On Φ-variation for 1-d scalar conservation laws

Let [Formula: see text] be a convex function satisfying [Formula: see text], [Formula: see text] for [Formula: see text], and [Formula: see text]. Consider the unique entropy admissible (i.e. Kružkov) solution [Formula: see text] of the scalar, 1-d Cauchy problem [Formula: see text], [Formula: see text]. For compactly supported data [Formula: see text] with bounded [Formula: see text]-variation, we realize the solution [Formula: see text] as a limit of front-tracking approximations and show that the [Formula: see text]-variation of (the right continuous version of) [Formula: see text] is non-increasing in time. We also establish the natural time-continuity estimate [Formula: see text] for [Formula: see text], where [Formula: see text] depends on [Formula: see text]. Finally, according to a theorem of Goffman–Moran–Waterman, any regulated function of compact support has bounded [Formula: see text]-variation for some [Formula: see text]. As a corollary we thus have: if [Formula: see text] is a regulated function, so is [Formula: see text] for all [Formula: see text].

Space regularity for evolution operators modeled on Hörmander vector fields with time dependent measurable coefficients

We consider a heat-type operator $$\mathcal {L}$$ L structured on the left invariant 1-homogeneous vector fields which are generators of a Carnot group, with a uniformly positive matrix of bounded measurable coefficients depending only on time. We prove that if $$\mathcal {L}u$$ L u is smooth with respect to the space variables, the same is true for u, with quantitative regularity estimates in the scale of Sobolev spaces defined by right invariant vector fields. Moreover, the solution and its space derivatives of every order satisfy a 1/2-Hölder continuity estimate with respect to time. The result is proved both for weak solutions and for distributional solutions, in a suitable sense.

Sensitivity analysis of the optimal exercise boundary of the American put option

We consider the American put problem in a general one-dimensional diffusion model. The risk-free interest rate is constant, and volatility is assumed to be a function of time and stock price. We use the well-known parabolic obstacle problem and establish the continuity estimate of the optional exercise boundaries of the American put option with respect to the local volatilities, which may be considered as a generalization of the Achdou results [1].