Related papers: Regularity of the Optimal Stopping Problem for Jum…
In this paper we consider a one-dimensional diffusion equation on the interval $[0,1]$ satisfying non-Feller boundary conditions. As a consequence, the initial value Cauchy problem fails to preserve nonnegativity or boundedness.…
'A basic and basically unsolved problem in fluid dynamics is to determine the evolution of rising bubbles and falling drops of one miscible liquid in another' [1]. Here, we address this important literature gap and present the first theory…
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed…
In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process. We are interested in the estimations of the volatility function and of the jump function from discrete high-frequency observations in a…
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoff via the scale…
In this article, we apply a probabilistic approach to study general mean field type control (MFTC) problems with jump-diffusions, and give the first global-in-time solution. We allow the drift coefficient $b$ and the diffusion coefficient…
A review of solutions of solid-state diffusion problems in infinite and semi-infinite bodies is presented. Based on the identified solutions for the semi-infinite body a two-step diffusion problem is discussed in detail with the first step…
We study the asymptotic behaviour near extinction of positive solutions of the Cauchy problem for the fast diffusion equation with a subcritical exponent. We show that separable solutions are stable in some suitable sense by finding a class…
In this work, we consider the numerical solution of an initial boundary value problem for the distributed order time fractional diffusion equation. The model arises in the mathematical modeling of ultra-slow diffusion processes observed in…
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and…
Diffusion models excel at capturing complex data distributions, such as those of natural images and proteins. While diffusion models are trained to represent the distribution in the training dataset, we often are more concerned with other…
We estimate the variance of the value function for a random optimal control problem. The value function is the solution $w^\epsilon$ of a Hamilton-Jacobi equation with random Hamiltonian $H(p,x,\omega) = K(p) - V(x/\epsilon,\omega)$ in…
In this note we prove sharp lower error bounds for numerical methods for jump-diffusion stochastic differential equations (SDEs) with discontinuous drift. We study the approximation of jump-diffusion SDEs with non-adaptive as well as…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability characteristics. We give a partial answer to this question for…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
We employ the viscosity solution technique to analyze optimal stopping problems with regime switching. Specifically, we obtain the viscosity property of value functions, the uniqueness of viscosity solutions, the regularity of value…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
In this note we study the singular vanishing-viscosity limit of a gradient flow set in a finite-dimensional Hilbert space and driven by a smooth, but possibly non convex, time-dependent energy functional. We resort to ideas and techniques…