Related papers: The stochastic value function on metric measure sp…

We develop several results on hitting probabilities of random fields which highlight the role of the dimension of the parameter space. This yields upper and lower bounds in terms of Hausdorff measure and Bessel--Riesz capacity,…

We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…

We study the regularity properties of integro-partial differential equations of Hamilton-Jocobi-Bellman type with terminal condition, which can be interpreted through a stochastic control system, composed of a forward and a backward…

We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…

This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. After studying continuity properties of the…

Let $T$ be a compact, metrisable and strongly countable-dimensional topological space. Let $\mathcal{M}^T$ be the set of all metrics $d$ on $T$ compatible with its topology, and equip $\mathcal{M}^T$ with the topology of uniform…

We consider the stochastic damped Navier-Stokes equations in $\mathbb R^d$ ($d=2,3$), assuming as in our previous work [4] that the covariance of the noise is not too regular, so It\^o calculus cannot be applied in the space of finite…

We investigate pointwise multipliers on vector-valued function spaces over $\mathbb{R}^d$, equipped with Muckenhoupt weights. The main result is that in the natural parameter range, the characteristic function of the half-space is a…

We develop a McKean-Vlasov interpretation of Navier-Stokes equations with external force field in the whole space, by associating with local mild $L^p$-solutions of the 3d-vortex equation a generalized nonlinear diffusion with random…

In this work, we study the rigidity problem for the logarithmic Sobolev inequality on a complete metric measure space $(M^n,g,f)$ with Bakry-\'Emery Ricci curvature satisfying $Ric_f\geq \frac{a}{2}g$, for some $a>0$. We prove that if…

We establish the stability of metric viscosity solutions to first-order Hamilton--Jacobi equations under Gromov--Hausdorff convergence. Our proof combines a characterization of metric viscosity solutions via quadratic distance functions…

We prove the almost sure weak convergence of a stochastic proximal point method for minimizing a convex integral function in the general nonlinear context of complete geodesic metric spaces of nonpositive curvature (so-called Hadamard…

In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…

We consider controlled stochastic differential equations (SDEs) with measurable coefficients, a uniformly elliptic diffusion coefficient and an $L_d$-drift. No space-regularity will be assumed for the coefficients. In this framework we…

We study spaces $\mathcal{CV}^{k}(\Omega,E)$ of $k$-times continuously partially differentiable functions on an open set $\Omega\subset\mathbb{R}^{d}$ with values in a locally convex Hausdorff space $E$. The space…

In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…

We study a stochastic optimal control problem for a partially observed diffusion. By using the control randomization method in [4], we prove a corresponding randomized dynamic programming principle (DPP) for the value function, which is…

This paper is devoted to the construction of stochastic flows of measurable mappings in a locally compact separable metric space (M, $\rho$). We propose a new construction that produces strong measurable continuous modifications for certain…

We extend a randomisation method, introduced by Shiffman-Zelditch and developed by Burq-Lebeau on compact manifolds for the Laplace operator, to the case of $\mathbb{R}^d$ with the harmonic oscillator. We construct measures, thanks to…

Periodic measures are the time-periodic counterpart to invariant measures for dynamical systems and can be used to characterise the long-term periodic behaviour of stochastic systems. This paper gives sufficient conditions for the…