Given a family of measurable functions with , shall we have measurable? If each is continuous, then is lower semicontinuous, so is measurable. However, it may not be true in general.

# A motivating example for a generalized Dirichlet problem

This is an example of Dirichlet problem whose unique solution only meets its boundary in the generalized sense. In other words, there is no solution in classical Dirichlet sense. It is taken from Example 7.8 of [Crandall, Ishii, Lion 1992].

# Uniqueness of a generalized Dirichlet problem: An Example

Recalling that, strong comparison principle is able to identify a unique viscosity solution in . In this below, we have an example having its interior being discontinuous. Is there any theory to justify its uniqueness? Continue reading

# Comparison principle of classical solution for a Dirichlet problem

# A note on the generator of some Levy process

In this below, we will discuss some connections on the several representations on the generator of Levy process. Continue reading

# A representation of a heat equation with initial value

Ito’s formula provides probabilistic representation of PDE with Cauchy terminal data backward in time. By simple change of variable in time, it also provides a useful probabilistic representation of PDE with Cauchy initial data, which recovers Duhamel’s formula. Continue reading

# Reading Stock price from Yahoo Finance with R code

The link (here) will leads you to R-fiddle.org, a cute online platform for running R code.

If you press “Run Code” button, it will show you a graph for the historical SPY price available from Yahoo Finance.