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We give an example of a linear, time-dependent, Schr{\"o}dinger operator with optimal growth of Sobolev norms. The construction is explicit, and relies on a comprehensive study of the linear Lowest Landau Level equation with a…
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…
We show in this paper that maximal $L^q$-regularity for time-dependent viscous Hamilton-Jacobi equations with unbounded right-hand side and superquadratic $\gamma$-growth in the gradient holds in the full range $ q >…
This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes…
This paper introduces a new type of second order stochastic backward Hamilton-Jacobi-Bellman (HJB) equations for optimal stochastic control problems with a currently observable but non-predicable parameter process, in addition to the…
We introduce a new numerical method to approximate the solution of a finite horizon deterministic optimal control problem. We exploit two Hamilton-Jacobi-Bellman PDE, arising by considering the dynamics in forward and backward time. This…
Let $\Omega \subset \mathbb{R}^N$, $N \ge 2$, be a bounded domain with Lipschitz boundary, divided by a Lipschitz hypersurface $\Sigma$ into two open, disjoint Lipschitz subdomains $\Omega_1$ and $\Omega_2$. We study a nonlinear…
We present a partial-differential-equation-based optimal path-planning framework for curvature constrained motion, with application to vehicles in 2- and 3-spatial-dimensions. This formulation relies on optimal control theory, dynamic…
Optimal feedback controllers for nonlinear systems can be derived by solving the Hamilton-Jacobi-Bellman (HJB) equation. However, because the HJB is a nonlinear partial differential equation, numerical methods typically provide only…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
This paper considers a non-Markov control problem arising in a financial market where asset returns depend on hidden factors. The problem is non-Markov because nonlinear filtering is required to make inference on these factors, and hence…
This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying…
This work presents a novel data-driven framework for constructing eigenfunctions of the Koopman operator geared toward prediction and control. The method leverages the richness of the spectrum of the Koopman operator away from attractors to…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under certain regular conditions for the coefficients, the…
This research studies a non-convex geometric optimization problem arising from the field of optical wireless power transfer. In the considered optimization problem, the cost function is a sum of negatively and fractionally powered distances…
The transient growth of disturbances made possible by the non-normality of the linearized Navier-Stokes equations plays an important role in bypass transition for many shear flows. Transient growth is typically quantified by the maximum…
This paper studies optimal estimation of large-dimensional nonlinear factor models. The key challenge is that the observed variables are possibly nonlinear functions of some latent variables where the functional forms are left unspecified.…
Our studies are directed to the existence of weak solutions to a parabolic problem containing a multi-valued term. The problem is formulated in the language of maximal monotone graphs. We assume that the growth and coercivity conditions of…