We use an integral equation formulation approach to value shout options, which are exotic options giving an investor the ability to “shout” and lock in profits while retaining the right to benefit from potentially favourable movements in the underlying asset price. Mathematically, the valuation is a free boundary problem involving an optimal exercise boundary which marks the region between shouting and not shouting. We also find the behaviour of the optimal exercise boundary for one- and two-shout options close to expiry.

In the following note, we focus on the problem of existence of continuous solutions vanishing at infinity to the equation div v = f for f ∈ Ln(ℝn) and satisfying an estimate of the type ||v||∞ ⩽ C||f||n for any f ∈ Ln(ℝn), where C > 0 is related to the constant appearing in the Sobolev–Gagliardo–Nirenberg inequality for functions with bounded variation (BV functions).

We obtain explicit expressions for genus 2 degenerate sigma-function in terms of genus 1 sigma-function and elementary functions as solutions of a system of linear partial differential equations satisfied by the sigma-function. By way of application, we derive a solution for a class of generalized Jacobi inversion problems on elliptic curves, a family of Schrödinger-type operators on a line with common spectrum consisting of a point and two segments, explicit construction of a field of three-periodic meromorphic functions. Generators of rank 3 lattice in ℂ2 are given explicitly.

We study systems of partial differential equations of Briot–Bouquet type. The existence of holomorphic solutions to such systems largely depends on the eigenvalues of an associated matrix. For the noninteger case, we generalise the well-known result of Gérard and Tahara [‘Holomorphic and singular solutions of nonlinear singular first order partial differential equations’, Publ. Res. Inst. Math. Sci.26 (1990), 979–1000] for Briot–Bouquet type equations to Briot–Bouquet type systems. For the integer case, we introduce a sequence of blow-up like changes of variables and give necessary and sufficient conditions for the existence of holomorphic solutions. We also give some examples to illustrate our results.

A classification of the behaviour of the solutions f(·, a) to the ordinary differential equation (|f′|p-2f′)′ + f - |f′|p-1 = 0 in (0,∞) with initial condition f(0, a) = a and f′(0, a) = 0 is provided, according to the value of the parameter a > 0 when the exponent p takes values in (1, 2). There is a threshold value a* that separates different behaviours of f(·, a): if a > a*, then f(·, a) vanishes at least once in (0,∞) and takes negative values, while f(·, a) is positive in (0,∞) and decays algebraically to zero as r→∞ if a ∊ (0, a*). At the threshold value, f(·, a*) is also positive in (0,∞) but decays exponentially fast to zero as r→∞. The proof of these results relies on a transformation to a first-order ordinary differential equation and a monotonicity property with respect to a > 0. This classification is one step in the description of the dynamics near the extinction time of a diffusive Hamilton–Jacobi equation with critical gradient absorption and fast diffusion.

For bounded domains Ω, we prove that the Lp-norm of a regular function with compact support is controlled by weighted Lp-norms of its gradient, where the weight belongs to a class of symmetric non-negative definite matrix-valued functions. The class of weights is defined by regularity assumptions and structural conditions on the degeneracy set, where the determinant vanishes. In particular, the weight A is assumed to have rank at least 1 when restricted to the normal bundle of the degeneracy set S. This generalization of the classical Poincaré inequality is then applied to develop a robust theory of first-order Lp-based Sobolev spaces with matrix-valued weight A. The Poincaré inequality and these Sobolev spaces are then applied to produce various results on existence, uniqueness and qualitative properties of weak solutions to boundary-value problems for degenerate elliptic, degenerate parabolic and degenerate hyperbolic partial differential equations (PDEs) of second order written in divergence form, where A is calibrated to the matrix of coefficients of the second-order spatial derivatives. The notion of weak solution is variational: the spatial states belong to the matrix-weighted Sobolev spaces with p = 2. For the degenerate elliptic PDEs, the Dirichlet problem is treated by the use of the Poincaré inequality and Lax–Milgram theorem, while the treatment of the Cauchy–Dirichlet problem for the degenerate evolution equations relies only on the Poincaré inequality and the parabolic and hyperbolic counterparts of the Lax–Milgram theorem.

