Related papers: A Singular Differential Equation Stemming from an …
In this paper, we prove the exact asymptotic behavior of singular positive solutions of fractional semi-linear equations $$(-\Delta)^\sigma u = u^p~~~~~~~~in ~~ B_1\backslash \{0\}$$ with an isolated singularity, where $\sigma \in (0, 1)$…
This paper provides necessary and sufficient conditions of optimality for variational problems that deal with a fractional derivative with respect to another function. Fractional Euler--Lagrange equations are established for the fundamental…
Optimal control problems involving hybrid binary-continuous control costs are challenging due to their lack of convexity and weak lower semicontinuity. Replacing such costs with their convex relaxation leads to a primal-dual optimality…
We introduce a discrete-time fractional calculus of variations. First and second order necessary optimality conditions are established. Examples illustrating the use of the new Euler-Lagrange and Legendre type conditions are given. They…
This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
It is proved that a differentiable with respect to each variable function $f:\mathbb R^2\to\mathbb R$ is a solution of the equation $ \frac{\partial u}{\partial x} + \frac{\partial u}{\partial y}=0$ if and only if there exists a function…
We prove existence and nonexistence results concerning elliptic problems whose basic model is \begin{equation*} \begin{cases} \displaystyle-\Delta u+\mu(x)\frac{|\nabla u|^2}{(u+\delta)^\gamma}= \lambda u^p, &x\in \Omega, \\ u> 0, &x\in…
The approach to the consideration of the ordinary differential equations with distributions in the classical space $\mathcal D'$ of distributions with continuous test functions has certain insufficiencies: the notations are incorrect from…
In this paper we present a Doob type maximal inequality for stochastic processes satisfying the conditional increment control condition. If we assume, in addition, that the margins of the process have uniform exponential tail decay, we…
In this paper we study the dynamical behaviour of the differential equation \begin{equation*} x''+ax^+ -bx^-=f(t), \end{equation*} where $x^+=\max\{x,0\}$,\ $x^-=\max\{-x,0\}$, $a$ and $b$ are two different positive constants, $f(t)$ is a…
We provide an extension of the explicit solution of a mixed optimal stopping-optimal stochastic control problem introduced by Henderson and Hobson. The problem examines wether the optimal investment problem on a local martingale financial…
We consider the problem of finding $\lambda\in \mathbb{R}$ and a function $u:\mathbb{R}^n\rightarrow\mathbb{R}$ that satisfy the PDE $$ \max\left\{\lambda + F(D^2u) -f(x),H(Du)\right\}=0, \quad x\in \mathbb{R}^n. $$ Here $F$ is elliptic,…
In this paper, we consider the asymptotic behavior of positive solutions of the biharmonic equation $$ \Delta^2 u = u^p~~~~~~~in ~ B_1 \backslash \{0\}$$ with an isolated singularity, where the punctured ball $B_1 \backslash \{0\} \subset…
Let $\lambda^{*}>0$ denote the largest possible value of $\lambda$ such that $$ \{{array}{lllllll} \Delta^{2}u=\frac{\lambda}{(1-u)^{p}} & \{in}\ \ B, 0<u\leq 1 & \{in}\ \ B, u=\frac{\partial u}{\partial n} =0 & \{on}\ \ \partial B. {array}…
We introduce a new method for the analysis of singularities in the unstable problem $$\Delta u = -\chi_{\{u>0\}},$$ which arises in solid combustion as well as in the composite membrane problem. Our study is confined to points of…
We present a method to solve fractional optimal control problems, where the dynamic depends on integer and Caputo fractional derivatives. Our approach consists to approximate the initial fractional order problem with a new one that involves…
We consider the following problem: \begin{eqnarray*} ( P)\qquad \displaystyle\left\{\begin{array} {ll} & \Delta^2 u = K(x)u^{-\alpha} \quad \mbox{ in }\,\Omega , \\ &u> 0\quad \mbox{ in }\,\Omega, \;\;u\vert_{\partial\Omega}=0, \,\Delta…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components: the…