Related papers: A free boundary problem arising from a multi-state…
We study the transmission problem in bounded domains with dissipative boundary conditions. Under some natural assumptions, we prove uniform bounds of the corresponding resolvents on the real axis at high frequency, and as a consequence, we…
In this survey we go through some of the recent results about the regularity of vectorial free boundary problems of Bernoulli type and free boundary systems. The aim is to illustrate the general methodologies as well as to outline a…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
Incomplete financial markets are considered, defined by a multi-dimensional non-homogeneous diffusion process, being the direct sum of an It\^{o} process (the price process), and another non-homogeneous diffusion process (the exogenous…
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
In this paper, we consider a free boundary problem of a semilinear nonhomogeneous elliptic equation with Bernoulli's type free boundary. The existence and regularity of the solution to the free boundary problem are established by use of the…
In this article we study a class of generalised linear systems of difference equations with given boundary conditions and assume that the boundary value problem is non-consistent, i.e. it has infinite many or no solutions. We take into…
We revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…
In a bounded domain, we consider a variable range nonlocal operator, which is maximally isotropic in the sense that its radius of interaction equals the distance to the boundary. We establish $C^{1,\alpha}$ boundary regularity and existence…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
Some approach to the solution of boundary value problems for finding functions, which are analytical in a wedge, is proposed. If the ratio of the angle at the wedge vertex to a number \pi is rational, then the boundary value problem is…
We study for the first time a two-phase free boundary problem in which the solution satisfies a Robin boundary condition. We consider the case in which the solution is continuous across the free boundary and we prove an existence and a…
We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market…
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…
We formulate the problem of material identification as a problem of optimal control in which the deformation of the specimen is the state variable and the unknown material law is the control variable. We assume that the material obeys…
In this paper we introduce a variational model for the study of multilayer films that allows for the treatment of both coherent and incoherent interfaces between layers. The model is designed in the framework of the theory of Stress Driven…