Related papers: Global $C^1$ Regularity of the Value Function in O…
This paper is devoted to the study of the parameter's set where the Green's function related to a general linear $n^{\rm th}$-order operator, depending on a real parameter, $T_n[M]$, coupled with many different two point boundary value…
We consider the representation of the value of an optimal stopping problem of a linear diffusion as an expected supremum of a known function. We establish an explicit integral representation of this function by utilizing the explicitly…
In this paper, we develop a series of boundary pointwise regularity for Dirichlet problems and oblique derivative problems. As applications, we give direct and simple proofs of the higher regularity of the free boundaries in obstacle-type…
A method based on deep artificial neural networks and empirical risk minimization is developed to calculate the boundary separating the stopping and continuation regions in optimal stopping. The algorithm parameterizes the stopping boundary…
We investigate a coagulation-fragmentation equation with boundary data, establishing the well-posedness of the initial value problem when the coagulation kernels are bounded at zero and showing existence of solutions for the singular…
One of the most remarkable features of known nonstationary solutions to the incompressible Euler equations is the phenomenon known as the Taylor hypothesis, which predicts that coarse scale averages of the velocity carry the fine scale…
We analyze the Gambler's problem, a simple reinforcement learning problem where the gambler has the chance to double or lose the bets until the target is reached. This is an early example introduced in the reinforcement learning textbook by…
Consider the discounted optimal stopping problem for a real valued Markov process with only positive jumps. We provide a theorem to verify that the optimal stopping region has the form {x >= x^*} for some critical threshold x^*, and a…
In this paper, we consider a class of initial-boundary value problems governed by pseudo-parabolic total variation flows. The principal characteristic of our problem lies in the velocity term of the diffusion flux, a feature that can bring…
The paper considers existence of spatially regular solutions for a class of linear Boltzmann transport equations. The related transport problem is an (initial) inflow boundary value problem. This problem is characteristic with variable…
We consider a class of time-inhomogeneous optimal stopping problems and we provide sufficient conditions on the data of the problem that guarantee monotonicity of the optimal stopping boundary. In our setting, time-inhomogeneity stems not…
In this paper, we solve explicitly the optimal stopping problem with random discounting and an additive functional as cost of observations for a regular linear diffusion. We also extend the results to the class of one-sided regular Feller…
We prove sharp boundary H{\"o}lder regularity for solutions to equations involving stable integro-differential operators in bounded open sets satisfying the exterior $C^{1,\text{dini}}$-property. This result is new even for the fractional…
We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…
This article has two purposes. The first is to prove solutions of the second boundary value problem for generated Jacobian equations are strictly $g$-convex. The second is to prove the global $C^3$ regularity of Aleksandrov solutions to the…
It is well known that, under standard assumptions, initial value problems for fractional ordinary differential equations involving Caputo-type derivatives are well posed in the sense that a unique solution exists and that this solution…
We consider the piecewise-deterministic Markov process obtained by randomly switching between the flows generated by a finite set of smooth vector fields on a compact set. We obtain H\"ormander-type conditions on the vector fields…
This paper discusses a general and useful stability principle which, roughly speaking, says that given a uniformly continuous function defined on an arbitrary metric space, if the function is bounded on the constraint set and we slightly…
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…
An initial-value problem for an ordinary differential equation of the first order, is considered. It is supposed that the right-hand side of the equation is a continuous function defined on a set consisting of an open set and a part of its…