Related papers: Time consistent convex Feller processes and non li…

In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman…

In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…

We present a parametric family of semi-implicit second order accurate numerical methods for non-conservative and conservative advection equation for which the numerical solutions can be obtained in a fixed number of forward and backward…

In a Hilbert setting we aim to study a second order in time differential equation, combining viscous and Hessian-driven damping, containing a time scaling parameter function and a Tikhonov regularization term. The dynamical system is…

In this paper, the convergence of an algorithm for recovering the unknown kinematic viscosity of a two-dimensional incompressible, viscous fluid is studied. The algorithm of interest is a recursive feedback control-based algorithm that…

Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynamic risk measures have been defined and studied as families of…

We present and analyze a fully discrete fractional time stepping technique for the solution of the micropolar Navier Stokes equations, which is a system of equations that describes the evolution of an incompressible fluid whose material…

We investigate the long-time behavior of solutions to a stochastically forced one-dimensional Navier-Stokes system, describing the motion of a compressible viscous fluid, in the case of linear pressure law. We prove existence of an…

We present, in the simplest possible form, the so called martingale problem strategy to establish limit theorems. The presentation is specially adapted to problems arising in partially hyperbolic dynamical systems. We will discuss a simple…

In this manuscript, we investigate a fractional stochastic neutral differential equation with time delay, which includes both deterministic and stochastic components. Our primary objective is to rigorously prove the existence of a unique…

In this paper, we study the large time behavior of solutions of a class of parabolic fully nonlinear integro-differential equations in a periodic setting. In order to do so, we first solve the ergodic problem}(or cell problem), i.e. we…

The interrelation of dynamic processes active on separated time-scales in glasses and viscous liquids is investigated using a model displaying two time-scale bifurcations both between fast and secondary relaxation and between secondary and…

The semi-implicit (partly decoupled, also called staggered or fraction-step) time discretization is applied to compressible nonlinear dynamical models of viscoelastic solids in the Eulerian description, i.e.\ in the actual deforming…

We present a new stability result for viscosity solutions of fully nonlinear parabolic equations which allows to pass to the limit when one has only weak convergence in time of the nonlinearities.

Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding risk measure are postulated which imply its decomposability.…

Optimal values and solutions of empirical approximations of stochastic optimization problems can be viewed as statistical estimators of their true values. From this perspective, it is important to understand the asymptotic behavior of these…

We propose a parallel algorithm for the numerical solution of a class of second order semi-linear equations coming from stochastic optimal control problems, by means of a dynamic domain decomposition technique. The new method is an…

We introduce, in continuous time, an axiomatic approach to assign to any financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and liquidity risk this leads to the convexity (resp. concavity)…

Tracking the solution of time-varying variational inequalities is an important problem with applications in game theory, optimization, and machine learning. Existing work considers time-varying games or time-varying optimization problems.…

In this paper, we study convex risk measures with weak optimal transport penalties. In a first step, we show that these risk measures allow for an explicit representation via a nonlinear transform of the loss function. In a second step, we…