Related papers: Viscosity Solutions for McKean-Vlasov Control on a…
We consider Hamilton--Jacobi equations, where the Hamiltonian depends discontinuously on both the spatial and temporal location. Our main results are the existence and well--posedness of a viscosity solution to the Cauchy problem. We define…
We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the unique viscosity solution to the associated…
In this paper, we study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…
We establish an algebraic rate of convergence in the large number of players limit of the value functions of N-particle stochastic control problems towards the value function of the corresponding McKean-Vlasov problem also known as mean…
We prove optimality principles for semicontinuous bounded viscosity solutions of Hamilton-Jacobi-Bellman equations. In particular we provide a representation formula for viscosity supersolutions as value functions of suitable obstacle…
We provide a representation formula for viscosity solutions to an elliptic Dirichlet problem involving Pucci's extremal operators. This is done through a dynamic programming principle derived from Denis, Hu and Peng (2010). The formula can…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
Using a recently introduced representation of the second order adjoint state as the solution of a function-valued backward stochastic partial differential equation (SPDE), we calculate the viscosity super- and subdifferential of the value…
We study optimal control problems for interacting branching diffusion processes, a class of measure-valued dynamics capturing both spatial motion and branching mechanisms. From the perspective of the dynamic programming principle, we…
We introduce a probabilistic version of the classical Perron's method to construct viscosity solutions to linear parabolic equations associated to stochastic differential equations. Using this method, we construct easily two viscosity (sub…
The value function associated with an optimal control problem subject to the Navier-Stokes equations in dimension two is analyzed. Its smoothness is established around a steady state, moreover, its derivatives are shown to satisfy a Riccati…
In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional It\^o calculus, we build the dynamic programming principle…
This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. After studying continuity properties of the…
We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using…
In [Commun Math Phys 348(1), 129-143, 2016], Cheskidov et al. proved that physically realizable weak solutions of the incompressible 2D Euler equations on a torus conserve kinetic energy. Physically realizable weak solutions are those that…
Functional integral representations for solutions of the motion equations for wall-bounded incompressible viscous flows, expressed (implicitly) in terms of distributions of solutions to stochastic differential equations of McKean-Vlasov…
This work is devoted to the studies of a Hamilton--Jacobi equation with a quadratic and degenerate Hamiltonian, which comes from the dynamics of a multipeakon in the Camassa--Holm equation. It is given by a quadratic form with a singular…
This paper is devoted to the stochastic optimal control problem of ordinary differential equations allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases, the value function turns…
This paper studies the differentiability of the value function of switched linear systems under arbitrary switching and controlled switching, referred to as worst-case and optimal value functions respectively. First, we show that the value…
We study the convergence problem for mean field control, also known as optimal control of McKean-Vlasov dynamics. We assume that the data is smooth but not convex, and thus the limiting value function $\mathcal{U} :[0,T] \times…