Related papers: A change of variable formula with applications to …
We study an optimal control problem with a quadratic cost functional for non-Newtonian fluids of differential type. More precisely, we consider the system governing the evolution of a second grade fluid filling a two-dimensional bounded…
An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…
We develop strong and weak maximum principles for boundary-degenerate elliptic and parabolic linear second-order partial differential operators, $Au := -\mathrm{tr}(aD^2u)-<b, Du> + cu$, with partial Dirichlet boundary conditions. The…
In this manuscript, we consider a control system governed by a general ordinary differential equation on a Riemannian manifold, with its endpoints satisfying some inequalities and equalities, and its control constrained to a closed convex…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded…
We provide an It\^o's formula for $C^1$-functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet process, and extends the $C^1$-It\^o's formula in Gozzi and…
We establish local-in-time existence for the Euler equations on a bounded domain with space-time dependent variable coefficients, given initial data $v_0 \in H^r$ under the optimal regularity condition $r > 2.5$. In the case $r = 3$, we…
We here adapt an extended version of the adaptive cubic regularisation method with dynamic inexact Hessian information for nonconvex optimisation in [3] to the stochastic optimisation setting. While exact function evaluations are still…
We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained by means of PDE arguments, in a Markovian setting and under…
In this paper, we study uni-parametric linear optimization problems, in which simultaneously the right-hand-side and the left-hand-side of constraints are linearly perturbed with identical parameter. In addition to the concept of change…
Functional constraints and bi-functional constraints are an important constraint class in Constraint Programming (CP) systems, in particular for Constraint Logic Programming (CLP) systems. CP systems with finite domain constraints usually…
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control…
Motivated by the problem of solving the Einstein equations, we discuss high order finite difference discretizations of first order in time, second order in space hyperbolic systems.Particular attention is paid to the case when first order…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of…
We give a short proof of It\^o's formula for stochastic Hilbert-space valued processes in the setting $V\subset H\subset V^{*}$ based on the possibility to lift the stochastic differentials, which are originally in $V^{*}$, into $H$. Using…
We introduce a second-order stochastic model to explore the variability in growth of biological shapes with applications to medical imaging. Our model is a perturbation with a random force of the Hamiltonian formulation of the geodesics.…
We show that optimal stopping surfaces $(t,y)\mapsto x_*(t,y)$ arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions $(X,Y)$ are continuous (jointly in time and space) under mild monotonicity and…
We show that the derivative of the (measure) transfer operator with respect to the parameter of the map is a divergence. Then, for physical measures of discrete-time hyperbolic chaotic systems, we derive an equivariant divergence formula…