Related papers: A probabilistic approach to interior regularity of…

This is the first of a series of papers on the interior regularity of fully nonlinear degenerate elliptic equations. We consider a stochastic optimal control problem in which the diffusion coefficients, drift coefficients and discount…

We study the smoothness of the upper and lower value functions of stochastic differential games in the framework of time-homogeneous (possibly degenerate) diffusion processes in a domain, under the assumption that the diffusion, drift and…

We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes with dynamics depending on the whole collection of marginal…

This paper considers a class of nonlinear, degenerate drift- diffusion equations. We study well-posedness and regularity properties of the solutions, with the goal to achieve uniform H\"{o}lder regularity in terms of $L^p$-bound on the…

We propose finite difference methods for degenerate fully nonlinear elliptic equations and prove the convergence of the schemes. Our focus is on the pure equation and a related free boundary problem of transmission type. The cornerstone of…

We study the problem of computing the value function from a discretely-observed trajectory of a continuous-time diffusion process. We develop a new class of algorithms based on easily implementable numerical schemes that are compatible with…

We establish several results related to existence, nonexistence or bifurcation of positive solutions for a Dirichlet boundary value problem with in a smooth bounded domain. The main feature of this paper consists in the presence of a…

For a class of Bellman equations in bounded domains we prove that sub- and supersolutions whose growth at the boundary is suitably controlled must be constant. The ellipticity of the operator is assumed to degenerate at the boundary and a…

We consider controlled stochastic differential equations (SDEs) with measurable coefficients, a uniformly elliptic diffusion coefficient and an $L_d$-drift. No space-regularity will be assumed for the coefficients. In this framework we…

We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…

The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…

We prove sharp regularity estimates for solutions of highly degenerate fully nonlinear elliptic equations. These are free boundary models in which a nonlinear diffusion process drives the system only in the region where the gradient…

A class of linear degenerate elliptic equations inspired by nonlinear diffusions of image processing is considered. It is characterized by an interior degeneration of the diffusion coefficient. It is shown that no particularly natural,…

We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…

We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…

Time-inhomogeneous controlled diffusion processes in both cylindrical and noncylindrical domains are considered. Bellman's principle and its applications to proving the continuity of value functions are investigated.

We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our article focuses on the…

We introduce a notion of viscosity solutions for a nonlinear degenerate diffusion equation with a drift potential. We show that our notion of solutions coincide with the weak solutions defined via integration by parts. As an application of…

In this paper we obtain interior regularity estimates for viscosity solutions of nonlocal Dirichlet problems that degenerate when the gradient of the solution vanishes. Interior H\"older estimates are obtained when the order of the…

We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of…