Related papers: Hopf-Lax formula for variational problems with non…
This paper derives the Hamilton-Jacobi-Bellman equation of nonlinear optimal control problems for cost functions with fractional discount rate from the Bellman's principle of optimality. The fractional discount rate is described by…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [8]. The formula can be…
We formulate a path-dependent stochastic optimal control problem under general conditions, for which weprove rigorously the dynamic programming principle and that the value function is the unique Crandall-Lions viscosity solution of the…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDEs given as a sup--envelope function. This is done through a dynamic programming principle derived from Denis, Hu, Peng (2010). The…
We consider boundary value problems for 1D autonomous damped and delayed semilinear wave equations of the type $$ \partial^2_t u(t,x)- a(x,\lambda)^2\partial_x^2u(t,x)= b(x,\lambda,u(t,x),u(t-\tau,x),\partial_tu(t,x),\partial_xu(t,x)), \; x…
We consider a class of quasi-linear anisotropic elliptic equations, possibly degenerate or singular, which are of interest in several applications such as computer vision and continuum mechanics. We prove a Hopf Lemma as well as local and…
We investigate a mixed local-nonlocal $p$-Laplace equation on the Heisenberg group, where the nonlinear term features a variable singular exponent. Our analysis establishes the existence, uniqueness, and regularity of weak solutions under…
We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a…
We investigate the computation of the gradient of the value function in parametric convex optimization problems. We derive general expression for the gradient of the value function in terms of the cost function, constraints and Lagrange…
We study the Cauchy problem for the first order evolutive Hamilton-Jacobi equation with a Lipschitz initial condition. The Hamiltonian is not necessarily convex in the momentum variable and not a priori compactly supported. We build and…
We prove a new asymptotic mean value formula for the $p$-Laplace operator, $$ \Delta_p u=\text{div}(|\nabla u|^{p-2}\nabla u), $$ valid in the viscosity sense. In the plane, and for a certain range of $p$, the mean value formula holds in…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
We introduce a stochastic fractional calculus. As an application, we present a stochastic fractional calculus of variations, which generalizes the fractional calculus of variations to stochastic processes. A stochastic fractional…
By using coupling arguments, Harnack type inequalities are established for a class of stochastic (functional) differential equations with multiplicative noises and non-Lipschitzian coefficients. To construct the required couplings, two…
This paper is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity…
We study non-convex Hamilton-Jacobi equations in the presence of gradient constraints and produce new, optimal, regularity results for the solutions. A distinctive feature of those equations regards the existence of a lower bound to the…
In this work, we consider the regularity property of stochastic convolutions for a class of abstract linear stochastic retarded functional differential equations with unbounded operator coefficients. We first establish some useful estimates…
A simple non-autonomous scalar differential equation with delay, exponential decay, nonlinear negative feedback and a periodic multiplicative coefficient is considered. It is shown that stable slowly oscillating periodic solutions with the…
In this article, we investigate the existence and properties of time-periodic solutions for damped evolutionary partial differential equations subject to periodic forcing. Particular emphasis is placed on configurations where the energy…
Functionals with values in Non-Archimedean field of Laurent series applied to the definition of generalized solution (in the form of soliton and shock wave) of the Hopf equation and equations of elasticity theory. Calculation method for the…