Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions

This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with affine processes via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explode at a given time. In these two cases, we also compute the long-term growth rate and the explosion rate for exponential moments. These results provide a handle to study implied volatility asymptotics in models where returns of stock prices are described by affine processes whose exponential moments do not have an explicit formula.Comment: 36 pages, 5 figure

Large time behavior of solutions of viscous Hamilton-Jacobi Equations with superquadratic Hamiltonian

We study the long-time behavior of the unique viscosity solution $u$ of the viscous Hamilton-Jacobi Equation $u_t-\Delta u + |Du|^m = f\hbox{in }\Omega\times (0,+\infty)$ with inhomogeneous Dirichlet boundary conditions, where $\Omega$ is a bounded domain of $\mathbb{R}^N$. We mainly focus on the superquadratic case ($m>2$) and consider the Dirichlet conditions in the generalized viscosity sense. Under rather natural assumptions on $f,$ the initial and boundary data, we connect the problem studied to its associated stationary generalized Dirichlet problem on one hand and to a stationary problem with a state constraint boundary condition on the other hand

Post-collapse dynamics of self-gravitating Brownian particles in D dimensions

We address the post-collapse dynamics of a self-gravitating gas of Brownian particles in D dimensions, in both canonical and microcanonical ensembles. In the canonical ensemble, the post-collapse evolution is marked by the formation of a Dirac peak with increasing mass. The density profile outside the peak evolves self-similarly with decreasing central density and increasing core radius. In the microcanonical ensemble, the post-collapse regime is marked by the formation of a ``binary''-like structure surrounded by an almost uniform halo with high temperature. These results are consistent with thermodynamical predictions

The profile of boundary gradient blow-up for the diffusive Hamilton-Jacobi equation

We consider the diffusive Hamilton-Jacobi equation $$u_t-\Delta u=|\nabla u|^p,$$ with Dirichlet boundary conditions in two space dimensions, which arises in the KPZ model of growing interfaces. For $p>2$, solutions may develop gradient singularities on the boundary in finite time, and examples of single-point gradient blowup on the boundary are known, but the space-profile in the tangential direction has remained a completely open problem. In the parameter range $2<p\le 3$, for the case of a flat boundary and an isolated singularity at the origin, we give an answer to this question, obtaining the precise final asymptotic profile, under the form $$u_y(x,y,T) \sim d_p\Bigl[y+C|x|^{2(p-1)/(p-2)}\Bigr]^{-1/(p-1)},\quad\hbox{as $(x,y)\to (0,0)$.}$$ Interestingly, this result displays a new phenomenon of strong anisotropy of the profile, quite different to what is observed in other blowup problems for nonlinear parabolic equations, with the exponents $1/(p-1)$ in the normal direction $y$ and $2/(p-2)$ in the tangential direction $x$. Furthermore, the tangential profile violates the (self-similar) scale invariance of the equation, whereas the normal profile remains self-similar.Comment: Int. Math. Res. Not. IMRN, to appea