Related papers: Long-time asymptotic behaviour of the value functi…
In this paper we continue our earlier investigations into the asymptotic behaviour of infinite systems of coupled differential equations. Under the mild assumption that the so-called characteristic function of our system is completely…
We prove the asymptotic convergence of a space-periodic entropy solution of a one-dimensional degenerate parabolic equation to a traveling wave. It is also shown that on a segment containing the essential range of the limit profile the flux…
When assessing risks on a finite-time horizon, the problem can often be reduced to the study of a random sequence $C(N)=(C_1,\ldots,C_N)$ of random length $N$, where $C(N)$ comes from the product of a matrix $A(N)$ of random size $N \times…
We study the intermediate asymptotic behavior of solutions to the first-order mean field games system with a local coupling, when the initial density is a compactly supported function on the real line, and the coupling is of power type.…
In this work the synthesis of approximate optimal and smooth feedback laws for infinite horizon optimal control problems is addressed. In this regards, $L^{p}$ type error bounds of the approximating smooth feedback laws are derived,…
For a converging sequence of exponential L\'evy models, we give conditions under which the associated sequence of option prices converges. We also study the behaviour of the prices when no such convergence holds. We then consider two…
Nonlinear conservation laws driven by L\'evy processes have solutions which, in the case of supercritical nonlinearities, have an asymptotic behavior dictated by the solutions of the linearized equations. Thus the explicit representation of…
In this paper, we consider undiscouted infinite-horizon optimal control for deterministic systems with an uncountable state and input space. We specifically address the case when the classic value iteration does not converge. For such…
In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization…
The estimation of the covariance structure from a discretely observed multivariate Gaussian process under asynchronicity and noise is analysed under high-frequency asymptotics. Asymptotic lower and upper bounds are established for a general…
Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal…
We study the long-time behavior of spatially periodic solutions of the Navier-Stokes equations in the three-dimensional space. The body force is assumed to possess an asymptotic expansion or, resp., finite asymptotic approximation, in…
This paper investigates the global stability and the global asymptotic stability independent of the sizes of the delays of linear time-varying Caputo fractional dynamic systems of real fractional order possessing internal point delays. The…
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…
We study the behavior of the critical price of an American put option near maturity in the exponential L\'evy model when the underlying stock pays dividends at a continuous rate. In particular, we prove that, in situations where the limit…
This paper studies the dynamics of families of monotone nonautonomous neutral functional differential equations with nonautonomous operator, of great importance for their applications to the study of the long-term behavior of the…
Consider any Leray-Hopf weak solution of the three-dimensional Navier-Stokes equations for incompressible, viscous fluid flows. We prove that any Lagrangian trajectory associated with such a velocity field has an asymptotic expansion, as…
We study long time behavior of some nonlinear discrete velocity kinetic equations in the one and three dimensions with periodic boundary conditions. We prove the exponential time decay of solutions towards the global equilibrium in the…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…