Related papers: Cadlag Skorokhod problem driven by a maximal monot…
It is known that the Azema-Yor solution to the Skorokhod embedding problem maximizes the law of the running maximum of an uniformly integrable martingale with given terminal value distribution. Recently this optimality property has been…
We establish in this paper, an existence and uniqueness result of right continuous with bounded variation solution for a perturbed differential inclusion governed by time-dependent maximal monotone operators.
Motivated by the model- independent pricing of derivatives calibrated to the real market, we consider an optimization problem similar to the optimal Skorokhod embedding problem, where the embedded Brownian motion needs only to reproduce a…
Skorokhod's M1 topology is defined for c\`adl\`ag paths taking values in the space of tempered distributions (more generally, in the dual of a countably Hilbertian nuclear space). Compactness and tightness characterisations are derived…
We investigate the optimal stopping problems involving the supremum of a diffusion. The starting point is the link between works of Peskir and Meilijson, which we describe in a unified manner. The description developped follows mainly the…
We present a numerical method for solving the Monge-Ampere equation based on the characterization of the solution of the Dirichlet problem as the minimizer of a convex functional of the gradient and under convexity and nonlinear…
In this paper we investigate in a Hilbert space setting a second order dynamical system of the form $$\ddot{x}(t)+\g(t)\dot{x}(t)+x(t)-J_{\lambda(t) A}\big(x(t)-\lambda(t) D(x(t))-\lambda(t)\beta(t)B(x(t))\big)=0,$$ where $A:{\mathcal…
We study the ergodic problem for fully nonlinear operators which may be singular or degenerate when the gradient of solutions vanishes. We prove the convergence of both explosive solutions and solutions of Dirichlet problems for…
The primary goal of this paper is to prove a near-martingale optional stopping theorem and establish solvability and large deviations for a class of anticipating linear stochastic differential equations. We prove the existence and…
We investigate a singular-optimal stopping stochastic control problem driven by self-exciting dynamics governed by a Hawkes process. In the continuous-time setting, we show that the optimization problem reduces to solving a variational…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
A general method to describe stochastic dynamics of Markov processes is suggested. The method aims to solve three related problems. The determination of an optimal coordinate for the description of stochastic dynamics. The reconstruction of…
We prove the existence and uniqueness of the fundamental solution for Kolmogorov operators associated to some stochastic processes, that arise in the Black & Scholes setting for the pricing problem relevant to path dependent options. We…
We study a multi-marginal optimal transportation problem. Under certain conditions on the cost function and the first marginal, we prove that the solution to the relaxed, Kantorovich version of the problem induces a solution to the Monge…
In this paper, we study the following nonlinear backward stochastic integral partial differential equation with jumps \begin{equation*} \left\{ \begin{split} -d V(t,x) =&\displaystyle\inf_{u\in U}\bigg\{H(t,x,u, DV(t,x),D \Phi(t,x), D^2…
We study strictly elliptic differential operators with Dirichlet boundary conditions on the space $\mathrm{C}(\overline{M})$ of continuous functions on a compact, Riemannian manifold $\overline{M}$ with boundary and prove sectoriality with…
We consider a stochastic functional delay differential equation, namely an equation whose evolution depends on its past history as well as on its present state, driven by a pure diffusive component plus a pure jump Poisson compensated…
We consider a strongly elliptic differential expression of the form $b(D)^* g(x/\varepsilon) b(D)$, $\varepsilon >0$, where $g(x)$ is a matrix-valued function in ${\mathbb R}^d$ assumed to be bounded, positive definite and periodic with…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…
This article characterizes topological duals of spaces of cadlag processes. We obtain extensions of functional analytic results of Dellacherie and Meyer that underlie many fundamental results in stochastic analysis. In particular, we obtain…