Related papers: Long-time asymptotic behaviour of the value functi…
This paper provides sufficient conditions for global asymptotic stability and global exponential stability, which can be applied to nonlinear, large-scale, uncertain discrete-time systems. The conditions are derived by means of vector…
We develop a finite-horizon model in which liquid-asset returns exhibit Levy-stable scaling on a data-driven window [tau_UV, tau_IR] and aggregate into a finite-variance regime outside. The window and the tail index alpha are identified…
This paper is concerned with the asymptotic stability analysis of a one dimensional wave equation subject to a nonmonotone distributed damping. A well-posedness result is provided together with a precise characterization of the asymptotic…
We deduce the asymptotic error distribution of the Euler method for the nonlinear filtering problem with continuous-time observations. Previous works by several authors have shown that the error structure of the method is characterized by…
In this paper we consider the initial value problem for a family of shallow water equations on the line $\R$ with various asymptotic conditions at infinity. In particular we construct solutions with prescribed asymptotic expansion as…
This paper considers a class of nonlinear time harmonic Maxwell systems at fixed frequency, with nonlinear terms taking the form $\mathscr{X}(x,|\vec E(x)|^2)\vec E(x)$, $\mathscr{Y}(x,|\vec H(x)|^2)\vec H(x)$, such that $\mathscr{X}(x,s)$,…
We continue our study on the logarithmic balanced model metric initiated in our previous work. By a non-trivial refinement of the set of tools developed in our previous work, we are able to confirm partially a conjecture we made in our…
In recent years there has been an increasing interest in whether a mean value property, known to characterize harmonic functions, can be extended in some weak form to solutions of nonlinear equations. This question has been partially…
Long-range dependent random fields with spectral densities which are unbounded at some frequencies are investigated. We demonstrate new examples of covariance functions which do not exhibit regular varying asymptotic behaviour at infinity.…
The problem of optimal stopping with finite horizon in discrete time is considered in view of maximizing the expected gain. The algorithm proposed in this paper is completely nonparametric in the sense that it uses observed data from the…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
We investigate conditions of optimality for an infinite horizon control problem and consider their correspondence with the value function. Assuming Lipschitz continuity of the value function, we prove that sensitivity relations plus the…
We study the asymptotic convergence properties, as the time variable goes to infinity, of trajectories of second-order dissipative evolution equations combining potential with non-potential effects. We exhibit a sharp condition, involving…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
We examine a class of stochastic differential inclusions involving multiscale effects designed to solve a class of generalized variational inequalities. This class of problems contains constrained convex non-smooth optimization problems,…
In this work we analyse asymptotically flat, spherically symmetric spacetimes in which an event horizon is present without any trapped surfaces. We identify two types of such spacetimes, each related to the asymptotic behaviour (in time) of…
We propose a moving horizon estimation scheme to estimate the states and the unknown constant parameters of general nonlinear uncertain discrete-time systems. The proposed framework and analysis explicitly do not involve the a priori…
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoff via the scale…
We investigate asymptotic behavior of solutions for nonlocal elliptic boundary value problems in plane angles and in ${\mathbb R}^2\backslash\{0\}$. Such problems arise as model ones when studying asymptotics of solutions for nonlocal…
We show that p-harmonic functions in the plane satisfy a nonlinear asymptotic mean value property for p>1. This extends previous results of Manfredi and Lindqvist for certain range of p's.