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Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of viscosity solution, featured by absence of B-continuity, is…
In this paper we study the rate of convergence of the eigenvalues of 1-dimensional rapidly oscillating $p-$laplacian type problems and find explicit order of convergence both in $k$ and in $\ve$. Moreover, explicit bounds on the constant…
In this paper, we analyze the random fluctuations in a one dimensional stochastic homogenization problem and prove a central limit result, i.e., the first order fluctuations can be described by a Gaussian process that solves an SPDE with…
We establish bounds for the covariance of a large class of functions of infinite variance stable random variables, including unbounded functions such as the power function and the logarithm. These bounds involve measures of dependence…
We study homogenization of a class of bidimensional stationary Hamilton-Jacobi equations where the Hamiltonian is obtained by perturbing near a half-line of the state space a Hamiltonian that either does not have fast variations with…
Motivated by a control problem of a certain queueing network we consider a control problem where the dynamics is constrained in the nonnegative orthant $\mathbb{R}_+$ of the $d$-dimensional Euclidean space and controlled by the reflections…
We consider a jump-diffusion mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation on the space of probability…
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…
The present paper represents a continuation of our previous one. There, a continuous dependence result for the solution of an elliptic variational-hemivariational inequality was obtained and then used to prove the existence of optimal pairs…
We deal with the convergence of the value function of an approximate control problem with uncertain dynamics to the value function of a nonlinear optimal control problem. The assumptions on the dynamics and the costs are rather general 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…
We consider a classical finite horizon optimal control problem for continuous-time pure jump Markov processes described by means of a rate transition measure depending on a control parameter and controlled by a feedback law. For this class…
In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear…
We study the approximation of parabolic Hamilton-Jacobi-Bellman (HJB) equations in bounded domains with strong Dirichlet boundary conditions. We work under the assumption of the existence of a sufficiently regular barrier function for the…
We consider a random process as a solution of stochastic differential equations with dependence of the coefficients on small parameter $\varepsilon$ and we suppose that the drift coefficients of these equations are unbounded on the…
We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the…
In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinuous viscosity solution of the Hamilton-Jacobi-Bellman (HJB)…
We apply the stochastic Perron method of Bayraktar and S\^irbu to a general infinite horizon optimal control problem, where the state $X$ is a controlled diffusion process, and the state constraint is described by a closed set. We prove…
We study the well-posedness of Hamilton-Jacobi-Bellman equations on subsets of $\mathbb{R}^d$ in a context without boundary conditions. The Hamiltonian is given as the supremum over two parts: an internal Hamiltonian depending on an…
The article studies the reiterated homogenization of linear elliptic variational inequalities arising in problems with unilateral constrains. We assume that the coefficients of the equations satisfy and abstract hypothesis covering on each…