We construct travelling waves in the Burgers equation with the fractional Laplacian $(D^{2})^{\unicode[STIX]{x1D6FC}}$ , $\unicode[STIX]{x1D6FC}\in (1/2,1)$ . This is done by first constructing odd solutions $u_{\unicode[STIX]{x1D700}}$ of $uu^{\prime }=K_{\unicode[STIX]{x1D700}_{1}}\ast u-k_{\unicode[STIX]{x1D700}_{1}}u+\unicode[STIX]{x1D700}_{2}u^{\prime \prime }$ , $u(-\infty )=u_{c}>0$ , with $K_{\unicode[STIX]{x1D700}_{1}}\ast u-k_{\unicode[STIX]{x1D700}_{1}}u$ nonsingular, and then passing to the limit $\unicode[STIX]{x1D700}_{1},\unicode[STIX]{x1D700}_{2}\rightarrow 0$ , to give $K_{\unicode[STIX]{x1D700}_{1}}\ast u_{\unicode[STIX]{x1D700}}-k_{\unicode[STIX]{x1D700}_{1}}u_{\unicode[STIX]{x1D700}}\rightarrow (D^{2})^{\unicode[STIX]{x1D6FC}}u_{0}$ pointwise. The proof relies on operator splitting.

We investigate the following nonlinear Neumann boundary-value problem with associated p(x)-Laplace-type operator

where the function φ(x, v) is of type |v|p(x)−2v with continuous function p: → (1,∞) and both f : Ω × ℝ → ℝ and g : ∂Ω × ℝ → ℝ satisfy a Carathéodory condition. We first show the existence of infinitely many weak solutions for the Neumann problems using the Fountain theorem with the Cerami condition but without the Ambrosetti and Rabinowitz condition. Next, we give a result on the existence of a sequence of weak solutions for problem (P) converging to 0 in L ∞ -norm by employing De Giorgi's iteration and the localization method under suitable conditions.

An adaptive moving mesh finite difference method is presented to solve two types of equations with dynamic capillary pressure effect in porous media. One is the non-equilibrium Richards Equation and the other is the modified Buckley-Leverett equation. The governing equations are discretized with an adaptive moving mesh finite difference method in the space direction and an implicit-explicit method in the time direction. In order to obtain high quality meshes, an adaptive monitor function with directional control is applied to redistribute the mesh grid in every time step, then a diffusive mechanism is used to smooth the monitor function. The behaviors of the central difference flux, the standard local Lax-Friedrich flux and the local Lax-Friedrich flux with reconstruction are investigated by solving a 1D modified Buckley-Leverett equation. With the moving mesh technique, good mesh quality and high numerical accuracy are obtained. A collection of one-dimensional and two-dimensional numerical experiments is presented to demonstrate the accuracy and effectiveness of the proposed method.

This paper is concerned with the construction of global, non-vacuum, strong, large amplitude solutions to initial–boundary-value problems for the one-dimensional compressible Navier–Stokes equations with degenerate transport coefficients. Our analysis derives the positive lower and upper bounds on the specific volume and the absolute temperature.

In 1992 Ermentrout and McLeod published in this journal a landmark study of travelling wavefronts for a differential–integral equation model of a neural network. Since then a number of authors have extended the model by adding an additional equation for a ‘recovery variable’, thus allowing the possibility of travelling-pulse-type solutions. In a recent paper, Faye gave perhaps the first rigorous proof of the existence (and stability) of a travelling-pulse solution for a model of this type, treating a simplified version of equations originally developed by Kilpatrick and Bressloff. The excitatory weight function J used in this work allowed the system to be reduced to a set of four coupled ordinary differential equations (ODEs), and a specific firing-rate function S, with parameters, was considered. The method of geometric singular perturbation was employed, together with blow-ups. In this paper we extend Faye's results on existence by dropping one of his key hypotheses, proving the existence of pulses at least two different speeds, and, in a sense, allowing a wider range of the small parameter in the problem. The proofs are classical and self-contained aside from standard ODE material.

