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Advances in Mathematical Finance and Optimal Transport

Free boundary problems with blow-ups: probabilistic solutions and applications

speaker: Mykhaylo Skolnikov (Princeton University)

abstract: I will explain a new, probabilistic, solution concept for free boundary problems with blow-ups, in which boundary points may move at infinite speed. In the first half of the talk, I will discuss the prototypical example of such a problem, the one-dimensional one-phase supercooled Stefan problem, and its applications in detail. The second half of the talk will outline the current scope of this new solution concept, which includes the supercooled Stefan problem with kinetic regularization and two-phase Stefan problems in one dimension, as well as certain multidimensional versions of these problems. Based on joint works with Sergey Nadtochiy, Francois Delarue, Graeme Baker and Xiling Zhang.

Tue 28 Jun, 14:30 - 15:15, Aula Dini
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