Related papers: Viscosity Solutions to First Order Path-Dependent …
A general continuous mean-variance problem is considered for a diffusion controlled process where the reward functional has an integral and a terminal-time component. The problem is transformed into a superposition of a static and a dynamic…
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…
This paper provides an overview of the recently developed notion of viscosity solutions of path-dependent partial di erential equations. We start by a quick review of the Crandall- Ishii notion of viscosity solutions, so as to motivate the…
Motivated by a control problem of a certain queueing network we consider a control problem where the dynamics is constrained in the nonnegative orthant $\mathbb{R}_+$ of the $d$-dimensional Euclidean space and controlled by the reflections…
In this paper we consider nonautonomous optimal control problems of infinite horizon type, whose control actions are given by $L^1$-functions. We verify that the value function is locally Lipschitz. The equivalence between dynamic…
We introduce a new definition of viscosity solution to path-dependent partial differential equations, which is a slight modification of the definition introduced in [8]. With the new definition, we prove the two important results till now…
In this paper, we consider first order Hamilton-Jacobi (HJ) equations posed on a ``junction'', that is to say the union of a finite number of half-lines with a unique common point. For this continuous HJ problem, we propose a finite…
We review some recent work in fast, efficient and accurate methods to compute viscosity solutions and non-viscosity solutions to static Hamilton-Jacobi equations which arise in optimal control, anisotropic front propagation, and multiple…
In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…
We investigate the large-time behavior of the value functions of the optimal control problems on the $n$-dimensional torus which appear in the dynamic programming for the system whose states are governed by random changes. From the point of…
The non-exponential Schilder-type theorem in Backhoff-Veraguas, Lacker and Tangpi [Ann. Appl. Probab., 30 (2020), pp. 1321-1367] is expressed as a convergence result for path-dependent partial differential equations with appropriate notions…
The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman…
In this paper, we consider state and control path-dependent stochastic zero-sum differential games, where the dynamics and the running cost include both state and control paths of the players. Using the notion of nonanticipative strategies,…
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…
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 paper we use the theory of viscosity solutions for Hamilton-Jacobi equations to study propagation phenomena in kinetic equations. We perform the hydrodynamic limit of some kinetic models thanks to an adapted WKB ansatz. Our models…
We study singular perturbation problems for second order HJB equations in an unbounded setting. The main applications are large deviations estimates for the short maturity asymptotics of stochastic systems affected by a stochastic…
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…
We study the periodic homogenization of convex Hamilton-Jacobi equations on perforated domains with Dirichlet boundary conditions. By analyzing the optimal control representation of the solutions and the properties of the metric function…