Related papers: Two-term large-time asymptotic expansion of the va…
We consider the focusing integrable nonlocal nonlinear Schr\"odinger equation \[\mathrm{i}q_{t}(x,t)+q_{xx}(x,t)+2q^{2}(x,t)\bar{q}(-x,t)=0\] with asymmetric nonzero boundary conditions: $q(x,t)\to\pm A\mathrm{e}^{-2\mathrm{i}A^2t}$ as…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
We consider optimal stopping problems with finite-time horizon and state-dependent discounting. The underlying process is a one-dimensional linear diffusion and the gain function is time-homogeneous and difference of two convex functions.…
We introduce and analyze a new quantity, the path integral ideal, governing the flow of generic discrete theories to the continuum limit and greatly increasing their convergence. The said flow is classified according to the degree of…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomplete markets. We also study the differentiability of the…
We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural…
In this paper we prove that the Euler equation describing the motion of an ideal fluid in $\R^d$ is well-posed in a class of functions allowing spatial asymptotic expansions as $|x|\to\infty$ of any a priori given order. These asymptotic…
In this paper, we investigate system theoretic properties of transient average constrained economic model predictive control (MPC) without terminal constraints. We show that the optimal open-loop solution passes by the optimal steady-state…
We consider the classical Merton problem of lifetime consumption-portfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitly calculated through a singular ergodic…
We investigate the asymptotic behavior, as t goes to infinity, for a semilinear hyperbolic equation with asymptotically smal dissipation and convex potential. We prove that if the damping term behaves like K/t^\alpha for t large enough, k>0…
We describe a nonlinear generalization of dual dynamic programming theory and its application to value function estimation for deterministic control problems over continuous state and action spaces, in a discrete-time infinite horizon…
We propose a slowly damped inertial primal-dual dynamical system controlled by a Tikhonov regularization term, where the inertial term is introduced only for the primal variable, for the linearly constrained convex optimization problem in a…
In this article, we provide a general strategy based on Lyapunov functionals to analyse global asymptotic stability of linear infinite-dimensional systems subject to nonlinear dampings under the assumption that the origin of the system is…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
We motivate a new nonparametric test for the one-sided two-sample problem, which is based on a transform T of the Vincze-statistic (R,D). The exact and asymptotic distribution of T is derived. The fundamental idea can also be applied to the…
We propose an analysis of the time-optimal control of a dissipative two-level quantum system whose dynamics is governed by the Lindblad equation. This simple system allows one to use tools of geometric control theory and to construct its…
We consider a singularly perturbed second order elliptic system in the whole space. The coefficients of the systems fast oscillate and depend both of slow and fast variables. We obtain the homogenized operator and in the uniform norm sense…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…