Blow-up results of the positive solution for a class of degenerate parabolic equations

This paper is devoted to discussing the blow-up problem of the positive solution of the following degenerate parabolic equations: ( r ( u ) ) t = div ( ∣ ∇ u ∣ p ∇ u ) + f ( x , t , u , ∣ ∇ u ∣ 2 ) , ( x , t ) ∈ D × ( 0 , T ∗ ) , ∂ u ∂ ν + σ u = 0 , ( x , t ) ∈ ∂ D × ( 0 , T ∗ ) , u ( x , 0 ) = u 0 ( x ) , x ∈ D ¯ . \left\{\begin{array}{ll}{(r\left(u))}_{t}={\rm{div}}(| \nabla u{| }^{p}\nabla u)+f\left(x,t,u,| \nabla u\hspace{-0.25em}{| }^{2}),& \left(x,t)\in D\times \left(0,{T}^{\ast }),\\ \frac{\partial u}{\partial \nu }+\sigma u=0,& \left(x,t)\in \partial D\times \left(0,{T}^{\ast }),\\ u\left(x,0)={u}_{0}\left(x),& x\in \overline{D}.\end{array}\right. Here p > 0 p\gt 0 , the spatial region D ⊂ R n ( n ≥ 2 ) D\subset {{\mathbb{R}}}^{n}\hspace{0.33em}\left(n\ge 2) is bounded, and its boundary ∂ D \partial D is smooth. We give the conditions that cause the positive solution of this degenerate parabolic problem to blow up. At the same time, for the positive blow-up solution of this problem, we also obtain an upper bound of the blow-up time and an upper estimate of the blow-up rate. We mainly carry out our research by means of maximum principles and first-order differential inequality technique.

Predictor-Corrector Balance Method for the Worst-Case 1D Option Pricing

The paper presents a numerical approach for computation of the first spatial Greek, the Delta, of the option value, governed by the Black–Scholes equation with uncertain volatility and dividend yield. This fully nonlinear degenerate parabolic problem is handled by a monotone finite volume spatial discretization and a second-order predictor-corrector time stepping. Ample numerical results illustrate the performance of the algorithm.