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The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…

We study semiclassical asymptotics for spectra of non-selfadjoint perturbations of selfadjoint analytic $h$-pseudodifferential operators in dimension 2, assuming that the classical flow of the unperturbed part is completely integrable.…

This article gives a simple treatment of the quantum Birkhoff normal form for semiclassical pseudo-differential operators with smooth coefficients. The normal form is applied to describe the discrete spectrum in a generalised non-degenerate…

We obtain precise asymptotics for the Steklov eigenvalues on a compact Riemannian surface with boundary. It is shown that the number of connected components of the boundary, as well as their lengths, are invariants of the Steklov spectrum.…

The present paper extends the classical second-order variational problem of Herglotz type to the more general context of the Euclidean sphere S^n following variational and optimal control approaches. The relation between the Hamiltonian…

We consider two-point non-self-adjoint boundary eigenvalue problems for linear matrix differential operators. The coefficient matrices in the differential expressions and the matrix boundary conditions are assumed to depend analytically on…

In this paper, we carry out the numerical analysis of a nonsmooth quasilinear elliptic optimal control problem, where the coefficient in the divergence term of the corresponding state equation is not differentiable with respect to the state…

In this paper we characterize those positive operators which are asymptotic limits of contractions in strong operator topology or uniform topology. We examine the problem when the asymptotic limits of two contractions coincide.

A formula is given in terms of secondary characteristic classes for the leading order contribution to the spectral flow for a path of twisted Dirac operators on an odd dimensional, Riemannian manifold when the twisting is done by a path of…

We revisit the optimal control problem with maximum cost with the objective to provide different equivalent reformulations suitable to numerical methods. We propose two reformulations in terms of extended Mayer problems with constraint, and…

We prove optimal convergence estimates for eigenvalues and eigenvectors of a class of singular/stiff perturbed problems. Our profs are constructive in nature and use (elementary) techniques which are of current interest in computational…

A new approach to the problem of finding the asymptotical behaviour of large orders of semiclassical expansion is suggested. Asymptotics of high orders not only for eigenvalues, but also for eigenfunctions, are constructed. Thus, one can…

We first establish a sharp relation between the order of vanishing of a Dirichlet eigenfunction at a point and the leading term of the asymptotic expansion of the Dirichlet eigenvalue variation, as a removed compact set concentrates at that…

We consider an elliptic self-adjoint first order differential operator L acting on pairs (2-columns) of complex-valued half-densities over a connected compact 3-dimensional manifold without boundary. The principal symbol of the operator L…

We study the family of compact operators $B_{\alpha} = V A_{\alpha} V$, $\alpha>0$ in $L^2(\mathbb R^d)$, $d\ge 1$, where $A_{\alpha}$ is the pseudo-differential operator with symbol $a_{\alpha}(\boldsymbol\xi) = a(\alpha\boldsymbol\xi)$,…

We initiate a systematic study of natural differential operators in Riemannian geometry whose leading symbols are not of Laplace type. In particular, we define a discrete leading symbol for such operators which may be computed pointwise, or…

We consider Robin Laplace operators on a class of two-dimensional domains with cusps. Our main results include the formula for the asymptotic distribution of the eigenvalues of such operators. In particular, we show how the eigenvalue…

In this work we deal with a scalar spectral mixed boundary value problem in a spacial junction of thin rods and a plate. Constructing asymptotics of the eigenvalues, we employ two equipollent asymptotic models posed on the skeleton of the…

A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…

This paper reports on recent work to compute the asymptotic solution of a n-th order ordinary differential equation. Symbolic methods are used to compute the asymptotics over a large region. Application is made to the computation of the…