Related papers: Nonlinear Parabolic Equations arising in Mathemati…

We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…

We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-Bellman equation is fully nonlinear. Using a delicate partial…

In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his…

The aim of this work is to develop a deep learning method for solving high-dimensional stochastic control problems based on the Hamilton--Jacobi--Bellman (HJB) equation and physics-informed learning. Our approach is to parameterize the…

We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…

We consider a quasi-linear parabolic equation with nonlinear dynamic boundary conditions occurring as a natural generalization of the semilinear reaction-diffusion equation with dynamic boundary conditions. The corresponding class of…

We study semi Lagrangian approximation schemes for Hamilton Jacobi Bellman equations arising from finite horizon optimal control problems. Classical error estimates for these schemes include the term $\frac{1}{\Delta t}$ which leads to…

In this note we study the convergence of monotone P1 finite element methods on unstructured meshes for fully non-linear Hamilton-Jacobi-Bellman equations arising from stochastic optimal control problems with possibly degenerate, isotropic…

The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman…

In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…

The aim of this paper is twofold. The first is to study the asymptotics of a parabolically scaled, continuous and space-time stationary in time version of the well-known Funaki-Spohn model in Statistical Physics. After a change of unknowns…

This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…

Expanding the ideas of the author's paper 'Nonexpansive maps and option pricing theory' (Kibernetica 34:6 (1998), 713-724) we develop a pure game-theoretic approach to option pricing, by-passing stochastic modeling. Risk neutral…

We establish local elliptic and parabolic gradient estimates for positive smooth solutions to a nonlinear parabolic equation on a smooth metric measure space. As applications, we determine various conditions on the equation's coefficients…

We study a class of initial boundary value problems of hyperbolic type. A new topological approach is applied to prove the existence of non-negative classical solutions. The arguments are based upon a recent theoretical result.

In this paper, we provide an example of the optimal growth model in which there exist infinitely many solutions to the Hamilton-Jacobi-Bellman equation but the value function does not satisfy this equation. We consider the cause of this…

We analyze the spatially semidiscrete piecewise linear finite element method for a nonlocal parabolic equation resulting from thermistor problem. Our approach is based on the properties of the elliptic projection defined by the bilinear…

In this Note, we review the main existing results, methods, and some key open problems on the controllability of nonlinear hyperbolic and parabolic equations. Especially, we describe our recent universal approach to solve the local…

We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…

This course introduces the use of semigroup methods in the solution of linear and nonlinear (quasi-linear) hyperbolic partial differential equations, with particular application to wave equations and Hermitian hyperbolic systems. Throughout…