For $h>1,$ we consider the reaction-diffusion equation:

$$ \begin{align*} \Delta_\infty^hu(x)=f(x,u(x),Du(x)),\quad x\in\Omega, \end{align*} $$

$\Delta _\infty ^h$

$f\in C(\Omega \times \mathbb {R}\times \mathbb {R}^n)$

$ 0\leq f(x,\delta t,p)\leq \Lambda (x)\delta ^{\gamma }f(x,t,p),$

$\Lambda (x)\in C(\overline {\Omega }), \, \gamma \in [0,h), \,t>0$

$\delta>0 $

$C^{({h+1})/({h-\gamma })}$

$\partial \{u>0\}\cap \Omega .$

$\gamma =h,$

We consider a toy model of rate-independent droplet motion on a surface with contact angle hysteresis based on the one-phase Bernoulli free boundary problem. We introduce a notion of solutions based on an obstacle problem. These solutions jump “as late and as little as possible”, a physically natural property that energy solutions do not satisfy. When the initial data is star-shaped, we show that obstacle solutions are uniquely characterized by satisfying the local stability and dynamic slope conditions. This is proved via a novel comparison principle, which is one of the main new technical results of the paper. In this setting we can also show the (almost) optimal $C^{1,1/2-}$-spatial regularity of the contact line. This regularity result explains the asymptotic profile of the contact line as it de-pins via tangential motion similar to de-lamination. Finally we apply our comparison principle to show the convergence of minimizing movements schemes to the same obstacle solution, again in the star-shaped setting.

The Cahn–Hilliard model with reaction terms can lead to situations in which no coarsening is taking place and, in contrast, growth and division of droplets occur which all do not grow larger than a certain size. This phenomenon has been suggested as a model for protocells, and a model based on the modified Cahn–Hilliard equation has been formulated. We introduce this equation and show the existence and uniqueness of solutions. Then, formally matched asymptotic expansions are used to identify a sharp interface limit using a scaling of the reaction term, which becomes singular when the interfacial thickness tends to zero. We compute planar solutions and study their stability under non-planar perturbations. Numerical computations for the suggested model are used to validate the sharp interface asymptotics. In addition, the numerical simulations show that the reaction terms lead to diverse phenomena such as growth and division of droplets in the obtained solutions, as well as the formation of shell-like structures.

We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss–Markov bridge by using a time-space transformation approach. The associated optimal stopping boundary is proved to be Lipschitz continuous on any closed interval that excludes the horizon, and it is characterized by the unique solution of an integral equation. A Picard iteration algorithm is discussed and implemented to exemplify the numerical computation and geometry of the optimal stopping boundary for some illustrative cases.

We introduce a free boundary model to study the effect of vesicle transport onto neurite growth. It consists of systems of drift-diffusion equations describing the evolution of the density of antero- and retrograde vesicles in each neurite coupled to reservoirs located at the soma and the growth cones of the neurites, respectively. The model allows for a change of neurite length as a function of the vesicle concentration in the growth cones. After establishing existence and uniqueness for the time-dependent problem, we briefly comment on possible types of stationary solutions. Finally, we provide numerical studies on biologically relevant scales using a finite volume scheme. We illustrate the capability of the model to reproduce cycles of extension and retraction.

We consider the following problem: the drift of the wealth process of two companies, modelled by a two-dimensional Brownian motion, is controllable such that the total drift adds up to a constant. The aim is to maximize the probability that both companies survive. We assume that the volatility of one company is small with respect to the other, and use methods from singular perturbation theory to construct a formal approximation of the value function. Moreover, we validate this formal result by explicitly constructing a strategy that provides a target functional, approximating the value function uniformly on the whole state space.

