Related papers: Cadlag Skorokhod problem driven by a maximal monot…
We study the limit behaviour of a generally non-linear ordinary differential equation whose solution is a superadditive generalisation of a stochastic matrix, and provide necessary and sufficient conditions for this solution to be ergodic,…
The Monge-Kantorovich problem is revisited by means of a variant of the saddle-point method without appealing to $c$-conjugates. A new abstract characterization of the optimal plans is obtained in the case where the cost function takes…
We consider cost minimizing stopping time solutions to Skorokhod embedding problems, which deal with transporting a source probability measure to a given target measure through a stopped Brownian process. PDEs and a free boundary problem…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
We introduce a generalized notion of semilinear elliptic partial differential equations where the corresponding second order partial differential operator $L$ has a generalized drift. We investigate existence and uniqueness of generalized…
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solves the equation where the possibly stochastic drift is…
In the paper a new numerical-analytical method for solving the Cauchy problem for systems of ordinary differential equations of special form is presented. The method is based on the idea of the FD-method for solving the operator equations…
In this note, we consider an optimal control problem associated to a differential equation driven by a H\"{o}lder continuous function g of index greater than 1/2. We split our study in two cases. If the coefficient of dg\_t does not depend…
We prove existence, uniqueness and optimal regularity of solutions to the stationary obstacle problem defined by the fractional Laplacian operator with drift, in the subcritical regime. We localize our problem by considering a suitable…
This paper presents analytical solutions for eigenvalues and eigenfunctions of the Schr\"odinger equation in higher dimensions, incorporating the Dunkl operator. Two fundamental quantum mechanical problems are examined in their exact forms:…
We approximate the solution of the Stokes equations by a new quasi-optimal and pressure robust discontinuous Galerkin discretization of arbitrary order. This means quasi-optimality of the velocity error independent of the pressure.…
We consider a class of optimization problems defined by a system of linear equations with min and max operators. This class of optimization problems has been studied under restrictive conditions, such as, (C1) the halting or stability…
We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to $n$-marginal Skorokhod embedding problem in Ob{\l}\'oj and…
We consider a dynamic programming (DP) approach to approximately solving an infinite-horizon constrained Markov decision process (CMDP) problem with a fixed initial-state for the expected total discounted-reward criterion with a…
This paper introduces a version of the argmax continuous mapping theorem that applies to M-estimation problems in which the objective functions converge to a limiting process with multiple maximizers. The concept of the smallest maximizer…
In this paper, we study the solvability of the nonlinear Dirichlet problem with sum of the operators of independent non standard growths in a bounded domain $\Omega \subset \mathbb{R}^{n}$. We obtain sufficient conditions and show the…
This paper investigates the ergodicity of stochastic functional differential equations with jumps under the Wasserstein distance by the generalized coupling method. Two key conditions are verified. The first is verified by establishing an…
The aim of this article is to present two different primal-dual methods for solving structured monotone inclusions involving parallel sums of compositions of maximally monotone operators with linear bounded operators. By employing some…
The rigorous linking of exact stochastic models to mean-field approximations is studied. Starting from the differential equation point of view the stochastic model is identified by its Kolmogorov equations, which is a system of linear ODEs…
We consider the degenerate elliptic operator acting on $C^2$ functions on $[0,\infty)^d$: \[ L f(x)=\sum_{i=1}^d a_i(x) x_i^{\alpha_i} \frac{\partial^2 f}{\partial x_i^2} (x) +\sum_{i=1}^d b_i(x) \frac{\partial f}{\partial x_i}(x), \] where…