The Hamiltonian structure for dynamic free boundary problems

On Free Boundary Problems

Free Boundary Problems

Paradigmatic examples are the classical Stefan problem and more general models of phase transitions, where the free boundary is the moving interface between phases. Other examples come from problems in surface science, plastic molding and glass rolling, filtration through porous media, where free boundaries occur as fronts between saturated and unsaturated regions, and others from reaction-diff...

Concavity Properties for Free Boundary Elliptic Problems

We prove some concavity properties connected to nonlinear Bernoulli type free boundary problems. In particular, we prove a Brunn-Minkowski inequality and an Urysohn’s type inequality for the Bernoulli Constant and we study the behaviour of the free boundary with respect to the given boundary data. Moreover we prove a uniqueness result regarding the interior non-linear Bernoulli problem.

Integral Equation Methods for Free Boundary Problems∗

We outline a unified approach for treating free boundary problems arising in Finance using integral equation methods. Starting with the PDE formulations of the free boundary problems, we show how to derive nonlinear integral equations for the free boundaries in a variety of Finance applications. Methods to treat theoretical (existence, uniqueness) questions and analytical and numerical approxim...

Ray Methods for Free Boundary Problems

We discuss the use of the WKB ansatz in a variety of parabolic problems involving a small parameter. We analyse the Stefan problem for small latent heat, the Black–Scholes problem for an American put option, and some nonlinear diffusion equations, in each case constructing an asymptotic solution by the use of ray methods.