In Chen and Liang previous work, a model, together with its well-posedness, was established for credit rating migrations with different upgrade and downgrade thresholds (i.e. a buffer zone, also called dead band in engineering). When positive dividends are introduced, the model in Chen and Liang (SIAM Financ. Math. 12, 941–966, 2021) may not be well-posed. Here, in this paper, a new model is proposed to include the realistic nonzero dividend scenarios. The key feature of the new model is that partial differential equations in Chen and Liang (SIAM Financ. Math. 12, 941–966, 2021) are replaced by variational inequalities, thereby creating a new free boundary, besides the original upgrading and downgrading free boundaries. Well-posedness of the new model, together with a few financially meaningful properties, is established. In particular, it is shown that when time to debt paying deadline is long enough, the underlying dividend paying company is always in high grade rating, that is, only when time to debt paying deadline is within a certain range, there can be seen the phenomenon of credit rating migration.

This paper is concerned with a nonlocal reaction–diffusion system with double free boundaries and two time delays. The free boundary problem describes the evolution of faecally–orally transmitted diseases. We first show the well-posedness of global solution, and then establish the monotonicity and asymptotic property of basic reproduction number for the epidemic model without delays, which is defined by spectral radius of the next infection operator. By introducing the generalized principal eigenvalue defined in general domain, we obtain an upper bound of the limit value of basic reproduction number. We discuss the spreading and vanishing phenomena in terms of the basic production number. By employing the perturbed approximation method and monotone iteration method, we establish the existence, uniqueness and monotonicity of solution to semi-wave problem. When spreading occurs, we determine the asymptotic spreading speeds of free boundaries by constructing suitable upper and lower solutions from the semi-wave solutions. Moreover, spreading speeds for partially degenerate diffusion case are provided in a similar way.

A delayed reaction-diffusion system with free boundaries is investigated in this paper to understand how the bacteria spread spatially to larger area from the initial infected habitat. Under the assumptions that the nonlinearities are of monostable type and the initial values satisfy some compatible condition, we show that the free boundary problem is well-posed and discuss the long-time behaviour of solution (including spreading and vanishing) in terms of the spatial-temporal risk index. Furthermore, to determine the spreading speed of free boundaries when spreading occurs, we first study the distribution of roots of a transcendental equation containing a polynomial of degree four and then establish the existence and uniqueness of monotone solution to a delay-induced nonlocal semi-wave problem by employing the approximation method, lower-upper solutions technique and Schauder fixed point theorem. It is shown that time delays slow down the spreading of bacteria.

A porous material that has been contaminated with a hazardous chemical agent is typically decontaminated by applying a cleanser solution to the surface and allowing the cleanser to react into the porous material, neutralising the agent. The agent and cleanser are often immiscible fluids and so, if the porous material is initially saturated with agent, a reaction front develops with the decontamination reaction occurring at this interface between the fluids. We investigate the effect of different initial agent configurations within the pore space on the decontamination process. Specifically, we compare the decontamination of a material initially saturated by the agent with the situation when, initially, the agent only coats the walls of the pores (referred to as the ‘agent-on-walls’ case). In previous work (Luckins et al., European Journal of Applied Mathematics, 31(5):782–805, 2020), we derived homogenised models for both of these decontamination scenarios, and in this paper we explore the solutions of these two models. We find that, for an identical initial volume of agent, the decontamination time is generally much faster for the agent-on-walls case compared with the initially saturated case, since the surface area on which the reaction can occur is greater. However for sufficiently deep spills of contaminant, or sufficiently slow reaction rates, decontamination in the agent-on-walls scenario can be slower. We also show that, in the limit of a dilute cleanser with a deep initial agent spill, the agent-on-walls model exhibits behaviour akin to a Stefan problem of the same form as that arising in the initially saturated model. The decontamination time is shown to decrease with both the applied cleanser concentration and the rate of the chemical reaction. However, increasing the cleanser concentration is also shown to result in lower decontamination efficiency, with an increase in the amount of cleanser chemical that is wasted.

We consider the problem of controlling the drift and diffusion rate of the endowment processes of two firms such that the joint survival probability is maximized. We assume that the endowment processes are continuous diffusions, driven by independent Brownian motions, and that the aggregate endowment is a Brownian motion with constant drift and diffusion rate. Our results reveal that the maximal joint survival probability depends only on the aggregate risk-adjusted return and on the maximal risk-adjusted return that can be implemented in each firm. Here the risk-adjusted return is understood as the drift rate divided by the squared diffusion rate.

