Doctor of Philosophy / Department of Mathematics / Ivan Blank / In the Fermi Lectures on the obstacle problem in 1998, Caffarelli gave a proof of the mean value theorem which extends to general divergence form uniformly elliptic operators. In the general setting, the result shows that for any such operator L and at any point [chi]₀ in the domain, there exists a nested family of sets { D[subscript]r([chi]₀) } where the average over any of those sets is related to the value of the function at [chi]₀. Although it is known that the { D[subscript]r([chi]₀) } are nested and are comparable to balls in the sense that there exists c, C depending only on L such that B[subscript]cr([chi]₀) ⊂ D[subscript]r([chi]₀) ⊂ B[subscript]Cr([chi]₀) for all r > 0 and [chi]₀ in the domain, otherwise their geometric and topological properties are largely unknown. In this work we begin the study of these topics and we prove a few results about the geometry of these sets and give a couple of applications of the theorems.

This paper considers a free energy functional and corresponding free boundary problem for multilayered structures which arise from a mixture of a block copolymer and a weak solvent. The free boundary problem is formally derived from the limit of large solvent/polymer segregation and intermediate segregation between monomer species. A change of variables based on Legendre transforms of the effective bulk energy is used to explicitly construct a family of equilibrium solutions. The second variation of the effective free energy of these solutions is shown to be positive. This result is used to show more generally that equilibria are local minimizers of the free energy.

We deal with a free boundary problem for a nonlinear parabolic equation, which includes a parameter in the free boundary condition. This type of system has been used in models of ecological systems, in chemical reactor theory and other kinds of propagation phenomena involving reactions and diffusion. The main purpose of this dissertation is to show the global existence, uniqueness of solutions and that a Hopf bifurcation occurs at a critical value of the parameter r. The existence and uniqueness of the solution for this problem are shown by finding an equivalent regular free boundary problem to which existence results can be applied. We then show that as the bifurcation parameter r decreases and passes through a critical value rc, the stationary solution loses stability and a stable periodic solution appears. Several figures have been included, which illustrate this transistion. The pascal source program used in the numerical simulation is included in an appendix.

Implementation of the ultrasonic second harmonic generation has typically been restricted to simple setups such as through-transmission or Rayleigh surface waves. Recent research has evaluated the second harmonic generation in P- and SV- waves reflected from a stress-free surface to enable the single-sided interrogation of a specimen. This research considers the second harmonic generation in an aluminum specimen, which is analytically evaluated using an approach based on the perturbation method. Here, the model is chosen to mimic an experimental setup where a longitudinal wave is generated at an oblique angle and the reflected wave is detected using a set of wedge transducers. Due to mode conversion at the interface of the wedge and the specimen, it is necessary to evaluate longitudinal and shear waves, determining all second harmonic waves generated in the bulk and at the stressfree boundary. The theoretically developed model is then implemented in a commercial finite element code, COMSOL, using increasing fundamental wave amplitudes for different values of third order elastic constants. The results of this computational model verify the analytical approach and the proposed measurement setup, taking into account assumptions and approximations of the solution procedure. Furthermore, the computational model is used to draw important conclusions relevant to the experimental setup, including the need to avoid evolving surface waves and interactions with diffracted waves. These numerical results are used to develop a recommendation for the measurement position and incident angle. Finally, the nonlinearity of two different aluminum specimens is measured with the suggested measurement setup and the results confirm the feasibility of the single-sided determination of the acoustic nonlinearity using reflected bulk waves.

Doctor of Philosophy / Department of Mathematics / Ivan Blank / We study the obstacle problem with an elliptic operator in nondivergence form with principal coefficients in VMO. We develop all of the basic theory of existence, uniqueness, optimal regularity, and nondegeneracy of the solutions. These results, in turn, allow us to begin the study of the regularity of the free boundary, and we show existence of blowup limits, a basic measure stability result, and a measure-theoretic version of the Caffarelli alternative proven in Caffarelli's 1977 paper ``The regularity of free boundaries in higher dimensions." Finally, we show that blowup limits are in general not unique at free boundary points.

The main contribution of this thesis is to examine binary options within the British payoff mechanism introduced by Peskir and Samee. This includes British cash-or-nothing put, British asset-or-nothing put, British binary call and American barrier binary options. We assume the geometric Brownian motion model and reduce the optimal stopping problems to free-boundary problems under the Markovian nature of the underlying process. With the help of the local time-space formula on curves, we derive a closed form expression for the arbitrage-free price in terms of the rational exercise boundary and show that the rational exercise boundary itself can be characterised as the unique solution to a non-linear integral equation. We begin by investigating the binary options of American-type which are also called `one-touch' binary options. Then we move on to examine the British binary options. Chapter~2 reviews the existing work on all different types of the binary options and sets the background for the British binary options. We price and analyse the American-type (one-touch) binary options using the risk-neutral probability method. In Chapters~3 ~4 and ~5, we present the British binary options where the holder enjoys the early exercise feature of American binary options whereupon his payoff is the `best prediction' of the European binary options payoff under the hypothesis that the true drift equals a contract drift. Based on the observed price movements, if the option holder finds that the true drift of the stock price is unfavourable then he can substitute it with the contract drift and minimise his losses. The key to the British binary option is the protection feature as not only can the option holder exercise at unfavourable stock price to a substantial reimbursement of the original option price (covering the ability to sell in a liquid option market completely endogenously) but also when the stock price movements are favourable he will generally receive high returns. Chapters~3 and~4 focus on the British binary put options and Chapter~5 on call options. We also analyse the financial meaning of the British binary options and show that with the contract drift properly selected the British binary options become very attractive alternatives to the classic European/American options. Chapter~6 extends the binary options into barrier binary options and discusses the application of the optimal structure without a smooth-fit condition in the option pricing. We first review the existing work for the knock-in options and present the main results from the literature. Then we examine the method in \cite{dai2004knock} in the application to the knock-in binary options. For the American knock-out binary options, the smooth-fit property does not hold when we apply the local time-space formula on curves. We transfer the expectation of the local time term into a computational form under the basic properties of Brownian motion. Using standard arguments based on Markov processes, we analyse the properties of the value function.

