Related papers: Stability of the Epstein-Zin problem
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
Turing patterns on unbounded domains have been widely studied in systems of reaction-diffusion equations. However, up to now, they have not been studied for systems of conservation laws. Here, we (i) derive conditions for Turing instability…
We consider nearly-integrable Hamiltonian systems defined over a non-resonant domain. In the neighborhood of resonances, we use Nekhoroshev-like estimates to provide effective stability bounds for the action variables over long time. The…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…
This paper focuses on the stability of solutions for a velocity-tracking problem associated with the two-dimensional Navier-Stokes equations. The considered optimal control problem does not possess any regularizer in the cost, and hence…
In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by F\"ollmer, Schied (2002). The…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization…
We study stability properties of the expected utility function in Bayesian optimal experimental design. We provide a framework for this problem in a non-parametric setting and prove a convergence rate of the expected utility with respect to…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
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…
In this work the stability of perturbed linear time-varying systems is studied. The main features of the problem are threefold. Firstly, the time-varying dynamics is not required to be continuous but allowed to have jumps. Also the system…
Concepts like `typicality' and the `eigenstate thermalization hypothesis' aim at explaining the apparent equilibration of quantum systems, possibly after a very long time. However, these concepts are not concerned with the specific way in…
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…
We discuss the stability of the anomaly-induced inflation (modified Starobinsky model) with respect to the arbitrary choice of initial data and with respect to the small perturbations of the conformal factor and tensor modes of the metric…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
In this paper, we embark on a captivating exploration of the stabilization of locally transmitted problems within the realm of two interconnected wave systems. To begin, we wield the formidable Arendt-Batty criteria\cite{AW} to affirm the…
Linear stability of inviscid, parallel, and stably stratified shear flow is studied under the assumption of smooth strictly monotonic profiles of shear flow and density, so that the local Richardson number is positive everywhere. The…