Related papers: Equilibria of Time-inconsistent Stopping for One-d…
The late-time distribution function P(x,t) of a particle diffusing in a one-dimensional logarithmic potential is calculated for arbitrary initial conditions. We find a scaling solution with three surprising features: (i) the solution is…
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a…
The large-time asymptotics of weak solutions to Maxwell--Stefan diffusion systems for chemically reacting fluids with different molar masses and reversible reactions are investigated. The diffusion matrix of the system is generally neither…
We study the one-dimensional diffusion process which takes place between two reflecting boundaries and which is acted upon by a time-dependent and spatially-constant force. The assumed force possesses both the harmonically oscillating and…
In this paper, we study closed-loop strong equilibrium strategies for the time-inconsistent control problem with higher-order moments formulated by [Wang et al. SIAM J. Control. Optim., 63 (2025), 1560--1589]. Since time-inconsistency makes…
We deal with a system of two coupled differential equations, describing the evolution of a first order phase transition. In particular, we have two non-linear parabolic equations: the first one is deduced from a balance law for entropy and…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
A two-dimensional system of differential equations with delay modelling the glucose-insulin interaction processes in the human body is considered. Sufficient conditions are derived for the unique positive equilibrium in the system to be…
Equilibrium quantum systems are often described by a gas of weakly-interacting normal modes. Bringing such systems far from equilibrium, however, can drastically enhance mode-to-mode interactions. Understanding the resulting liquid is a…
We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonanticipating stopping times that take values in [0,\infty],…
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an…
In this paper we prove the existence of weak solutions for a thermodynamically consistent phase-field model introduced in [26] in two and three dimensions of space. We use a notion of solution inspired by [18], where the pointwise internal…
In this paper we provide detailed information about the instability of equilibrium solutions of a nonlinear family of localized reaction-difussion equations in dimensione one. Beyond we provide explicit formulas to the equilibrium…
In this research note we provide a variational basis for the optimal artificial diffusion method, which has been a cornerstone in developing many stabilized methods. The optimal artificial diffusion method produces exact nodal solutions…
This is an expository paper on Lyapunov stability of equilibria of autonomous Hamiltonian systems. Our aim is to clarify the concept of weak instability, namely instability without non-constant motions which have the equilibrium as limit…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…