Related papers: Singular Hamilton-Jacobi equation for the tail pro…
A two-person zero-sum differential game with unbounded controls is considered. Under proper coercivity conditions, the upper and lower value functions are characterized as the unique viscosity solutions to the corresponding upper and lower…
The Cauchy-Dirichlet pbm for the superquadratic viscous Hamilton-Jacobi eqn (VHJ), which has important applications in stochastic control theory, admits a unique, global viscosity solution. Sol. thus exist in the weak sense after appearance…
We study the large-time asymptotic of renewal-reward processes with a heavy-tailed waiting time distribution. It is known that the heavy tail of the distribution produces an extremely slow dynamics, resulting in a singular large deviation…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
It is shown that extreme problem for one-dimensional Euler-Lagrange variational functional in $C^1[a;b]$ under the strengthened Legendre condition can be solved without using Hamilton-Jacobi equation. In this case, exactly one of the two…
We study an equation structured by age and a phenotypic trait describing the growth process of a population subject to aging, competition between individuals, and mutations. This leads to a renewal equation which occurs in many evolutionary…
We establish upper and lower bounds with matching leading terms for tails of weighted sums of two-sided exponential random variables. This extends Janson's recent results for one-sided exponentials.
An asymptotic analysis for a system with equation and dynamic boundary condition of Cahn-Hilliard type is carried out as the coefficient of the surface diffusion acting on the phase variable tends to 0, thus obtaining a forward-backward…
This paper deals with the long-time behavior of solutions of nonlinear reaction-diffusion equations describing formation of morphogen gradients, the concentration fields of molecules acting as spatial regulators of cell differentiation in…
Just like AdS spacetimes, Lifshitz spacetimes require counterterms in order to make the on-shell value of the bulk action finite. We study these counterterms using the Hamilton-Jacobi method. Rather than imposing boundary conditions from…
In this paper, we guarantee the existence and uniqueness (in the almost everywhere sense) of the solution to a Hamilton-Jacobi-Bellman (HJB) equation with gradient constraint and a partial integro-differential operator whose L\'evy measure…
We consider the diffusive Hamilton-Jacobi equation $$u_t-\Delta u=|\nabla u|^p,$$ with Dirichlet boundary conditions in two space dimensions, which arises in the KPZ model of growing interfaces. For $p>2$, solutions may develop gradient…
We investigate the long term behavior in terms of finite dimensional global and exponential attractors, as time goes to infinity, of solutions to a semilinear reaction-diffusion equation on non-smooth domains subject to nonlocal Robin…
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior…
We consider a new approach in the definition of two-dimensional heavy-tailed distributions. Namely, we introduce the classes of two-dimensional long-tailed, of twodimensional dominatedly varying and of two-dimensional consistently varying…
We examine statistical pictures of violent conflicts over the last 2000 years, finding techniques for dealing with incompleteness and unreliability of historical data. We introduce a novel approach to apply extreme value theory to…
Applying a modification of Extreme value Theory (thanks to a dual distribution technique by the authors on data over the past 2,500 years, we show that pandemics are extremely fat-tailed in terms of fatalities, with a marked potentially…
We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a type of backward stochastic differential equation (BSDE) with…
We establish a weak-strong uniqueness principle for solutions to entropy-dissipating reaction-diffusion equations: As long as a strong solution to the reaction-diffusion equation exists, any weak solution and even any renormalized solution…
We consider a class of birth/death like process corresponding to coupled biochemical reactions and consider the problem of quantifying the variance of the molecular species in terms of the rates of the reactions. In particular, we address…