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.

We consider the long-time behaviour of a West Nile virus (WNv) model consisting of a reaction–diffusion system with free boundaries. Such a model describes the spreading of WNv with the free boundary representing the expanding front of the infected region, which is a time-dependent interval $[g(t), h(t)]$ in the model (Lin and Zhu, Spatial spreading model and dynamics of West Nile virus in birds and mosquitoes with free boundary. J. Math. Biol. 75, 1381–1409, 2017). The asymptotic spreading speed of the front has been determined in Wang et al. (Spreading speed for a West Nile virus model with free boundary. J. Math. Biol. 79, 433–466, 2019) by making use of the associated semi-wave solution, namely $\lim _{t\to \infty } h(t)/t=\lim _{t\to \infty }[\!-g(t)/t]=c_\nu$, with $c_\nu$ the speed of the semi-wave solution. In this paper, by employing new techniques, we significantly improve the estimate in Wang et al. (Spreading speed for a West Nile virus model with free boundary. J. Math. Biol. 79, 433–466, 2019): we show that $h(t)-c_\nu t$ and $g(t)+c_\nu t$ converge to some constants as $t\to \infty$, and the solution of the model converges to the semi-wave solution. The results also apply to a wide class of analogous Ross–MacDonold epidemic models.

When a liquid fills the semi-infinite space between two concentric cylinders which rotate at different steady speeds, how about the shape of the free surface on top of the fluid? The different fluids will lead to a different shape. For the Newtonian fluid, the meniscus descends due to the centrifugal forces. However, for the certain non-Newtonian fluid, the meniscus climbs the internal cylinder. We want to explain the above phenomenon by a rigorous mathematical analysis theory. In the present paper, as the first step, we focus on the Newtonian fluid. This is a steady free boundary problem. We aim to establish the well-posedness of this problem. Furthermore, we prove the convergence of the formal perturbation series obtained by Joseph and Fosdick in Arch. Ration. Mech. Anal. 49 (1973), 321–380.

Silicon is produced in submerged arc furnaces which are heated by electric currents passing through the furnace. It is important to understand the distribution of heating within the furnace in order to accurately model the silicon production process, yet many existing studies neglect aspects of this current flow. In the present paper, we formulate a model that couples the electrical current to thermal, material flow and chemical processes in the furnace. We then exploit disparate timescales to homogenise the model over the timescale of the alternating current, deriving averaged equations for the slow evolution of the system. Our numerical simulations predict a minimum applied current that is required in order to obtain steady-state solutions of the homogenised model and show that for high enough applied currents, two spatially heterogeneous steady-state solutions exist, with distinct crater sizes. We show that the system evolves to the steady state with a larger crater radius and explain this behaviour in terms of the overall power balance typically found within a furnace. We find that the industrial practice of stoking furnaces increases the overall rate of material consumption in the furnace, thereby improving the efficiency of silicon production.

We study immersed surfaces in ${\mathbb R}^3$ that are critical points of the Willmore functional under boundary constraints. The two cases considered are when the surface meets a plane orthogonally along the boundary and when the boundary is contained in a line. In both cases we derive weak forms of the resulting free boundary conditions and prove regularity by reflection.

We study a free boundary problem of the form: ut = uxx + f(t, u) (g(t) < x < h(t)) with free boundary conditions h′(t) = −ux(t, h(t)) – α(t) and g′(t) = −ux(t, g(t)) + β(t), where β(t) and α(t) are positive T-periodic functions, f(t, u) is a Fisher–KPP type of nonlinearity and T-periodic in t. This problem can be used to describe the spreading of a biological or chemical species in time-periodic environment, where free boundaries represent the spreading fronts of the species. We study the asymptotic behaviour of bounded solutions. There are two T-periodic functions α0(t) and α*(t; β) with 0 < α0 < α* which play key roles in the dynamics. More precisely, (i) in case 0 < β< α0 and 0 < α < α*, we obtain a trichotomy result: (i-1) spreading, that is, h(t) – g(t) → +∞ and u(t, ⋅ + ct) → 1 with $c\in (-\overline{l},\overline{r})$, where $ \overline{l}:=\frac{1}{T}\int_{0}^{T}l(s)ds$, $\overline{r}:=\frac{1}{T}\int_{0}^{T}r(s)ds$, the T-periodic functions −l(t) and r(t) are the asymptotic spreading speeds of g(t) and h(t) respectively (furthermore, r(t) > 0 > −l(t) when 0 < β < α < α0; r(t) = 0 > −l(t) when 0 < β < α = α0; $0 \gt \overline{r} \gt -\overline{l}$ when 0 < β < α0 < α < α*); (i-2) vanishing, that is, $\lim\limits_{t \to \mathcal {T}}h(t) = \lim\limits_{t \to \mathcal {T}}g(t)$ and $\lim\limits_{t \to \mathcal {T}}\max\limits_{g(t)\leq x\leq h(t)} u(t,x)=0$, where $\mathcal {T}$ is some positive constant; (i-3) transition, that is, g(t) → −∞, h(t) → −∞, $0<\lim\limits_{t \to \infty}[h(t)-g(t)] \lt +\infty$ and u(t, ⋅) → V(t, ⋅), where V is a T-periodic solution with compact support. (ii) in case β ≥ α0 or α ≥ α*, vanishing happens for any solution.

