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This paper associates a dual problem to the minimization of an arbitrary linear perturbation of the robust sum function introduced in DOI 10.1007/s11228-019-00515-2. It provides an existence theorem for primal optimal solutions and, under…
We derive closed-form solutions to the optimal stopping problems related to the pricing of perpetual American standard and lookback put and call options in the extensions of the Black-Merton-Scholes model with progressively enlarged…
We consider a stabilized finite element method based on a spacetime formulation, where the equations are solved on a global (unstructured) spacetime mesh. A unique continuation problem for the wave equation is considered, where data is…
We consider the primal and dual forms of the optimality conditions for PDE-contrained optimization problems arising in Data-Driven Computational Mechanics when specialized to the reaction-diffusion context. Starting with the continuous…
We consider the stochastic Landau-Lifshitz-Gilbert equation in dimension 1. A control process is added to the effective field. We show the existence of a weak martingale solution for the resulting controlled equation. The proof uses the…
We introduce a framework for approximate dynamic programming that we apply to discrete time chains on $\mathbb{Z}_+^d$ with countable action sets. Our approach is grounded in the approximation of the (controlled) chain's generator by that…
We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion process. General existence and uniqueness theorem is illustrated by the Vasicek and so-called invariant interval…
A brief review of the Stefan problem of solidification from a mixture, and its main numerical solution methods is given. Simulation of this problem in 2D or 3D is most practically done on a regular grid, where a sharp solid-liquid interface…
We study global existence of solutions to the Cauchy problem for the wave equation with time-dependent damping and a power nonlinearity in the overdamping case. We prove the global well-posedness for small data in the energy space for the…
We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic…
We investigate a system of Brownian particles weakly bound by attractive parity-symmetric potentials that grow at large distances as $V(x) \sim |x|^\alpha$, with $0 < \alpha < 1$. The probability density function $P(x,t)$ at long times…
We show the existence and multiplicity of concentrating solutions to a pure Neumann slightly supercritical problem in a ball. This is the first existence result for this kind of problems in the supercritical regime. Since the solutions must…
We consider the problem of recovering the initial condition in the one-dimensional one-phase Stefan problem for the heat equation from the knowledge of the position of the melting point. We first recall some properties of the free boundary…
A system of partial differential equations representing stochastic neural fields was recently proposed with the aim of modelling the activity of noisy grid cells when a mammal travels through physical space. The system was rigorously…
In this work we present two particular cases of the general duality result for linear optimisation problems over signed measures with infinitely many constraints in the form of integrals of functions with respect to the decision variables…
We establish existence of positive non-decreasing radial solutions for a nonlocal nonlinear Neumann problem both in the ball and in the annulus. The nonlinearity that we consider is rather general, allowing for supercritical growth (in the…
We consider a stable unique continuation problem for the wave equation where the initial data is lacking and the solution is reconstructed using measurements in some subset of the bulk domain. Typically fairly sophisticated space-time…
We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal stopping problem with expectation constraints (OSEC) in an…
We deal with an infinite horizon, infinite dimensional stochastic optimal control problem arising in the study of economic growth in time-space. Such problem has been the object of various papers in deterministic cases when the possible…
We prove existence of global-in-time weak solutions of the incompressible Navier-Stokes equations in the half-space $\mathbb{R}^3_+$ with initial data in a weighted space that allow non-uniformly locally square integrable functions that…