Related papers: A change of variable formula with applications to …
This paper studies formulations of second-order elliptic partial differential equations in nondivergence form on convex domains as equivalent variational problems. The first formulation is that of Smears \& S\"uli [SIAM J.\ Numer.\ Anal.\…
The paper treats the problem of optimal distributed control of a Cahn-Hilliard-Oono system in $\mathbb{R}^d$, $1\leq d\leq 3$, with the control located in the mass term and admitting general potentials that include both the case of a…
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. This prevents the optimal exercise times…
This work examines the problem of sequential detection of a change in the drift of a Brownian motion in the case of two-sided alternatives. Applications to real life situations in which two-sided changes can occur are discussed.…
In this paper, we present some second-order sufficient conditions in terms of the Demyanov-Pevnyi's second-order directional derivatives for efficiency of $C^1$ vector optimization problems with constraints. Our results improve and…
This article deals with a stochastic control problem for certain fluids of non-Newtonian type. More precisely, the state equation is given by the two-dimensional stochastic second grade fluids perturbed by a multiplicative white noise. The…
In this paper we use the It\^o's formula and comparison theorems to study the blow-up in finite time of stochastic differential equations driven by a Brownian motion. In particular, we obtain an extension of Osgood criterion, which can be…
The It\^o formula, also known as the change-of-variables formula, is a cornerstone of It\^o stochastic calculus. Over time, this formula has been extended to apply to random processes for which classical calculus is insufficient. Since…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
On a smooth, closed Riemannian manifold $\left(M,g\right)$ of dimension $n\ge3$, we consider the stationary Schr\"odinger equation $\Delta_gu+h_0u=\left|u\right|^{2^*-2}u$, where $\Delta_g:=-\text{div}_g\nabla$, $h_0\in C^1\left(M\right)$…
We investigate optimal stopping problems for systems driven by the Brownian sheet. Our analysis is divided into two parts. In the first part we derive explicit solutions to two optimal stopping problems for the exponentially discounted…
The paper is devoted to the study of the twice epi-differentiablity of extended-real-valued functions, with an emphasis on functions satisfying a certain composite representation. This will be conducted under the parabolic regularity, a…
A new integral identity for functions with continuous second partial derivatives is derived. It is shown that the value of any function f(r,t) at position r and time t is completely determined by its previous values at all other locations…
This article deals with higher order Caputo fractional variational problems with the presence of delay in the state variables and their integer higher order derivatives.
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
For $\gamma>0$, we are interested in blow up solutions $u\in C^+(B)$ of the fractional problem in the unit ball $B$ \begin{equation}\label{2nov} \left\{\begin{array} {rcll} \Delta^{\frac{\alpha}{2}} u &=& u^\gamma&\ \text{in }B\\ u &=& 0&\…
Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…
The question of defining unique, generally applicable constrained second, and higher-order, derivatives is investigated. It is shown that second-order constrained derivatives obtained via two successive constrained differentiations provide…