We study a free boundary problem for the Fisher-KPP equation: ut = uxx + f(u) (g(t) < x < h(t)) with free boundary conditions h′(t) = −ux(t, h(t)) − α and g′(t) = −ux(t, g(t)) + β for 0 < β < α. This problem can model the spreading of a biological or chemical species, where free boundaries represent the spreading fronts of the species. We investigate the asymptotic behaviour of bounded solutions. There are two parameters α0 and α* with 0 < α0 < α* which play key roles in the dynamics. More precisely, (i) in case 0 < β < α0 and 0 < α < α*, we obtain a trichotomy result: (i-1) spreading, i.e., h(t) − g(t) → +∞ and u(t, ⋅ + ct) → 1 with c ∈ (cL, cR), where cL and cR are the asymptotic spreading speed of g(t) and h(t), respectively, (cR > 0 > cL when 0 < β < α < α0; cR = 0 >cL when 0 < β < α = α0; 0 > cR > cL when α0 < α < α* and 0 < β < α0); (i-2) vanishing, i.e., limt→Th(t) = limt→Tg(t) and limt→T u(t, x) = 0, where T is some positive constant; (i-3) transition, i.e., g(t) → −∞, h(t) → −∞, 0 < limt→∞[h(t) − g(t)] < +∞ and u(t, x) → V*(x − c*t) with c* < 0, where V*(x − c*t) is a travelling wave with compact support and which satisfies the free boundary conditions. (ii) in case β ≥ α0 or α ≥ α*, vanishing happens for any solution.

Of concern is the stability and bifurcation analysis of a free boundary problem modelling the growth of multi-layer tumours. A remarkable feature of this problem lies in that the free boundary is imposed with nonlinear boundary conditions, where a Gibbs–Thomson relation is taken into account. By employing a functional approach, analytic semigroup theory and bifurcation theory, we prove that there exists a positive threshold value γ* of surface tension coefficient γ such that if γ > γ* then the unique flat stationary solution is asymptotically stable under non-flat perturbations, while for γ < γ* this unique flat stationary solution is unstable and there exists a series of non-flat stationary solutions bifurcating from it. The result indicates a significant phenomenon that a smaller value of surface tension coefficient γ may make tumours more aggressive.

This paper addresses a free boundary problem for a steady, uniform patch of vorticity surrounding a single flat plate of zero thickness and finite length. Exact solutions to this problem have previously been found in terms of conformal maps represented by Cauchy-type integrals. Here, however, it is demonstrated how, by considering an associated circular-arc polygon and using ideas from automorphic function theory, these maps can be expressed in a simple non-integral form.

Free boundary problems with nonlinear diffusion occur in various applications, such as solidification over a mould with dissimilar nonlinear thermal properties and saturated or unsaturated absorption in the soil beneath a pond. In this article, we consider a novel inverse problem where a free boundary is determined from the mass/energy specification in a well-posed one-dimensional nonlinear diffusion problem, and a stability estimate is established. The problem is recast as a nonlinear least-squares minimisation problem, which is solved numerically using the lsqnonlin routine from the MATLAB toolbox. Accurate and stable numerical solutions are achieved. For noisy data, instability is manifest in the derivative of the moving free surface, but not in the free surface itself nor in the concentration or temperature.

We revisit the American put and call option valuation problems. We derive analytical formulas for the option prices and approximate ordinary differential equations for the optimal exercise boundaries. Numerical simulations yield accurate option prices and comparable computational speeds when benchmarked against the binomial method for calculating option prices. Our approach is based on the Mellin transform and an adaptation of the Kármán–Pohlausen technique for boundary layers in fluid mechanics.

We study a nonlinear diffusion equationut = uxx + f(u)with Robin boundary condition at x = 0 and with a free boundary conditionat x = h(t), whereh(t) > 0 is a moving boundary representing theexpanding front in ecology models. For anyf ∈ C1 with f(0) = 0, weprove that every bounded positive solution of this problem converges to a stationary one.As applications, we use this convergence result to study diffusion equations withmonostable and combustion types of nonlinearities. We obtain dichotomy results and sharpthresholds for the asymptotic behavior of the solutions.

