Related papers: Homogenization and asymptotics for small transacti…
We consider singularly perturbed second order elliptic system in the whole space with fast oscillating coefficients. We construct the complete asymptotic expansions for the eigenvalues converging to the isolated ones of the homogenized…
A temporal homogenization approach for the numerical simulation of atherosclerotic plaque growth is extended to fully coupled fluid-structure interaction (FSI) simulations. The numerical results indicate that the two-scale approach yields…
An asymptotic theory is developed for a moving drop driven by a wettability gradient. We distinguish the mesoscale where an exact solution is known for the properly simplified problem. This solution is matched at both -- the advancing and…
This paper generalizes a part of the theory of $Z$-estimation which has been developed mainly in the context of modern empirical processes to the case of stochastic processes, typically, semimartingales. We present a general theorem to…
In a companion paper, equations for partially molten media were derived using two-scale homogenization theory. One advantage of homogenization is that material properties, such as permeability and viscosity, readily emerge. A caveat is that…
We study asymptotic behavior of the bottom point of the spectrum of convolution type operators in environments with locally periodic microstructure. We show that its limit is described by an additive eigenvalue problem for Hamilton-Jacobi…
In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
The solutions to surface evolution problems like mean curvature flow can be expressed as value functions of suitable stochastic control problems, obtained as limit of a family of regularised control problems. The control-theoretical…
This paper solves the problem of optimal dynamic consumption, investment, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect Gompertz' law and investment opportunities are constant.…
In this paper, we study the topological asymptotic expansion of a topology optimisation problem that is constrained by the Poisson equation with the design/shape variable entering through the right hand side. Using an averaged adjoint…
We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. In the market model, an investor's attempt of transaction is successful only…
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized by a stochastic process) transaction costs through the…
We establish the asymptotic expansion in $\beta$ matrix models with a confining, off-critical potential, in the regime where the support of the equilibrium measure is a union of segments. We first address the case where the filling…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
This article includes a short survey of selected averaging and dimension reduction techniques for deterministic fast-slow systems. This survey includes, among others, classical techniques, such as the WKB approximation or the averaging…
We continue our study on the logarithmic balanced model metric initiated in our previous work. By a non-trivial refinement of the set of tools developed in our previous work, we are able to confirm partially a conjecture we made in our…
This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB…
We price a contingent claim liability using the utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the…
We consider continuous and discrete (1+1)-dimensional wetting models which undergo a localization/delocalization phase transition. Using a simple approach based on Renewal Theory we determine the precise asymptotic behavior of the partition…