Related papers: Strong maximum principle for radiative tranfer typ…
This paper is concerned with the study of the Strong Maximum Principle for semicontinuous viscosity solutions of fully nonlinear, second-order parabolic integro-differential equations. We study separately the propagation of maxima in the…
We provide a framework for high-order discretizations of nonlinear scalar convection-diffusion equations that satisfy a discrete maximum principle. The resulting schemes can have arbitrarily high order accuracy in time and space, and can be…
In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov sub-diffusion $B_{L_t}$, which have the mixed features of deterministic and stochastic controls. Here $B_t$ is the standard Brownian…
The strong maximum principle is a remarkable characterization of parabolic equations, which is expected to be partly inherited by fractional diffusion equations. Based on the corresponding weak maximum principle, in this paper we establish…
In this paper, we prove the necessary and sufficient maximum principles (NSMPs in short) for the optimal control of systems described by a quasilinear stochastic heat equation within convex control domains, which all the coefficients…
This is a study of a class of nonlocal nonlinear diffusion equations. We present a strong maximum principle for nonlocal time-dependent Dirichlet problems. Results are for bounded functions of space, rather than (semi)-continuous functions.…
We study the validity of the comparison and maximum principles, and their relation with principal eigenvalues, for a class of degenerate nonlinear operators that are extremal among operators with one dimensional fractional diffusion.
We give a unified approach to strong maximum principles for a large class of nonlocal operators of the order $s\in(0,1)$, that includes the Dirichlet, the Neumann Restricted (or Regional) and the Neumann Semirestricted Laplacians.
In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stochastic differential equations (SDEs) of mean-field type, in…
We introduce a notion of subunit vector field for fully nonlinear degenerate elliptic equations. We prove that an interior maximum of a viscosity subsolution of such an equation propagates along the trajectories of subunit vector fields.…
We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controlled dissipative systems in finite dimensions. The strategy we…
We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type…
The classical heat equation is incompatible with relativity, since the strong maximum principle allows for disturbances to propagate instantaneously. Some authors have proposed limiting the propagation speed by adding a linear hyperbolic…
In this paper, we investigate the strong maximum principle for generalized solutions of Monge-Amp\`ere type equations. We prove that the strong maximum principle holds at points where the function is strictly convex but not necessarily…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
We consider a non-stationary Cox-Ingersoll-Ross process. We establish a sharp large deviation principle for the maximum likelihood estimator of its drift parameter.
In this paper, we focus on a space-time fractional diffusion equation with the generalized Caputo's fractional derivative operator and a general space nonlocal operator (with the fractional Laplace operator as a special case). A weak…
In this work, we introduce a stochastic maximum principle (SMP) approach for solving the reinforcement learning problem with the assumption that the unknowns in the environment can be parameterized based on physics knowledge. For the…
In this paper the necessary conditions of optimality in the form of maximum principle are derived for a very general class of variational problems. This class includes problems with any optimization criteria and constraints that can be…
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…