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.

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...

In this paper we reduce a free boundary problem from heat transfer to a weakly Singular Volterra  integral equation of the first kind. Since the first kind integral equation is ill posed, and an appropriate method for such ill posed problems is based on wavelets, then we apply the Chebyshev wavelets to solve the integral equation. Numerical implementation of the method is illustrated by two ben...

We consider the perpetual American strangles in the geometric jump-diffusion models. We assume further that the jump distribution is a mixture of exponential distributions. To solve the corresponding optimal stopping problem for this option, by using the approach in [5], we derive a system of equations that is equivalent to the associated free boundary problem with smooth pasting condition. We ...

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.

In this paper, we present a survey concerning unconstrained free boundary problems of type [Formula: see text] where B1 is the unit ball, Ω is an unknown open set, F(1) and F(2) are elliptic operators (admitting regular solutions), and [Formula: see text] is a functions space to be specified in each case. Our main objective is to discuss a unifying approach to the optimal regularity of solution...

In [4], following up work of Hitchin [9], the author found it useful to express Nahm’s equations, for a matrix group, in terms of the motion of a particle in a Riemannian symmetric space, subject to a potential field. This point of view lead readily to an elementary existence theorem for solutions of Nahm’s equation, corresponding to particle paths with prescribed end points. The original motiv...