In this paper, we first discuss the well-posedness of linearizing equations, and then study the stability and unstability of the 3-D compressible Euler Equation, by analysing the existence of saddle point. In addition, we give the existence of local solutions of the compressible Euler equation.

We consider the Steklov eigenvalues of the Laplace operator as limiting Neumann eigenvalues in a problem of mass concentration at the boundary of a ball. We discuss the asymptotic behaviour of the Neumann eigenvalues and find explicit formulae for their derivatives in the limiting problem. We deduce that the Neumann eigenvalues have a monotone behaviour in the limit and that Steklov eigenvalues locally minimize the Neumann eigenvalues.

In this paper, the idea of a combination of variable separation approach and the extended homoclinic test approach is proposed to seek non-travelling wave solutions of Calogero equation. The equation is reduced to some (1+1)-dimensional nonlinear equations by applying the variable separation approach and solves reduced equations with the extended homoclinic test technique. Based on this idea and with the aid of symbolic computation, some new explicit solutions can be obtained.

We prove the existence of solitary wave solutions to the quasilinear Benney system

where , –1 < p < +∞ and a, γ > 0. We establish, in particular, the existence of travelling waves with speed arbitrarily large if p < 0 and arbitrarily close to 0 if . We also show the existence of standing waves in the case , with compact support if – 1 < p < 0. Finally, we obtain, under certain conditions, the linearized stability of such solutions.

We consider the ergodic (or additive eigenvalue) problem for the Neumann-type boundary-value problem for Hamilton–Jacobi equations and the corresponding discounted problems. Denoting by uλ the solution of the discounted problem with discount factor λ > 0, we establish the convergence of the whole family to a solution of the ergodic problem as λ → 0, and give a representation formula for the limit function via the Mather measures and Peierls function. As an interesting by-product, we introduce Mather measures associated with Hamilton–Jacobi equations with the Neumann-type boundary conditions. These results are variants of the main results in a recent paper by Davini et al., who study the same convergence problem on smooth compact manifolds without boundary.

We study infinite soliton trains solutions of nonlinear Schrödinger equations, i.e. solutions behaving as the sum of infinitely many solitary waves at large time. Assuming the composing solitons have sufficiently large relative speeds, we prove the existence and uniqueness of such a soliton train. We also give a new construction of multi-solitons (i.e. finite trains) and prove uniqueness in an exponentially small neighbourhood, and we consider the case of solutions composed of several solitons and kinks (i.e. solutions with a non-zero background at infinity).

We incorporate the new theory of equivariant moving frames for Lie pseudogroups into Vessiot’s method of group foliation of differential equations. The automorphic system is replaced by a set of reconstruction equations on the pseudogroup jets. The result is a completely algorithmic and symbolic procedure for finding both invariant and noninvariant solutions of differential equations admitting a symmetry group.

We prove the linear and nonlinear instability of periodic traveling wave solutions for a generalized version of the symmetric regularized long wave (SRLW) equation. Using analytic and asymptotic perturbation theory, we establish sufficient conditions for the existence of exponentially growing solutions to the linearized problem and so the linear instability of periodic profiles is obtained. An application of this approach is made to obtain the linear/nonlinear instability of cnoidal wave solutions for the modified SRLW (mSRLW) equation. We also prove the stability of dnoidal wave solutions associated to the equation just mentioned.

This paper is concerned with the existence, non-existence and qualitative properties of cylindrically symmetric travelling fronts for time-periodic reaction–diffusion equations with bistable nonlinearity in ℝm with m ≥ 2. It should be mentioned that the existence and stability of two-dimensional time-periodic V-shaped travelling fronts and three-dimensional time-periodic pyramidal travelling fronts have been studied previously. In this paper we consider two cases: the first is that the wave speed of a one-dimensional travelling front is positive and the second is that the one-dimensional wave speed is zero. For both cases we establish the existence, non-existence and qualitative properties of cylindrically symmetric travelling fronts. In particular, for the first case we furthermore show the asymptotic behaviours of level sets of the cylindrically symmetric travelling fronts.