Related papers: Long-time asymptotic behaviour of the value functi…
We develop and justify methodology to consistently test for long-horizon return predictability based on realized variance. To accomplish this, we propose a parametric transaction-level model for the continuous-time log price process based…
The long-time average behavior of the value function in the calculus of variations is known to be connected to the existence of the limit of the corresponding Abel means. Still in the Tonelli case, such a limit is in turn related to the…
We prove in a dynamic programming framework that uniform convergence of the finite horizon values implies that asymptotically the average accumulated payoff is constant on optimal trajectories. We analyze and discuss several possible…
The asymptotic behavior of the convolution-integral of a special form of the Airy function and a function of the power-like behavior at infinity is obtained. The integral under consideration is the solution of the Cauchy problem for an…
This paper is concerned with the asymptotic stability analysis of a one dimensional wave equation with Dirichlet boundary conditions subject to a nonlinear distributed damping with an L p functional framework, p $\in$ [2, $\infty$]. Some…
The paper is concerned with two-person games with saddle point. We investigate the limits of value functions for long-time-average payoff, discounted average payoff, and the payoff that follows a probability density. Most of our assumptions…
We study the asymptotic stability properties of nonlinear switched systems under the assumption of the existence of a common weak Lyapunov function. We consider the class of nonchaotic inputs, which generalize the different notions of…
For two linear evolution differential equations systems - a normal ordinary differential equations system and a partial differential equations system with Stokes operator in a main part - with rapidly oscillating by time coefficients in a…
We consider both discrete and continuous "uncertain horizon" deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes,…
This paper studies value iteration for infinite horizon contracting Markov decision processes under convexity assumptions and when the state space is uncountable. The original value iteration is replaced with a more tractable form and the…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
Monotone systems comprise an important class of dynamical systems that are of interest both for their wide applicability and because of their interesting mathematical properties. It is known that under the property of quasimonotonicity…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
We study the asymptotics of solutions of logistic type equations with fractional Laplacian as time goes to infinity and as the exponent in nonlinear part goes to infinity. We prove strong convergence of solutions in the energy space and…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
Explicit solution of an infinite horizon optimal stopping problem for a Levy processes with a polynomial reward function is given, in terms of the overall supremum of the process, when the solution of the problem is one-sided. The results…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
This paper studies the long-time behavior of optimal solutions for a class of linear-convex optimal control problems. We focus on a partial exponential turnpike property, established without imposing controllability or stabilizability…
The paper endeavours to solve the problem of the necessary and sufficient conditions for testing asymptotic stability of the equilibrium state without using a positive definite or semi-definite Lyapunov function for time-invariant nonlinear…