Related papers: On a class of optimal stopping problems for diffus…
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…
We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optimal times of alarms are found as the first times at which the…
In this paper, we mainly introduce a general method to study the existence and uniqueness of solution of free boundary problems with partially degenerate diffusion.
In this paper, we solve explicitly the optimal stopping problem with random discounting and an additive functional as cost of observations for a regular linear diffusion. We also extend the results to the class of one-sided regular Feller…
In this note, we discuss a poorly known alternative boundary condition to the usual Neumann or `stress-free' boundary condition typically used to weaken boundary layers when diffusion is present but very small. These `diffusion-free'…
We propose finite difference methods for degenerate fully nonlinear elliptic equations and prove the convergence of the schemes. Our focus is on the pure equation and a related free boundary problem of transmission type. The cornerstone of…
In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
A free boundary problem arising from the optimal reinforcement of a membrane or from the reduction of traffic congestion is considered; it is of the form $$\sup_{\int_D\theta\,dx=m}\ \inf_{u\in H^1_0(D)}\int_D\Big(\frac{1+\theta}{2}|\nabla…
We consider the optimal control of singular nonlinear partial differential equation which is the distributional formulation of the multiphase Stefan type free boundary problem for the general second order parabolic equation. Boundary heat…
One-dimensional free boundary problem for a nonlinear diffusion - convection equation with a Dirichlet condition at fixed face $x=0$, variable in time, is considered. Throught several transformations the problem is reduced to a free…
We propose and analyze a one-dimensional multi-species cross-diffusion system with non-zero-flux boundary conditions on a moving domain, motivated by the mod- eling of a Physical Vapor Deposition process. Using the boundedness by entropy…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying…
We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This immediately leads to a formula for the distribution of the…
We propose a double obstacle phase field approach to the recovery of piece-wise constant diffusion coefficients for elliptic partial differential equations. The approach to this inverse problem is that of optimal control in which we have a…
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…
We present a meshfree generalized finite difference method for solving Poisson's equation with a diffusion coefficient that contains jump discontinuities up to several orders of magnitude. To discretize the diffusion operator, we formulate…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…