A free boundary problem, which comes from the model of the perpetual American call options with utility functions in financial market, is investigated. It is a degenerative parabolic free boundary problem and is studied by the line method. The existence, regularity and uniqueness of the solution as well as some properties of the free boundary are established.

We study the partial differential equation

        max{Lu − f, H(Du)} = 0

where u is the unknownfunction, L is a second-order elliptic operator, f is agiven smooth function and H is a convex function. This is a modelequation for Hamilton-Jacobi-Bellman equations arising in stochastic singular control. Weestablish the existence of a unique viscosity solution of the Dirichlet problem that has aHölder continuous gradient. We also show that if H is uniformlyconvex, the gradient of this solution is Lipschitz continuous.

A Bernoulli free boundary problem with geometrical constraints is studied. The domain Ω is constrained to lie in the half space determined by x1 ≥ 0 and its boundary to contain a segment of the hyperplane  {x1 = 0}  where non-homogeneous Dirichlet conditions are imposed. We are then looking for the solution of a partial differential equation satisfying a Dirichlet and a Neumann boundary condition simultaneously on the free boundary. The existence and uniqueness of a solution have already been addressed and this paper is devoted first to the study of geometric and asymptotic properties of the solution and then to the numerical treatment of the problem using a shape optimization formulation. The major difficulty and originality of this paper lies in the treatment of the geometric constraints.

The equation modelling the evolution of a foam (a complex porous medium consisting of a set of gas bubbles surrounded by liquid films) is solved numerically. This model is described by the reaction–diffusion differential equation with a free boundary. Two numerical methods, namely the fixed-point and the averaging in time and forward differences in space (the Crank–Nicolson scheme), both in combination with Newton’s method, are proposed for solving the governing equations. The solution of Burgers’ equation is considered as a special case. We present the Crank–Nicolson scheme combined with Newton’s method for the reaction–diffusion differential equation appearing in a foam breaking phenomenon.

We consider the formation of solid drops(“islands”) occurring in the growth of strained solidfilms. Beginning from a detailed model for the growth of an alloy filmthat incorporates the coupling between composition, elastic stress andthe morphology of the free boundary, we develop an asymptoticdescription of the shape and compositional nonuniformity of smallalloy islands grown at small deposition rates. A key feature of theanalysis is a “thin domain” scaling in the island which enablesrecasting the free boundary problem into a set of integrodifferentialequations for the shape and composition profile. Theintegrodifferential system can be decomposed into two parts: one partgives a single integrodifferential equation for the shape analogous tothat obtained for a single-component island determined by Shanahan andSpencer (2002), and the other part gives the composition profile interms of the shape. Thus, the shape of an alloy island is identical tothat of a single-component island with the same system parameters, butwith a nonuniform composition that depends on the stress-compositioncoupling and alloy solution thermodynamics. Finally, we characterizethe structure and magnitude of the compositional nonuniformity andalso interpret our theoretical results in the context of SiGe alloyfilms.

The maximality principle [6] is shown to be valid in some examples of discounted optimal stopping problems for the maximum process. In each of these examples explicit formulas for the value functions are derived and the optimal stopping times are displayed. In particular, in the framework of the Black-Scholes model, the fair prices of two lookback options with infinite horizon are calculated. The main aim of the paper is to show that in each considered example the optimal stopping boundary satisfies the maximality principle and that the value function can be determined explicitly.

We consider a parabolic 2D Free Boundary Problem, with jump conditions at the interface. Its planar travelling-wave solutions are orbitally stableprovided the bifurcation parameter $u_*$ does not exceed a critical value $u_{*}^{c}$ . The latter isthe limit of a decreasing sequence $(u_{*}^{k})$ of bifurcation points. The paper deals with the study of the 2D bifurcated branchesfrom the planar branch, for small k. Our technique is based on the elimination of the unknown front, turning the problem into a fully nonlinear one, to which we canapply the Crandall-Rabinowitz bifurcation theorem for a local study.We point out that the fully nonlinear reformulation of the FBP can also serve to developefficient numerical schemes in view of global information, such as techniques based on arc length continuation.

We consider the problem of the optimal duration of a burn-in experiment for n identical units with conditionally exponential life-times of unknown parameter Λ. The problem is formulated as an optimal stopping problem for a suitably defined two-dimensional continuous-time Markov process. By exploiting monotonicity properties of the statistical model and of the costs we prove that the optimal stopping region is monotone (according to an appropriate definition) and derive a set of equations that uniquely determine it and that can be easily solved recursively. The optimal stopping region varies monotonically with the costs. For the class of problems corresponding to a prior distribution on Λ of type gamma it is shown how the optimal stopping region varies with respect to the prior distribution and with respect to n.