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We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
We study Brownian motion driven with both conservative and nonconservative external forces. By using the thermodynamic approach of the theory of Brownian motion we obtain the Fokker-Planck equation and derive expressions for the Fluctuation…
Contraction properties of the Riccati operator are studied within the context of non-stationary linear-quadratic optimal control. A lifting approach is used to obtain a bound on the rate of strict contraction, with respect to the Riemannian…
We obtain the best approximation in $L^1(\R)$, by entire functions of exponential type, for a class of even functions that includes $e^{-\lambda|x|}$, where $\lambda >0$, $\log |x|$ and $|x|^{\alpha}$, where $-1 < \alpha < 1$. We also give…
The initial boundary value problem for a nonlinear system of equations modeling the chevron patterns is studied in one and two spatial dimensions. The existence of an exponential attractor and the stabilization of the zero steady state…
We consider an optimal control problem governed by an elliptic variational inequality of the second kind. The problem is discretized by linear finite elements for the state and a variational discrete approach for the control. Based on a…
We construct a model of type theory enjoying parametricity from an arbitrary one. A type in the new model is a semi-cubical type in the old one, illustrating the correspondence between parametricity and cubes. Our construction works not…
We consider a nonlinear semi-classical Schrodinger equation for which it is known that quadratic oscillations lead to focusing at one point, described by a nonlinear scattering operator. If the initial data is an energy bounded sequence, we…
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21]…
We tackle a fundamental problem in empirical game-theoretic analysis (EGTA), that of learning equilibria of simulation-based games. Such games cannot be described in analytical form; instead, a black-box simulator can be queried to obtain…
The note is devoted to estimates for convolutions appearing in some class of stochastic Volterra equations. Two maximal inequalities and exponential tail estimate are proved by the fractional method of infinite dimensional stochastic…
In this paper we prove the interior gradient and second derivative estimates for a class of fully nonlinear elliptic equations determined by symmetric functions of eigenvalues of the Ricci or Schouten tensors. As an application we prove the…
We provide a thorough study of a general class of linear-quadratic extended mean field games and control problems in any dimensions where the mean field terms are allowed to be unbounded and there are also presence of cross terms in the…
Matrix models play an important role in studies of quantum gravity, being candidates for a formulation of M-theory, but are notoriously difficult to solve. In this work, we present a fresh approach by introducing a novel exact model…
We develop the theory of exact completions of regular $\infty$-categories, and show that the $\infty$-categorical exact completion (resp. hypercompletion) of an abelian category recovers the connective half of its bounded (resp. unbounded)…
Model approximations are common practice when estimating structural or quasi-structural models. The paper considers the econometric properties of estimators that utilize projections to reimpose information about the exact model in the form…
We study the exponential stability of evolutionary equations. The focus is laid on second order problems and we provide a way to rewrite them as a suitable first order evolutionary equation, for which the stability can be proved by using…
In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by…
We prove a limit theorem for quantum stochastic differential equations with unbounded coefficients which extends the Trotter-Kato theorem for contraction semigroups. From this theorem, general results on the convergence of approximations…
Prompted by an observation about the integral of exponential functions of the form $f(x)=\lambda e^{\alpha x}$, we investigate the possibility to exactly integrate families of functions generated from a given function by scaling or by…