Related papers: Singular Hamilton-Jacobi equation for the tail pro…

We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…

Classical models for multivariate or spatial extremes are mainly based upon the asymptotically justified max-stable or generalized Pareto processes. These models are suitable when asymptotic dependence is present, i.e., the joint tail…

There is accumulating evidence in the literature that stability of learning algorithms is a key characteristic that permits a learning algorithm to generalize. Despite various insightful results in this direction, there seems to be an…

We study the persistence and propagation (or blocking) phenomena for a species in periodically hostile environments. The problem is described by a reaction-diffusion equation with zero Dirichlet boundary condition. We first derive the…

Viscosity solutions of fully nonlinear, local or non local, Hamilton-Jacobi equations with a super-quadratic growth in the gradient variable are proved to be H\"older continuous, with a modulus depending only on the growth of the…

Following previous works about integro-differential equations of parabolic type modelling the Darwinian evolution of a population, we study a two-population system in the cooperative case. First, we provide a theoretical study of the limit…

In this paper we first provide several conditional limit theorems for L\'evy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic behavior of expectations of some exponential functionals of…

Models for extreme values are generally derived from limit results, which are meant to be good enough approximations when applied to finite samples. Depending on the speed of convergence of the process underlying the data, these…

We study a class of parabolic equations having first order terms with superlinear (and subquadratic) growth. The model problem is the so-called viscous Hamilton-Jacobi equation with superlinear Hamiltonian. We address the problem of having…

The main purpose of this paper is to study the global propagation of singularities of viscosity solution to discounted Hamilton-Jacobi equation \begin{equation}\label{eq:discount 1}\tag{HJ$_\lambda$} \lambda v(x)+H( x, Dv(x) )=0 , \quad…

This paper deals with solutions of the nonlinear Boltzmann equation for spatially uniform freely cooling inelastic Maxwell models for large times and for large velocities, and the nonuniform convergence to these limits. We demonstrate how…

This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…

We show that non-dominated sorting of a sequence of i.i.d. random variables in Euclidean space has a continuum limit that corresponds to solving a Hamilton-Jacobi equation involving the probability density function of the random variables.…

We study a stochastic branching model for a population structured by a quantitative phenotypic trait and subject to births, deaths, and mutations. In a regime of large population and small mutations, and in logarithmic scales of size and…

Global classical solutions to the viscous Hamilton-Jacobi equation with homogenious Dirichlet boundary conditions are shown to converge to zero at the same speed as the linear heat semigroup when p > 1. For p = 1, an exponential decay to…

In this paper we study a reaction diffusion problem with anisotropic diffusion and mixed Dirichlet-Neumann boundary conditions on the boundary of the domain. First, we prove that the parabolic problem has a unique positive, bounded…

We investigate the relaxation of long-tailed distributions under stochastic dynamics that do not support such tails. Linear relaxation is found to be a borderline case in which long tails are exponentially suppressed in time but not…

We prove the existence and the uniqueness of strong solutions for the viscous Hamilton-Jacobi Equation with Neumann boundary condition and initial data a continious function. Then, we study the large time behavior of the solutions.

In this paper, we provide an example of the optimal growth model in which there exist infinitely many solutions to the Hamilton-Jacobi-Bellman equation but the value function does not satisfy this equation. We consider the cause of this…

We give a new perspective on the existence of viscosity solutions for a stationary and a time-dependent first-order Hamilton-Jacobi equation. Following recent comparison principles, we work in a framework in which we consider a subsolution…