Related papers: Optimal Trapping of Brownian Motion: A Nonlinear A…
In this paper, we consider equations involving fully nonlinear nonlocal operators $$F_{\alpha}(u(x)) \equiv C_{n,\alpha} PV \int_{\mathbb{R}^n} \frac{G(u(x)-u(z))}{|x-z|^{n+\alpha}} dz= f(x,u).$$ We prove a maximum principle and obtain key…
We consider an optimization problem related to elliptic PDEs of the form $-{\rm div}(a(x)\nabla u)=f$ with Dirichlet boundary condition on a given domain $\Omega$. The coefficient $a(x)$ has to be determined, in a suitable given class of…
In this paper we consider nonnegative solutions of the following parabolic-elliptic cross-diffusion system \begin{equation*} \left\{ \begin{array}{l} \begin{aligned} &u_t = \Delta u - \nabla(u f(|\nabla v|^2 )\nabla v), \\[6pt] &0= \Delta v…
We derive distributional limits for empirical transport distances between probability measures supported on countable sets. Our approach is based on sensitivity analysis of optimal values of infinite dimensional mathematical programs and a…
Given a smooth potential function $V : \mathbf{R}^m \to \mathbf{R}$, one can consider the ODE $\partial_t^2 u = -(\nabla V)(u)$ describing the trajectory of a particle $t \mapsto u(t)$ in the potential well $V$. We consider the question of…
Let $D$ be an unbounded domain in $\RR^d$ with $d\geq 3$. We show that if $D$ contains an unbounded uniform domain, then the symmetric reflecting Brownian motion (RBM) on $\overline D$ is transient. Next assume that RBM $X$ on $\overline D$…
We study a Lagrangian numerical scheme for solution of a nonlinear drift diffusion equation of the form $\partial_t u = \partial_x(u \cdot c[\partial_x(h^\prime(u)+v)])$ on an interval. This scheme will consist of a spatio-temporal…
It is known from Bramson (1983) that the maximum of branching Brownian motion at time $t$ is asymptotically around an explicit function $m_t$, which involves a first ballistic order and a logarithmic correction. In this paper, we give an…
Let $\Omega$ be a bounded domain in ${\mathbb R}^N$ and $T>0$. We study the problem \begin{equation} (P)\left\{ \begin{array}{lll} u_t - \Delta u \pm g(u) &= \mu \quad &\text{in } Q_T:=\Omega \times (0,T) \\ \phantom{------,} u&=0 &\text{on…
One of the crucial features of optimal transport on Riemannian manifolds is the equivalence of the `static', original, formulation of the problem and of the `dynamic' one, based on the study of the continuity equation. This furnishes the…
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an…
We study dynamics near the threshold for blowup in the focusing nonlinear Klein-Gordon equation $u_{tt}-u_{xx} + u - |u|^{2\alpha} u =0$ on the line. Using mixed numerical and analytical methods we find that solutions starting from even…
We report on a time regularity result for stochastic evolutionary PDEs with monotone coefficients. If the diffusion coefficient is bounded in time without additional space regularity we obtain a fractional Sobolev type time regularity of…
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with…
The narrow escape problem is a first-passage problem concerned with randomly moving particles in a physical domain, being trapped by absorbing surface traps (windows), such that the measure of traps is small compared to the domain size. The…
In this paper we are interested in the upper bound of the lifespan estimate for the compressible Euler system with time dependent damping and small initial perturbations. We employ some techniques from the blow-up study of nonlinear wave…
The goal of this article is to establish a central limit theorem for the Euler-Maruyama scheme approximating multidimensional SDEs with elliptic Brownian diffusion, under very mild regularity requirements on the drift coefficients. When the…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
Following recent interest in the qualitative analysis of some optimal control and shape optimisation problems, we provide in this article a detailed study of the optimisation of Robin boundary conditions in PDE constrained calculus of…
Consider $N$ particles performing random walks on the $\epsilon$-grid $(\epsilon Z)^d$, $\epsilon>0$ with branching and density-dependent selection: When one of the particles branches, a particle is removed from the most populated site. The…