Existence and asymptotic behaviour for the parabolic-parabolic Keller-Segel system with singular data

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

EXISTENCE RESULTS FOR NEUTRAL INTEGRO-DIFFERENTIAL EQUATIONS WITH UNBOUNDED DELAY

In this paper we discuss the existence of mild, strict and classical solutions for a class of abstract integro-differential equations in Banach spaces. Some applications to ordinary and partial integro-differential equations are considered.

Existence Results for Abstract Partial Neutral Integro-differential Equation with Unbounded Delay

In this paper we study the existence and regularity of mild solutions for a class of abstract partial neutral integro-differential equations with unbounded delay.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Properties of Lp (K)-Solutions of Linear Nonhomogeneous Impulsive Differential Equations with Unbounded Linear Operator

Sufficient conditions for the existence of Lp(k)-solutions of linear nonhomogeneous impulsive differential equations with unbounded linear operator are found. An example of the theory of the linear nonhomogeneous partial impulsive differential equations of parabolic type is given.

A novel Compound Elliptical-type Concentrator for parabolic primaries with tubular receiver

The Parabolic Trough (PT) is the most used concentrator in CSP (Concentrated Solar Power). However, this concentrator technology is facing a significant challenge to increase its overall efficiency and cost-effectiveness. Meanwhile, other low-cost solutions such as Fresnel concentrators are also being perceived as potentially attractive. In order to achieve the lower cost goal, new optical solutions can be considered, in parallel with improvements coming, for instance, through the use of new materials or manufacturing solutions. But conventional PTs can still be improved to yield, for instance, higher concentration values, a possible starting point for higher conversion efficiency. These new solutions, in turn, can also be useful for other technologies and applications (Fresnel Concentrators, Central Tower Receivers, etc.). However it is easier to develop and test these solutions in conjunction with parabolic primaries (continuum primary). And that is the topic of this paper: to present a new Compound Elliptical-type Concentrator for a parabolic primary with a tubular receiver. A comparison is made between this new concentrator and two other concentrators (a conventional PT concentrator and a XX SMS (Simultaneous Multiple Surface) concentrator), as well as a calculation of the total amount of collected energy (kW h) for a particular location, Faro (Portugal). The paper ends with a discussion of the results obtained, their impact and possible applications in the future.

Lipschitz regularity for weak solutions of parabolic p-Laplacian type equations in certain subriemannian structures

The main aim of the thesis is to prove the local Lipschitz regularity of the weak solutions to a class of parabolic PDEs modeled on the parabolic p-Laplacian. This result is well known in the Euclidean case and recently has been extended in the Heisenberg group, while higher regularity results are not known in subriemannian parabolic setting. In this thesis we will consider vector fields more general than those in the Heisenberg setting, introducing some technical difficulties. To obtain our main result we will use a Moser-like iteration. Due to the non linearity of the equation, we replace the usual parabolic cylinders with new ones, whose dimension also depends on the L^p norm of the solution. In addition, we deeply simplify the iterative procedure, using the standard Sobolev inequality, instead of the parabolic one.

Asymptotic behaviour of the density in a parabolic SPDE

Consider the density of the solution $X(t,x)$ of a stochastic heat equation with small noise at a fixed $t\in [0,T]$, $x \in [0,1]$.In the paper we study the asymptotics of this density as the noise is vanishing. A kind of Taylor expansion in powers of the noiseparameter is obtained. The coefficients and the residue of the expansion are explicitly calculated.In order to obtain this result some type of exponential estimates of tail probabilities of the difference between the approximatingprocess and the limit one is proved. Also a suitable local integration by parts formula is developped.

Many-body effects in wide parabolic AlGaAs quantum wells

Photoluminescence measurements at different temperatures have been performed to investigate the optical response of a two-dimensional electron gas in n-type wide parabolic quantum wells. A series of samples with different well widths in the range of 1000-3000 A was analyzed. Many-body effects, usually observed in the recombination process of a two-dimensional electron gas, appear as a strong enhancement in the photoluminescence spectra at the Fermi level at low temperature only in the thinnest parabolic quantum wells. The suppression of the many-body effect in the thicker quantum wells was attributed to the decrease of the overlap between the wavefunctions of the photocreated holes and the two-dimensional electrons belonging to the highest occupied electron subband. (C) 2007 American Institute of Physics.

Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

On a parabolic-elliptic chemotactic system with non-constant chemotactic sensitivity

We study a parabolic–elliptic chemotactic system describing the evolution of a population’s density “u” and a chemoattractant’s concentration “v”. The system considers a non-constant chemotactic sensitivity given by “χ(N−u)”, for N≥0, and a source term of logistic type “λu(1−u)”. The existence of global bounded classical solutions is proved for any χ>0, N≥0 and λ≥0. By using a comparison argument we analyze the stability of the constant steady state u=1, v=1, for a range of parameters. – For N>1 and Nλ>2χ, any positive and bounded solution converges to the steady state. – For N≤1 the steady state is locally asymptotically stable and for χN<λ, the steady state is globally asymptotically stable.

Well posedness of an integrodifferential kinetic model of Fokker-Planck type for angiogenesis.

Tumor induced angiogenesis processes including the effect of stochastic motion and branching of blood vessels can be described coupling a (nonlocal in time) integrodifferential kinetic equation of Fokker–Planck type with a diffusion equation for the tumor induced ingiogenic factor. The chemotactic force field depends on the flux of blood vessels through the angiogenic factor. We develop an existence and uniqueness theory for this system under natural assumptions on the initial data. The proof combines the construction of fundamental solutions for associated linearized problems with comparison principles, sharp estimates of the velocity integrals and compactness results for this type of kinetic and parabolic operators

On Parabolic Subgroups and Hecke Algebras of some Fractal Groups

* The authors thank the “Swiss National Science Foundation” for its support.

Quenching phenomenon of singular parabolic problems with L1 initial data

We extend some previous existence results for quenching type parabolic problems involving a negative power of the unknown in the equation to the case of merely integrable initial data. We show that L1 Ω is the suitable framework to obtain the continuous dependence with respect to some norm of the initial datum; This way we answer to the question raised by several authors in the previous literature. We also show the complete quenching phenomena for such a L1-initial datum.