Related papers: Stability of Time-inconsistent Stopping for One-di…
This work is devoted to almost sure and moment exponential stability of regime-switching jump diffusions. The Lyapunov function method is used to derive sufficient conditions for stabilities for general nonlinear systems; which further…
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,…
Prolongating our previous paper on the Einstein relation, we study the motion of a particle diffusing in a random reversible environment when subject to a small external forcing. In order to describe the long time behavior of the particle,…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such nonlinear systems, we focus on stability issues. First…
Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…
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…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theory for Levy processes. Since general diffusions are, in…
Difference schemes for the time-fractional diffusion equation with variable coefficients and nonlocal boundary conditions containing real parameters $\alpha$ and $\beta$ are considered. By the method of energy inequalities, for the solution…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
This paper considers the equilibrium-free stability and performance analysis of discrete-time nonlinear systems. We consider two types of equilibrium-free notions. Namely, the universal shifted concept, which considers stability and…
A mathematical model describing the initial stage of the capture into the parametric autoresonance in nonlinear oscillating systems with a dissipation is considered. Solutions with unboundedly growing energy in time at infinity are…
A parametric constrained convex optimal control problem, where the initial state is perturbed and the linear state equation contains a noise, is considered in this paper. Formulas for computing the subdifferential and the singular…
Ill posed linear and nonlinear initial value problems may be stabilized, that it converted to to well posed initial value problems, by the addition of purely nonscalar linear dispersive terms. This is a stability analog of the Turing…
The linearization principle states that the stability (or instability) of solutions to a suitable linearization of a nonlinear problem implies the stability (or instability) of solutions to the original nonlinear problem. In this work, we…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…
We prove a stability result of constant equilibria for the three-dimensional Navier-Stokes-Poisson system uniform in the inviscid limit. We allow the initial density to be close to a constant and the potential part of the initial velocity…
The properties of value functions of time inhomogeneous optimal stopping problem and zero-sum game (Dynkin game) are studied through time dependent Dirichlet form. Under the absolute continuity condition on the transition function of the…
In the context of driven diffusive systems, for thermodynamic transformations over a large but finite time window, we derive an expansion of the energy balance. In particular, we characterize the transformations which minimize the energy…