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We investigate a two-player zero-sum stochastic differential game problem with the state process being constrained in a connected bounded closed domain, and the cost functional described by the solution of a generalized backward stochastic…
In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…
We formulate a lagrangian hydrodynamics including shear and bulk viscosity in the presence of spin density, and investigate it using the linear response functional formalism. The result is a careful accounting of all sound and vortex…
We construct a class of quantum stochastic models of reservoir driven many-particle systems that are the natural counterparts of certain extensively studied classical ones, which have been shown to exhibit good hydrodynamical behaviour. Our…
We study the Navier-Stokes equations governing the motion of isentropic compressible fluid in three dimensions driven by a multiplicative stochastic forcing. In particular, we consider a stochastic perturbation of the system as a function…
In this paper, we study a stochastic recursive optimal control problem in which the value functional is defined by the solution of a backward stochastic differential equation (BSDE) under $\tilde{G}$-expectation. Under standard assumptions,…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
We investigate the late-time asymptotic behavior of solutions to nonlinear hyperbolic systems of conservation laws containing stiff relaxation terms. First, we introduce a Chapman-Enskog-type asymptotic expansion and derive an effective…
We develop a pathwise theory for scalar conservation laws with quasilinear multiplicative rough path dependence, a special case being stochastic conservation laws with quasilinear stochastic dependence. We introduce the notion of pathwise…
We formulate the flow of thick fluids as evolution variational and quasi-variational inequalities, with a variable threshold on the absolute value of the deformation rate tensor. In the variational case, we show the existence and uniqueness…
In this paper, the $2$-D isentropic Navier-Stokes systems for compressible fluids with density-dependent viscosity coefficients are considered. In particular, we assume that the viscosity coefficients are proportional to density. These…
Statistical solutions are time-parameterized probability measures on spaces of integrable functions, that have been proposed recently as a framework for global solutions and uncertainty quantification for multi-dimensional hyperbolic system…
Considered herein is a particular nonlinear dispersive stochastic equation. It was introduced recently in [3], as a model describing surface water waves under location uncertainty. The corresponding noise term is introduced through a…
We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the…
In this paper, we consider discrete-time infinite horizon problems of optimal control to a terminal set of states. These are the problems that are often taken as the starting point for adaptive dynamic programming. Under very general…
By using a selective filtration argument, we prove that the satisfiability problem of the unimodal logic of density is in $EXPTIME$. By using a tableau-like approach, we prove that the satisfiability problem of the bimodal logic of weak…
We establish spectral, linear, and nonlinear stability of the vanishing and slow-moving travelling waves that arise as time asymptotic solutions to the Fisher-Stefan equation. Nonlinear stability is in terms of the limiting equations that…
We consider stochastic dynamic programming problems with high-dimensional, discrete state-spaces and finite, discrete-time horizons that prohibit direct computation of the value function from a given Bellman equation for all states and time…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
We present a stochastic and variational aspect of the Lax-Friedrichs scheme applied to hyperbolic scalar conservation laws. This is a finite difference version of Fleming's results ('69) that the vanishing viscosity method is characterized…