Related papers: Explicit solution of the optimal fluctuation probl…
We study the problem of the minimum-time damping of a closed string under a bounded load, applied at a single fixed point. A constructive feedback control law is designed, which allows bringing the system to a bounded neighbourhood of the…
We study distributionally robust Expected Shortfall when the distribution of the underlying is perturbed by a size quantified with optimal transport distance based on the quadratic cost function. In the dual version of the robust…
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to…
This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as a (stochastic) control on the size of the population. The…
The explicit expression for the the probability distribution function of the endpoint fluctuations of one-dimensional directed polymers in random potential is derived in terms of the Bethe ansatz replica technique by mapping the replicated…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
In this paper we investigate the possibility of obtaining a measure representation for function- als arising in the context of optimal design problems under non-standard growth conditions and perimeter penalization. Applications to…
We simulate the low temperature behaviour of an elastic chain in a random potential where the displacements $u(x)$ are confined to the {\it longitudinal} direction ($u(x)$ parallel to $x$) as in a one dimensional charge density wave--type…
In this paper, a novel approach to the problem of estimating the heavy-tail exponent alpha>0 of a distribution is proposed. It is based on the fact that block-maxima of size m of the independent and identically distributed data scale at a…
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21]…
This paper is concerned with a kind of risk-sensitive optimal control problem for fully coupled forward-backward stochastic systems. The control variable enters the diffusion term of the state equation and the control domain is not…
The distribution of the maximal relative height (MRH) of self-affine one-dimensional elastic interfaces in a random potential is studied. We analyze the ground state configuration at zero driving force, and the critical configuration…
We investigate numerically the relaxation dynamics of an elastic string in two-dimensional random media by thermal fluctuations starting from a flat configuration. Measuring spatial fluctuations of its mean position, we find that the…
We investigate properties of the particle distribution near the tip of one-dimensional branching random walks at large times $t$, focusing on unusual realizations in which the rightmost lead particle is very far ahead of its expected…
We study numerically the geometrical and free-energy fluctuations of a static one-dimensional (1D) interface with a short-range elasticity, submitted to a quenched random-bond Gaussian disorder of finite correlation length $\xi>0$, and at…
We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein--Uhlenbeck and…
Using the maximum-entropy method, we calculate the end-to-end distance distribution of the force stretched chain from the moments of the distribution, which can be obtained from the extension-force curves recorded in single-molecule…
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
We discuss the distribution of the largest eigenvalue of a random N x N Hermitian matrix. Utilising results from the quantum gravity and string theory literature it is seen that the orthogonal polynomials approach, first introduced by…
We investigate quantum persistence by analyzing amplitude and phase fluctuations of the wave function governed by the time-dependent free-particle Schr\"odinger equation. The quantum system is initialized with local random uncorrelated…