Related papers: A non-invariance result for the spatial AK model
This paper investigates a class of controlled stochastic partial differential equations (SPDEs) arising in the modeling of composite materials with spatially varying properties. The state equation describes the evolution of a material…
The diffusion equation is extended by including spatial-temporal memory in such a manner that the conservation of the concentration is maintained. The additional memory term gives rise to the formation of non-trivial stationary solutions.…
We investigate two simplified non-singular cyclic models with a negative time-varying cosmological constant to represent the non-conventional mechanism of negative cosmological constant expected to address the late-time cosmic acceleration.…
We consider a stochastic individual-based model for the evolution of a haploid, asexually reproducing population. The space of possible traits is given by the vertices of a (possibly directed) finite graph $G=(V,E)$. The evolution of the…
The main purpose of this paper is to give a solution to a long-standing unsolved problem in stochastic control theory, i.e., to establish the Pontryagin-type maximum principle for optimal controls of general infinite dimensional nonlinear…
In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
In this paper, we consider a non-autonomous nonlinear evolution equation in separable, reflexive Banach spaces. First, we consider a linear problem and establish the approximate controllability results by finding a feedback control with the…
We consider an optimal control problem for an abstract nonlinear dissipative evolution equation. The differential constraint is penalized by augmenting the target functional by a nonnegative global-in-time functional which is null-minimized…
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward…
This paper addresses a large class of vector optimization problems in infinite-dimensional spaces with respect to two important binary relations derived from domination structures. Motivated by theoretical challenges as well as by…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
The anomalous dynamical evolution and the crossing of nonadiabatic energy levels are investigated for exactly solvable time-dependent quantum systems through a reverse-engineering scheme. By exploiting a typical driven model, we elucidate…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…
Natural selection favors the more successful individuals. This is the elementary premise that pervades common models of evolution. Under extreme conditions, however, the process may no longer be probabilistic. Those that meet certain…
This paper consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modeled as additional food provided prey-predator system with Holling Type-III functional…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…