Related papers: Maximum principle for SPDEs and its applications
Logarithmic potentials and many other potentials satisfy maximum principle. The dyadic version of logarithmic potential can be easily introduced, it lives on dyadic tree and also satisfies maximum principle. But its analog on bi-tree does…
In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual…
The strong maximum principle ((SMP) in short) for subsolutions of the radiative transfer type equations is shown in this paper. We treat a general class of integro-differential equations, defined in the product space of the space variable…
A mesh condition is developed for linear finite element approximations of anisotropic diffusion-convection-reaction problems to satisfy a discrete maximum principle. Loosely speaking, the condition requires that the mesh be simplicial and…
In this paper, we prove a maximum principle for the general multi-term space-time-fractional transport equation and apply it for establishing uniqueness of solution to an initial-boundary-value problem for this equation. We also derive some…
This paper analyzes general spatially-coupled (SC) systems with multi-dimensional coupling. A continuum approximation is used to derive potential functions that characterize the performance of the SC systems. For any dimension of coupling,…
This paper extends deterministic notions of Strong Stability Preservation (SSP) to the stochastic setting, enabling nonlinearly stable numerical solutions to stochastic differential equations (SDEs) and stochastic partial differential…
Complex solutions to squared Bessel SDEs appear naturally in relation to Schramm-Loewner evolutions. We prove a large deviation principle for such solutions as the dimension parameter tends to $-\infty$.
We give a necessary and sufficient condition for the maximum principle of Schr\"{o}dinger operators in terms of the bottom of the spectrum of time-changed processes. As a corollary, we obtain a sufficient condition for the Liouville…
In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…
In this paper, we study a delayed forward-backward stochastic control system in which all the coefficients depend on the state and control terms, and the control domain is not necessarily convex. A global stochastic maximum principle is…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
We consider the utility maximization problem under convex constraints with regard to theoretical results which allow the formulation of algorithmic solvers which make use of deep learning techniques. In particular for the case of random…
In this note, we establish a boundary maximum principle for a class of stationary pairs of varifolds satisfying a fixed contact angle condition in any compact Riemannian manifold with smooth boundary.
We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator…
In this paper, we prove a maximum principle for the $p$-Laplacian with a sign-changing weight. As an application of this maximum principle, we study the existence of one-sign solutions for a class of quasilinear elliptic problems.
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
In this note we give three counter-examples which show that the Maximum Principle generally fails for classical solutions of a system and a single equation related to the $\infty$-Laplacian. The first is the tangential part of the…
Our paper is devoted to the study of Peng's stochastic maximum principle (SMP) for a stochastic control problem composed of a controlled forward stochastic differential equation (SDE) as dynamics and a controlled backward SDE which defines…
Let X be a nonempty convex compact subset of some Haus-dorff locally convex topological vector space S. The well know Bauer's maximum principle stats that every convex upper semi-continuous function from X into R attains its maximum at some…