Related papers: Cadlag Skorokhod problem driven by a maximal monot…
The most famous open problem in Monotone Operator Theory concerns the maximal monotonicity of the sum of two maximally monotone operators provided that Rockafellar's constraint qualification holds. In this paper, we prove the maximal…
We prove that solution operators of elliptic obstacle-type variational inequalities (or, more generally, locally Lipschitz continuous functions possessing certain pointwise-a.e. convexity properties) are Newton differentiable when…
The traditional difficulty about stochastic singular control is to characterize the regularities of the value function and the optimal control policy. In this paper, a multi-dimensional singular control problem is considered. We found the…
In the paper we describe a superexponentially convergent numerical-analytical method for solving the eigenvalue problem for the some class of singular differential operators with boundary conditions. The method (FD-method) was firstly…
Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever the intensity of jumps is large enough, the approximation…
In this paper, we study the logarithmic Laplacian operator $L_\Delta$, which is a singular integral operator with symbol $2\log |\zeta|$. We show that this operator has the integral representation $$L_\Delta u(x) = c_{N} \int_{\mathbb{R}^N…
We consider a dissipative flow network that obeys the standard linear nodal flow conservation, and where flows on edges are driven by potential difference between adjacent nodes. We show that in the case when the flow is a monotonically…
This paper deals with an implicit Newton-like inertial dynamical system governed by a maximally comonotone inclusion problem in a Hilbert space. Under suitable conditions, we establish not only pointwise estimates and integral estimates for…
The Skorokhod embedding problem is to represent a given probability as the distribution of Brownian motion at a chosen stopping time. Over the last 50 years this has become one of the important classical problems in probability theory and a…
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
The aim of this note is to present a numerical method to solve the Stokes problem in a bounded domain with a Dirac source term, which preserves optimality for any approximation order by the finite-element method. It is based on the…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
In this paper, we provide a comprehensive theoretical analysis of Stochastic Gradient Descent (SGD) and its momentum variants (Polyak Heavy-Ball and Nesterov) for tracking time-varying optima under strong convexity and smoothness. Our…
The distributional properties of a multi-dimensional continuous-state branching process are determined by its cumulant semigroup, which is defined by the backward differential equation. We provide a proof of the assertion of Rhyzhov and…
This paper is concerned with the existence and uniqueness of the solution for the stochastic fast logarithmic equation with Stratonovich multiplicative noise in $\mathbb{R}^{d}$ for $d\geqslant 3$. It provides an answer to a critical case…
This work is concerned with existence of weak solutions to discon- tinuous stochastic differential equations driven by multiplicative Gaus- sian noise and sliding mode control dynamics generated by stochastic differential equations with…
We present a counterexample showing that the graphical limit of maximally monotone operators might not be maximally monotone. We also characterize the directional differentiability of the resolvent of an operator $B$ in terms of existence…
This article studies the solutions of time-dependent differential inclusions which is motivated by their utility in the modeling of certain physical systems. The differential inclusion is described by a time-dependent set-valued mapping…
The article is devoted to the development of numerical methods for solving saddle point problems and variational inequalities with simplified requirements for the smoothness conditions of functionals. Recently there were proposed some…
We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary…