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The problem of existence of arbitrage free and monotone CDO term structure models is studied. Conditions for positivity and monotonicity of the corresponding Heath-Jarrow-Morton-Musiela equation for the $x$-forward rates with the use of the…
This work addresses the classic machine learning problem of online prediction with expert advice. A new potential-based framework for the fixed horizon version of this problem has been recently developed using verification arguments from…
We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.
This paper deals with the unconstrained and constrained cases for continuous-time Markov decision processes under the finite-horizon expected total cost criterion. The state space is denumerable and the transition and cost rates are allowed…
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…
We study a free boundary problem arising from the theory of thermal insulation. The outstanding feature of this set optimization problem is that the boundary of the set being optimized is not a level surface of a harmonic function, but…
We would like to study the solution stability of a parametric control problem governed by semilinear elliptic equations with a mixed state-control constraint, where the cost function is nonconvex and the admissible set is unbounded. The…
We construct asymptotically Euclidean solutions of the vacuum Einstein constraint equations with an apparent horizon boundary condition. Specifically, we give sufficient conditions for the constant mean curvature conformal method to…
In this paper, we study a free boundary problem for a class of nonlinear nonautonomous size structured population model. Using the comparison principle and upper lower solution methods, we establish the existence of the solution for such…
We propose a Model Predictive Control (MPC) with a single-step prediction horizon to approximate the solution of infinite horizon optimal control problems with the expected sum of convex stage costs for constrained linear uncertain systems.…
In this paper, we propose a review of the free boundary formulation for BVPs defined on semi-infinite intervals. The main idea and theorem are illustrated, for the reader convenience, by using a class of second-order BVPs. Moreover, we are…
In this work we consider the free boundary inverse equilibrium problem for 3D ideal MHD. We review boundary conditions for both fixed and free boundary solutions and under what circumstances a sheet current may exist at the plasma-vacuum…
This paper studies asymptotic behavior of solutions of a free boundary problem modeling the growth of tumors with two species of cells: proliferating cells and quiecent cells. In previous literatures it has been proved that this problem has…
We consider an oscillatory obstacle problem where the coincidence set and free boundary are also highly oscillatory. We establish a rate of convergence for a regularized notion of free boundary to the free boundary of a corresponding…
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique classical solution to a parabolic differential equation with…
This paper addresses an open problem in the area of linear quadratic optimal control. We consider the regular, infinite-horizon, stability-modulo-a-subspace, indefinite linear quadratic problem under the assumption that the dynamics are…
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…
In this paper, we introduce the notion of variational free boundary problem. Namely, we say that a free boundary problem is variational if its solutions can be characterized as the critical points of some shape functional. Moreover, we…
We investigate the problem of persistent monitoring, where a mobile agent has to survey multiple targets in an environment in order to estimate their internal states. These internal states evolve with linear stochastic dynamics and the…
The initial boundary value problem for a Cahn-Hilliard system subject to a dynamic boundary condition of Allen-Cahn type is treated. The vanishing of the surface diffusion on the dynamic boundary condition is the point of emphasis. By the…