Related papers: On Positive Solutions of a Delay Equation Arising …
The stability of functional differential equations under delayed feedback is investigated near a Hopf bifurcation. Necessary and sufficient conditions are derived for the stability of the equilibrium solution using averaging theory. The…
Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic…
We formulate a simplified model of a limit order book, in which the arrival process is independent of the current state. We prove a phase transition result: there exist prices $\kappa_b$ and $\kappa_a$ such that, for any $\epsilon > 0$,…
We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided L\'evy risk models. We consider de…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
In this paper, we study the following nonlinear Kirchhoff problem involving critical growth: $$ \left\{% \begin{array}{ll} -(a+b\int_{\Omega}|\nabla u|^2dx)\Delta u=|u|^4u+\lambda|u|^{q-2}u, u=0\ \ \text{on}\ \ \partial\Omega, \end{array}%…
In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative L\'{e}vy insurance risk processes. In the first case, we assume that an insurance company starts to pay tax when its…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
We consider time-delay systems with a finite number of delays in the state space $L^\infty\times\mathbb{R}^n$. In this framework, we show that forward completeness implies the bounded reachability sets property, while this implication was…
In this paper, we consider a class of linear boundary systems with delays in state, input and boundary output. We prove the well-posedness and derive some spectral properties of linear system with delayed boundary feedback under some…
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $\mathcal{P}$ of possible physical measures. A robust notion ${\rm NA}_{1}(\mathcal{P})$ of no-arbitrage of the first…
For a wide class of second order nonlinear non-autonomous models, we illustrate that combining proportional state control with the feedback that is proportional to the derivative of the chaotic signal, allows to stabilize unstable motions…
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
This paper analyzes the structure of the set of positive solutions of a class of one-dimensional superlinear indefinite bvp's. It is a paradigm of how mathematical analysis aids the numerical study of a problem, whereas simultaneously its…
It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss…
We consider a model of matching in trading networks in which firms can enter into bilateral contracts. In trading networks, stable outcomes, which are immune to deviations of arbitrary sets of firms, may not exist. We define a new solution…
For output-symmetric DMCs at even moderately high rates, fixed-block-length communication systems show no improvements in their error exponents with feedback. In this paper, we study systems with fixed end-to-end delay and show that…
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.…
In this paper we analyze a semilinear abstract damped wave-type equation with time delay. We assume that the delay feedback coefficient is variable in time and belonging to $L^1_{loc}([0, +\infty)).$ Under suitable assumptions, we show…