This thesis consists of five papers and it mainly addresses the theory and schemes to approximate the quadrature domains, QDs. The first deals with the uniqueness and some qualitative properties of the two QDs. The concept of two phase QDs, is more complicated than its one counterpart and consequently introduces significant and interesting open. We present two numerical schemes to approach the one phase QDs in the paper. The first method is based on the properties of the free boundary the level set techniques. We use shape optimization analysis to construct second method. We illustrate the efficiency of the schemes on a variety of experiments. In the third paper we design two finite difference methods for the approximation of the multi phase QDs. We prove that the second method enjoys monotonicity, consistency and stability and consequently it is a convergent scheme by Barles-Souganidis theorem. We also present various numerical simulations in the case of Dirac measures. We introduce the QDs in a sub domain of and Rn study the existence and uniqueness along with a numerical scheme based on the level set method in the fourth paper. In the last paper we study the tangential touch for a semi-linear problem. We prove that there is just one phase free boundary points on the flat part of the fixed boundary and it is also shown that the free boundary is a uniform C1-graph up to that part. / Denna avhandling består av fem artiklar och behandlar främst teori och numeriska metoder för att approximera "quadrature domians", QDs. Den första artikeln behandlar entydighet och allmänna egenskaper hos tvåfas QDs. Begreppet tvåfas QDs, är mer komplicerat än enafasmotsvarigheten och introducerar därmed intressanta öppna problem. Vi presenterar två numeriska metoder för att approximera enfas QDs i andra artikeln. Den första metoden är baserad på egenskaperna hos den fria randen och nivå mängdmetoden. Vi använder forsoptimeringmanalys för att konstruera den andra metoden. Båda metoderna är testade i olika numeriska simuleringar. I det tredje artikeln vi approximera flerafas QDs med konstruktionen tvåmetoder finita differens. Vi visar att den andra metoden har monotonicitat, konsistens och stabilitet och följaktligen är metoden konvergent tack vare Barles-Souganidis sats. Vi presenterar också olika numeriska simuleringar i fallet med Diracmåt. Vi introducerar QDs i en delmängd av Rn och studerar existens och entydighet jämte en numerisk metod baserad på nivå mängdmetoden i fjärde pappret. I det sista pappret studerar vi den tangentiella touchen för ett semilinjärt problem. Vi visar att det enbart är enafasrandpunkter på den platta delen av den fixerade randen. Vi visar också att den fria randen är en likformig C1-graf upp till den delen av den fixerade randen.

abstract: In a 2004 paper, John Nagy raised the possibility of the existence of a hypertumor \emph{i.e.}, a focus of aggressively reproducing parenchyma cells that invade part or all of a tumor. His model used a system of nonlinear ordinary differential equations to find a suitable set of conditions for which these hypertumors exist. Here that model is expanded by transforming it into a system of nonlinear partial differential equations with diffusion, advection, and a free boundary condition to represent a radially symmetric tumor growth. Two strains of parenchymal cells are incorporated; one forming almost the entirety of the tumor while the much more aggressive strain appears in a smaller region inside of the tumor. Simulations show that if the aggressive strain focuses its efforts on proliferating and does not contribute to angiogenesis signaling when in a hypoxic state, a hypertumor will form. More importantly, this resultant aggressive tumor is paradoxically prone to extinction and hypothesize is the cause of necrosis in many vascularized tumors. / Dissertation/Thesis / Doctoral Dissertation Applied Mathematics 2014

Philosophiae Doctor - PhD / Conventional partial differential equations under the classical Black-Scholes approach have been extensively explored over the past few decades in solving option pricing problems. However, the underlying Efficient Market Hypothesis (EMH) of classical economic theory neglects the effects of memory in asset return series, though memory has long been observed in a number financial data. With advancements in computational methodologies, it has now become possible to model different real life physical phenomenons using complex approaches such as, fractional differential equations (FDEs). Fractional models are generalised models which based on literature have been found appropriate for explaining memory effects observed in a number of financial markets including the stock market. The use of fractional model has thus recently taken over the context of academic literatures and debates on financial modelling. / 2023-12-02

The Mullins-Sekerka problem, also called two-sided Hele-Shaw flow, arises in modeling a binary material with two stable concentration phases. A coarsening process occurs, and large particles grow while smaller particles eventually dissolve. Single particles become spherical. This process is described by evolving harmonic functions within the two phases with the moving interface driven by the jump in the normal derivatives of the harmonic functions at the interface. The harmonic functions are continuous across the interface, taking on values equal to the mean curvature of the interface. This dissertation reformulates the three-dimensional problem as one on the two-dimensional interface by using boundary integrals. A semi-implicit scheme to solve the free boundary problem numerically is implemented. Numerical analysis tasks include discretizing surfaces, overcoming node bunching, and dealing with topology change in a toroidal particle. A particle (node)-cluster technique is developed with the aim of alleviating excessive run time caused by filling the dense matrix used in solving a system of linear equations.