Related papers: A viscosity solution as a piecewise classical solu…
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
Strategy improvement is a widely-used and well-studied class of algorithms for solving graph-based infinite games. These algorithms are parameterized by a switching rule, and one of the most natural rules is "all switches" which switches as…
We design a variational quantum algorithm to solve multi-dimensional Poisson equations with mixed boundary conditions that are typically required in various fields of computational science. Employing an objective function that is formulated…
In this paper we study one dimensional parabolic free boundary value problem with a nonlocal (integro-differential) condition on the free boundary. We establish global existence-uniqueness of classical solutions assuming that the…
In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal multiple switching problems in infinite horizon. We provide the…
We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
We consider viscosity solution to one-phase free boundary problems for general fully nonlinear operators and free boundary condition depending on the normal vector. We show existence of viscosity solutions via the Perron's method and we…
In this article, we consider non-smooth time-dependent domains and single-valued, smoothly varying directions of reflection at the boundary. In this setting, we first prove existence and uniqueness of strong solutions to stochastic…
We provide regularity results at the boundary for continuous viscosity solutions to nonconvex fully nonlinear uniformly elliptic equations and inequalities in Euclidian domains. We show that (i) any solution of two sided inequalities with…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
We consider an initial value problem for a Hamilton--Jacobi equation with a quadratic and degenerate Hamiltonian. Our Hamiltonian comes from the dynamics of $N$-peakon in the Camassa--Holm equation. It is given by a quadratic form with a…
The purpose of this paper is to study the existence of (weak) periodic solutions for nonlocal fractional equations with periodic boundary conditions. These equations have a variational structure and, by applying a critical point result…
We discuss a class of time-dependent Hamilton-Jacobi equations, where an unknown function of time is intended to keep the maximum of the solution to the constant value 0. Our main result is that the full problem has a unique viscosity…
In this paper, we prove the pointwise boundary differentiability for viscosity solutions of fully nonlinear elliptic equations. This generalizes the previous related results for linear equations. The geometrical conditions in this paper are…
Some approach to the solution of boundary value problems for finding functions, which are analytical in a wedge, is proposed. If the ratio of the angle at the wedge vertex to a number \pi is rational, then the boundary value problem is…
This work provides a comparison principle for viscosity solutions to boundary value problems on (partially) bounded, cylindrical spaces. The comparison principle is based on a test function framework, that allows for the simultaneous…
Consider the optimal stopping problem of a one-dimensional diffusion with positive discount. Based on Dynkin's characterization of the value as the minimal excessive majorant of the reward and considering its Riesz representation, we give…
We study a fractional diffusion problem in the divergence form in one space dimension. We define a notion of the viscosity solution. We prove existence of viscosity solutions to the fractional diffusion problem with the Dirichlet boundary…