Related papers: Smooth Value Functions for a Class of Nonsmooth Ut…
This paper is devoted to solving a class of second order Hamilton-Jacobi-Bellman (HJB) equations in the Wasserstein space, associated with mean field control problems involving common noise. The well-posedness of viscosity solutions to the…
In this paper, we study a constrained utility maximization problem following the convex duality approach. After formulating the primal and dual problems, we construct the necessary and sufficient conditions for both the primal and dual…
In this paper we deal with the problem of existence of a smooth solution of the Hamilton-Jacobi-Bellman-Isaacs (HJBI for short) system of equations associated with nonzero-sum stochastic differential games. We consider the problem in…
The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…
In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional It\^o calculus, we build the dynamic programming principle…
In the first part of this thesis, we study the Yamabe problem with singularities, that we can announce as follow: Given a compact Riemannian manifold $(M,g)$, find a constant scalar curvature metric, conformal to $g$, when $g$ has not…
We develop a holomorphic functional calculus for first-order operators $DB$ to solve boundary value problems for Schr\"{o}dinger equations $-\mathrm{div}\, A \nabla u + a V u = 0$ in the upper half-space $\mathbb{R}^{n+1}_+$ with…
For an optimal control problem of an It\^o's type stochastic differential equation, the control process could be taken as open-loop or closed-loop forms. In the standard literature, provided appropriate regularity, the value functions under…
We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovian problems via the Hamilton Jacobi Bellman (HJB) equation.…
Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of viscosity solution, featured by absence of B-continuity, is…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the value function. We consider the totally discretized problem…
We investigate expected utility maximization problems from the terminal liquidation value in continuous time in markets with transaction costs and one fixed consistent price system, where a non-concave utility function is defined on the…
We present new convolution based smooth approximations to the absolute value function and apply them to construct gradient based algorithms such as the nonlinear conjugate gradient scheme to obtain sparse, regularized solutions of linear…
This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes…
We provide some counterexamples concerning the uniqueness and regularity of weak solutions to the initial-boundary value problem for gradient flows of certain strongly polyconvex functionals by showing that such a problem can possess a…
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…
Building upon the dynamic programming principle for set-valued functions arising from many applications, in this paper we propose a new notion of set-valued PDEs. The key component in the theory is a set-valued It\^{o} formula,…
This paper investigates a class of multiscale stochastic control problems driven by $\alpha$-stable L\'evy noises, where the controlled dynamics evolve across separate slow and fast time scales. The associated value functions are governed…