Related papers: Application of maximal monotone operator method fo…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized by a stochastic process) transaction costs through the…
In this paper, we derive a Fast Reflected Forward-Backward (Fast RFB) algorithm to solve the problem of finding a zero of the sum of a maximally monotone operator and a monotone and Lipschitz continuous operator in a real Hilbert space. Our…
Let $n\in\mathbb{N}$, $\vec{\alpha}=(\alpha_1,\ldots,\alpha_n)\in (0,\infty)^n$, $\vec{\beta}=(\beta_1,\ldots,\beta_n)\in (\mathbb{R}\setminus\{0\})^n$, $\vec{f}:=(f_1,\ldots, f_n)\in \mathcal{S}^n(\mathbb{R})$ and set…
We develop a efficient, easy-to-implement, and strictly monotone numerical integration method for Mean-Variance (MV) portfolio optimization in realistic contexts, which involve jump-diffusion dynamics of the underlying controlled processes,…
In this paper infinite horizon optimal control problems for nonlinear high-dimensional dynamical systems are studied. Nonlinear feedback laws can be computed via the value function characterized as the unique viscosity solution to the…
We consider the optimal control of solutions of first order Hamilton-Jacobi equations, where the Hamiltonian is convex with linear growth. This models the problem of steering the propagation of a front by constructing an obstacle. We prove…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
A general continuous mean-variance problem is considered for a diffusion controlled process where the reward functional has an integral and a terminal-time component. The problem is transformed into a superposition of a static and a dynamic…
The paper studies a system of first order Hamilton-Jacobi equations with discontinuous coefficients, arising from a model of deterministic optimal debt management in infinite time horizon, with exponential discount and currency devaluation.…
The paper deals with a Bolza optimal control problem for a dynamical system which motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional in this…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…
We consider the Hamilton-Jacobi equation \[{H}(x,Du)+\lambda(x)u=c,\quad x\in M, \] where $M$ is a connected, closed and smooth Riemannian manifold. The functions ${H}(x,p)$ and $\lambda(x)$ are continuous. ${H}(x,p)$ is convex, coercive…
The optimal \(H_{\infty}\) control problem over an infinite time horizon, which incorporates a performance function with a discount factor \(e^{-\alpha t}\) (\(\alpha > 0\)), is important in various fields. Solving this optimal…
This paper deals with junction conditions for Hamilton-Jacobi-Bellman (HJB) equations for finite horizon control problems on multi-domains. We consider two different cases where the final cost is continuous or lower semi-continuous. In the…
We study the homogenization of first-order Hamilton-Jacobi equations on an infinite-dimensional Hilbert space, motivated by systems of infinitely many indistinguishable particles on the torus. A central difficulty is that the analysis takes…
In this paper, we approach the problem of finding the zeros of the sum of a maximally monotone operator and a monotone and Lipschitz continuous one in a real Hilbert space via an implicit forward-backward-forward dynamical system with…
We develop a modified semi-classical approach to the approximate solution of Schrodinger's equation for certain nonlinear quantum oscillations problems. At lowest order, the Hamilton-Jacobi equation of the conventional semi-classical…
Highly concentrated patterns have been observed in a spatially heterogeneous, nonlocal, model of BGK type implementing a velocity-jump process. We study both a linear and a nonlinear case and describe the concentration profile. In…
We propose notions of minimax and viscosity solutions for a class of fully nonlinear path-dependent PDEs with nonlinear, monotone, and coercive operators on Hilbert space. Our main result is well-posedness (existence, uniqueness, and…