We consider an American call option and let C(S, T0) be the price of an option corresponding to asset price S at some time T0 prior to the expiration time TF . We analyze C(S, T0) in various asymptotic limits. These include situations where the interest and dividend rates are large or small, compared to the volatility of the asset. We also analyze the optimal exercise boundary for the option. We use perturbation methods to analyze either the PDE that C(S, T0) satisfies, or a nonlinear integral equation that is satisfied by the optimal exercise boundary.

A general formalism is described whereby some regular singular points are effectively removed and substantial simplifications ensue for a class of Fuchsian ordinary differential equations, and related confluent equations. These simplifications follow provided the exponents at the singular points satisfy certain relations; explicit, illustrative examples are constructed to demonstrate the ideas.

A generalization of the Keller–Segel model for chemotactic systems is studied. In this model there are several populations interacting via several sensitivity agents in a two-dimensional domain. The dynamics of the population is determined by a Fokker–Planck system of equations, coupled with a system of diffusion equations for the chemical agents. Conditions for global existence of solutions and equilibria are discussed, as well as the possible existence of time-periodic attractors. The analysis is based on a variational functional associated with the system.

This paper proves the existence and uniqueness of a monotone increasing solution of the Painlevé 1 equation y″ = y2+x. The monotonicity of solution is then exploited to show stability of the plasma-sheath transition in a weakly ionizing plasma.