Related papers: A Singular Differential Equation Stemming from an …
A sufficient condition for asymptotic stability of the zero solution to an abstract nonlinear evolution problem is given. The governing equation is $\dot{u}=A(t)u+F(t,u),$ where $A(t)$ is a bounded linear operator in Hilbert space $H$ and…
We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
We consider a bilinear optimal control for an evolution equation involving the fractional Laplace operator of order $0<s<1$. We first give some existence and uniqueness results for the considered evolution equation. Next, we establish some…
We study the uniqueness of singular radial (forward and backward) self-similar positive solutions of the equation $u_t-\Delta u = u^p, \quad x\in{\mathbb R}^n,\ t>0,$ where $p\geq(n+2)/(n-2)_+$.
We consider equation $-\Delta u+f(x,u)=0$ in smooth bounded domain $\Omega\in\mathbb{R}^N$, $N\geqslant2$, with $f(x,r)>0$ in $\Omega\times\mathbb{R}^1_+$ and $f(x,r)=0$ on $\partial\Omega$. We find the condition on the order of degeneracy…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
Equation $(-\Delta+k^2)u+f(u)=0$ in $D$, $u\mid_{\partial D}=0$, where $k=\const>0$ and $D\subset\R^3$ is a bounded domain, has a solution if $f:\R\to\R$ is a continuous function in the region $|u|\geq a$, piecewise-continuous in the region…
In this paper we study the existence and uniqueness of a solution and propose an iterative method for solving a beam problem which is described by the fully fourth order equation $$u^{(4)}(x)=f(x,u(x),u'(x),u'''(x),u'''(x)), \quad 0 < x <…
The Cauchy problem for second order linear differential equation $u''(t)+Du'(t)+Au(t)=0$ in Hilbert space $H$ with a sectorial operator $A$ and an accretive operator $D$ is studied. Sufficient conditions for exponential decay of the…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality gap and the existence of dual solutions in a locally convex…
The first goal of this paper is to establish the existence of a positive solution for the singular boundary value problem (1.1), where $\mathcal{B}$ is a general boundary operator of Dirichlet, Neumann or Robin type, either classical or…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
In this article we consider a class of nonlinear integro-differential equations of the form $$\inf_{\tau \in\mathcal{T}} \bigg\{\int_{\mathbb{R}^d} (u(x+y)+u(x-y)-2u(x))\frac{k_{\tau}(x,y)}{|y|^{d+2s}} \,dy+ b_{\tau}(x) \cdot \nabla…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
In this paper, we will prove that all non-trivial solutions of $f''+A(z)f'+B(z)f=0$ are of infinite order, where we have some restrictions on entire functions $A(z)$ and $B(z)$.
We consider the Neumann problem for the equation $u_{xx}+\lambda f(u)=0$ in the punctured interval $(-1,1) \setminus \{0\}$, where $\lambda>0$ is a bifurcation parameter and $f(u)=u-u^3$. At $x=0$, we impose the conditions…
We consider the second order Cauchy problem $$u''+\m{u}Au=0, u(0)=u_{0}, u'(0)=u_{1},$$ where $m:[0,+\infty)\to[0,+\infty)$ is a continuous function, and $A$ is a self-adjoint nonnegative operator with dense domain on a Hilbert space. It is…