Related papers: Singular Problems for Integro-Differential Equatio…
We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make commitments. The problem involves an infinite number of…
In the first part of the article, a new interesting system of difference equations is introduced. It is developed for re-rating purposes in general insurance. A nonlinear transformation $\varphi $ of a d-dimensional $(d \ge 2)$ Euclidean…
We establish the unique solvability of a coupling problem for entire functions which arises in inverse spectral theory for singular second order ordinary differential equations/two-dimensional first order systems and is also of relevance…
The study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserve into a risky asset with the price dynamics given by a geometric Brownian motion. We…
The question of well- and ill-posedness of entropy admissible solutions to the multi-dimensional systems of conservation laws has been studied recently in the case of isentropic Euler equations. In this context special initial data were…
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…
In this paper, we study isolated singular positive solutions for the following Kirchhoff--type Laplacian problem: \begin{equation*} -\left(\theta+\int_{\Omega} |\nabla u| dx\right)\Delta u =u^p \quad{\rm in}\quad \Omega\setminus…
In this paper, we show that the minimal solution of a backward stochastic differential equation gives a probabilistic representation of the minimal viscosity solution of an integro-partial differential equation both with a singular terminal…
In this paper, a two-grid temporal second-order scheme for the two-dimensional nonlinear Volterra integro-differential equation with weakly singular kernel is proposed to reduce the computation time and improve the accuracy of the scheme…
This paper concerns about the weak unique continuation property of solutions of a general system of differential equation/inequality with a second order strongly elliptic system as its leading part. We put not only some natural assumption…
We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cram\'{e}r--Lundberg process. The firm has the option of investing part of the surplus in a…
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-free asset, a risky asset, and a durable good whose price…
We consider an optimal control problem for a system governed by a Volterra integral equation with impulsive terms. The impulses act on both the state and the control; the control consists of switchings at discrete times. The cost functional…
We present a quasi-integrable two-dimensional lattice equation: i.e., a partial difference equation which satisfies a criterion of integrability, singularity confinement, although it has a chaotic aspect in the sense that the degrees of its…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
This paper concerns the finite-time blow-up and asymptotic behaviour of solutions to nonlinear Volterra integrodifferential equations. Our main contribution is to determine sharp estimates on the growth rates of both explosive and…
A boundary value problem on an unbounded domain, associated to difference equations with the Euclidean mean curvature operator is considered. The existence of solutions which are positive on the whole domain and decaying at infinity is…
This report addresses the boundary value problem for a second-order linear singularly perturbed FIDE. Traditional methods for solving these equations often face stability issues when dealing with small perturbation parameters. We propose an…
We study the Dirichlet problem of the following discrete infinity Laplace equation on unbounded subgraphs \begin{equation*} \Delta_{\infty}u(x):=\inf_{y\sim x}u(y)+\sup_{y\sim x}u(y)-2u(x)=f(x). \end{equation*} For the homogeneous case…
In this paper we propose new sufficient conditions for stability of solutions of systems of Volterra linear integral equations and systems of linear integro-differential Volterra equations. Solution stability conditions for systems of…