Related papers: A variational formula for risk-sensitive control o…
We consider the value function of a stochastic optimal control of degenerate diffusion processes in a domain $D$. We study the smoothness of the value function, under the assumption of the non-degeneracy of the diffusion term along the…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
This is one of a series of papers exploring the stability speed of one-dimensional stochastic processes. The present paper emphasizes on the principal eigenvalues of elliptic operators. The eigenvalue is just the best constant in the…
It is well known that, in the study of the dynamical properties of nonlinear evolution system with nonlocal dispersals, the principal eigenvalue of linearized system play an important role. However, due to lack of compactness, in order to…
A method of estimating all eigenvalues of a preconditioned discretized scalar diffusion operator with Dirichlet boundary conditions has been recently introduced in T. Gergelits, K.A. Mardal, B.F. Nielsen, Z. Strako\v{s}: Laplacian…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
We consider optimal control of an elliptic two-point boundary value problem governed by functions of bounded variation (BV). The cost functional is composed of a tracking term for the state and the BV-seminorm of the control. We use the…
The ergodic control problem for a non-degenerate controlled diffusion controlled through its drift is considered under a uniform stability condition that ensures the well-posedness of the associated Hamilton-Jacobi-Bellman (HJB) equation. A…
This work is devoted to the asymptotic behavior of eigenvalues of an elliptic operator with rapidly oscillating random coefficients on a bounded domain with Dirichlet boundary conditions. A sharp convergence rate is obtained for isolated…
We develop an encounter-based approach for describing restricted diffusion with a gradient drift towards a partially reactive boundary. For this purpose, we introduce an extension of the Dirichlet-to-Neumann operator and use its eigenbasis…
We present an extension of some results of higher order calculus of variations and optimal control to generalized functions. The framework is the category of generalized smooth functions, which includes Schwartz distributions, while sharing…
This work investigates the optimal control of the variable-exponent subdiffusion, which extends the work [Gunzburger and Wang, {\it SIAM J. Control Optim.} 2019] to the variable-exponent case to account for the multiscale and crossover…
We study the existence theory for parabolic variational inequalities in weighted $L^2$ spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for…
We study the validity of the comparison and maximum principles, and their relation with principal eigenvalues, for a class of degenerate nonlinear operators that are extremal among operators with one dimensional fractional diffusion.
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
The purpose of this short note is to give a variation on the classical Donsker-Varadhan inequality, which bounds the first eigenvalue of a second-order elliptic operator on a bounded domain $\Omega$ by the largest mean first exit time of…
We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic differential equations on infinite horizon. We illustrate our…
We study the relative value iteration for the ergodic control problem under a near-monotone running cost structure for a nondegenerate diffusion controlled through its drift. This algorithm takes the form of a quasilinear parabolic Cauchy…