Related papers: A Singular Differential Equation Stemming from an …

Let $u_{g}$ the unique solution of a parabolic variational inequality of second kind, with a given $g$. Using a regularization method, we prove, for all $g_{1}$ and $g_{2}$, a monotony property between $\mu u_{g_{1}} + (1-\mu)u_{g_{2}}$ and…

Considering differential equation f''+A(z)f'+B(z)f=0, where A(z) and B(z) are entire complex functions, our results revolve around proving all non-trivial solutions are of infinite order taking various restrictions on coefficients A(z) and…

A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…

Consider the semilinear elliptic equation $-\Delta u=\lambda f(u)$ in the unit ball $B_1\subset \mathbb{R}^N$, with Dirichlet data $u|_{\partial B_1}=0$, where $\lambda\geq 0$ is a real parameter and $f$ is a $C^1$ positive, nondecreasing…

We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at selling over an infinite time-horizon a fixed amount of…

A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…

The purpose of this article is two-fold. First, we investigate the inequality $$ -\Delta u+V(x) u\geq f\quad\mbox{ in } B_1\setminus\{0\}\subset \mathbb{R}^N , N \geq 2, $$ where $f\in L^1_{loc}(B_1)$. If $V\geq 0$ is radially symmetric, we…

We consider a parabolic equation of the form u_t=\Delta u +f(u)+h(x,t) in R^N\times (0,\infty), where f in C^1(R) is such that f(0)=0 and f'(0)<0 and h is a suitable function on R^N\times (0,\infty). We show that under certain conditions,…

This paper deals with optimal control problems for systems affine in the control variable. We consider nonnegativity constraints on the control, and finitely many equality and inequality constraints on the final state. First, we obtain…

We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…

We study properties of positive functions satisfying (E) --$\Delta$u + u p -- M |$\nabla$u| q = 0 is a domain $\Omega$ or in R N + when p > 1 and 1 < q < min{p, 2}. We concentrate our research on the solutions of (E) vanishing on the…

We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…

We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black-Scholes model with a linear price impact. The main novelty of the current note is that we study the constrained case where the…

We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…

We consider an optimal control problem for the steady-state Kirchhoff equation, a prototype for nonlocal partial differential equations, different from fractional powers of closed operators. Existence and uniqueness of solutions of the…

In this article we study optimal control problems for systems that are affine with respect to some of the control variables and nonlinear in relation to the others. We consider finitely many equality and inequality constraints on the…

We study the existence and uniqueness of the positive solutions of the problem (P): $\partial_tu-\Delta u+u^q=0$ ($q>1$) in $\Omega\times (0,\infty)$, $u=\infty$ on $\partial\Omega\times (0,\infty)$ and $u(.,0)\in L^1(\Omega)$, when…

Let $J \in C(\mathbb{R})$, $J\ge 0$, $\int_{\tiny$\mathbb{R}$} J = 1$ and consider the nonlocal diffusion operator $\mathcal{M}[u] = J \star u - u$. We study the equation $\mathcal{M} u + f(x,u) = 0$, $u \ge 0$, in $\mathbb{R}$, where $f$…

In this article we study an optimal control problem subject to the Fokker-Planck equation \[ \partial_t \rho - \nu \Delta \rho - {\rm div } \big(\rho B[u]\big) = 0. \] The control variable $u$ is time-dependent and possibly…

We establish existence and uniqueness of solution for the homogeneous Dirichlet problem associated to a fairly general class of elliptic equations modeled by $$ -\Delta u= h(u){f} \ \ \text{in}\,\ \Omega, $$ where $f$ is an irregular datum,…