This paper concerns the monostable cooperative system with nonlocal diffusion and free boundaries, which has recently been discussed by Du and Ni [J. Differential equations 308(2021) 369-420 and arXiv:2010.01244]. We here aim at four aspects: the first is to give more accurate estimates for the longtime behaviours of the solution; the second is to discuss the limits of solution pair of a semi-wave problem; the third is to investigate the asymptotic behaviours of the corresponding Cauchy problem; the last is to study the limiting profiles of the solution as one of the expanding rates of free boundaries converges to $\infty$. Moreover, some epidemic models are given to illustrate their own rich longtime behaviours, which are quite different from those of the relevant existing works.

We study the existence and structure of branch points in two-phase free boundary problems. More precisely, we construct a family of minimizers to an Alt–Caffarelli–Friedman-type functional whose free boundaries contain branch points in the strict interior of the domain. We also give an example showing that branch points in the free boundary of almost-minimizers of the same functional can have very little structure. This last example stands in contrast with recent results of De Philippis, Spolaor and Velichkov on the structure of branch points in the free boundary of stationary solutions.

Steel corrosion plays a central role in different technological fields. In this article, we consider a simple case of a corrosion phenomenon which describes a pure iron dissolution in sodium chloride. This article is devoted to prove rigorously that under rather general hypotheses on the initial data, the solution of this iron dissolution model converges to a self-similar profile as $t\rightarrow +\infty$. We will do so for an equivalent formulation as presented in the book of Avner Friedman about parabolic equations (Friedman (1964) Partial Differential Equations of Parabolic Type, Prentice-Hall, Inc., Englewood Cliffs, NJ.). In order to prove the convergence result, we apply a comparison principle together with suitable upper and lower solutions.

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.

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.

The work in this paper concerns the study of different approximations for one-dimensional one-phase Stefan-like problems with a space-dependent latent heat. It is considered two different problems, which differ from each other in their boundary condition imposed at the fixed face: Dirichlet and Robin conditions. The approximate solutions are obtained by applying the heat balance integral method (HBIM), the modified HBIM and the refined integral method (RIM). Taking advantage of the exact analytical solutions, we compare and test the accuracy of the approximate solutions. The analysis is carried out using the dimensionless generalised Stefan number (Ste) and Biot number (Bi). It is also studied the case when Bi goes to infinity in the problem with a convective condition, recovering the approximate solutions when a temperature condition is imposed at the fixed face. Some numerical simulations are provided in order to assert which of the approximate integral methods turns out to be optimal. Moreover, we pose an approximate technique based on minimising the least-squares error, obtaining also approximate solutions for the classical Stefan problem.

We study the problem of stopping a Brownian bridge X in order to maximise the expected value of an exponential gain function. The problem was posed by Ernst and Shepp (2015), and was motivated by bond selling with non-negative prices.

Due to the non-linear structure of the exponential gain, we cannot rely on methods used in the literature to find closed-form solutions to other problems involving the Brownian bridge. Instead, we must deal directly with a stopping problem for a time-inhomogeneous diffusion. We develop techniques based on pathwise properties of the Brownian bridge and martingale methods of optimal stopping theory, which allow us to find the optimal stopping rule and to show the regularity of the value function.

Two mathematical models under so-called intensity and structure frameworks to pricing a double defaultable interest rate swap are established. The default could happen or jump to a high probability in both fixed and floating parties on the predetermined boundaries. The models lead to a new and interesting mathematical problem. As the intensity approaches infinity in designated regions, the solutions of the intensity models converge to a solution of a structure-type model which is an initial value problem of a partial differential equation coupled with two obstacles problem in their restricted regions. According to the value of the fixed rate, three cases are discussed. The free boundary that determines the swap rate and the free boundaries that determine the earlier termination of the contract (due to counterparty’s default) are analysed.