph, and was then extended in Merkurjev et al. (2013, SIAM J. Imaging Sci.6(4), 1903–1930) using instead the Merriman–Bence–Osher (MBO) scheme on a graph. In previous work by the authors, Budd and Van Gennip (2020, SIAM J. Math. Anal.52(5), 4101–4139), we gave a theoretical justification for this use of the MBO scheme in place of Allen–Cahn flow, showing that the MBO scheme is a special case of a ‘semi-discrete’ numerical scheme for Allen–Cahn flow. In this paper, we extend this earlier work, showing that this link via the semi-discrete scheme is robust to passing to the mass-conserving case. Inspired by Rubinstein and Sternberg (1992, IMA J. Appl. Math.48, 249–264), we define a mass-conserving Allen–Cahn equation on a graph. Then, with the help of the tools of convex optimisation, we show that our earlier machinery can be applied to derive the mass-conserving MBO scheme on a graph as a special case of a semi-discrete scheme for mass-conserving Allen–Cahn. We give a theoretical analysis of this flow and scheme, proving various desired properties like existence and uniqueness of the flow and convergence of the scheme, and also show that the semi-discrete scheme yields a choice function for solutions to the mass-conserving MBO scheme.

In this paper we study various aspects of porosities for conformal fractals. We first explore porosity in the general context of infinite graph directed Markov systems (GDMS), and we show that their limit sets are porous in large (in the sense of category and dimension) subsets. We also provide natural geometric and dynamic conditions under which the limit set of a GDMS is upper porous or mean porous. On the other hand, we prove that if the limit set of a GDMS is not porous, then it is not porous almost everywhere. We also revisit porosity for finite graph directed Markov systems, and we provide checkable criteria which guarantee that limit sets have holes of relative size at every scale in a prescribed direction.

We then narrow our focus to systems associated to complex continued fractions with arbitrary alphabet and we provide a novel characterisation of porosity for their limit sets. Moreover, we introduce the notions of upper density and upper box dimension for subsets of Gaussian integers and we explore their connections to porosity. As applications we show that limit sets of complex continued fractions system whose alphabet is co-finite, or even a co-finite subset of the Gaussian primes, are not porous almost everywhere, while they are uniformly upper porous and mean porous almost everywhere.

We finally turn our attention to complex dynamics and we delve into porosity for Julia sets of meromorphic functions. We show that if the Julia set of a tame meromorphic function is not the whole complex plane then it is porous at a dense set of its points and it is almost everywhere mean porous with respect to natural ergodic measures. On the other hand, if the Julia set is not porous then it is not porous almost everywhere. In particular, if the function is elliptic we show that its Julia set is not porous at a dense set of its points.

We present closed-form solutions to some discounted optimal stopping problems for the running maximum of a geometric Brownian motion with payoffs switching according to the dynamics of a continuous-time Markov chain with two states. The proof is based on the reduction of the original problems to the equivalent free-boundary problems and the solution of the latter problems by means of the smooth-fit and normal-reflection conditions. We show that the optimal stopping boundaries are determined as the maximal solutions of the associated two-dimensional systems of first-order nonlinear ordinary differential equations. The obtained results are related to the valuation of real switching lookback options with fixed and floating sunk costs in the Black–Merton–Scholes model.