相关论文: Hopf-Lax formula for variational problems with non…
This paper is concerned with the directional derivative of the value function for a very general set-constrained optimization problem under perturbation. Under reasonable assumptions, we obtain upper and lower estimates for the upper and…
We establish a sequential Hopf's Lemma for higher order differential inequalities in one variable and give some applications of this result.
Fractional action-like variational problems have recently gained importance in studying dynamics of nonconservative systems. In this note we address multi-dimensional fractional action-like problems of the calculus of variations.
We develop a convergent variational perturbation theory for the frequency of time-periodic solutions of nonlinear dynamical systems. The power of the theory is illustrated by applying it to the Duffing oscillator.
In this paper we present a Hamiltonian formulation of multisymplectic type of an invariant variational problem on smooth submanifold of dimension $p$ in a smooth manifold of dimension $n$ with $p<n$.
We derive monotonicity formulae for solutions of the fractional H\'{e}non-Lane-Emden equation \begin{equation*} (-\Delta)^{s} u=|x|^a |u|^{p-1} u \ \ \ \text{in } \ \ \mathbb{R}^n, \end{equation*} when $0<s<2$, $a>0$ and $p>1$. Then, we…
In this short article, we state a Hopf type lemma for fractional equations and the outline of its proof. We believe that it will become a powerful tool in applying the method of moving planes on fractional equations to obtain qualitative…
We extend the work on optimal investment and consumption of a population considered in [2] to a general stochastic setting over a finite time horizon. We incorporate the Cobb-Douglas production function in the capital dynamics while the…
We consider a scheme of Semi-Lagrangian (SL) type for the numerical solution of Hamilton-Jacobi (HJ) equation on unstructured triangular grids. As it is well known, SL schemes are not well suited for unstructured grids, due to the cost of…
We establish differentiability properties of the value function of problems of Static Optimization in an abstract infinite dimensional setting and we apply that to problems of Calculus of Variations. We lighten the assumptions of existing…
This article is concerned with the numerical solution of convex variational problems. More precisely, we develop an iterative minimisation technique which allows for the successive enrichment of an underlying discrete approximation space in…
This paper presents closed-form analytical formulas for pricing volatility and variance derivatives with nonlinear payoffs under discrete-time observations. The analysis is based on a probabilistic approach assuming that the underlying…
We aim to solve a structured convex optimization problem, where a nonsmooth function is composed with a linear operator. When opting for full splitting schemes, usually, primal-dual type methods are employed as they are effective and also…
This article studies the problem of estimating the state variable of non-smooth subdifferential dynamics constrained in a bounded convex domain given some real-time observation. On the one hand, we show that the value function of the…
The goal of this paper is to review several qualitative properties of well-known eigenvalue problems using a different perspective based on the theory of effective Hamiltonians, working exclusively on the Hopf-Cole transform of the…
Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more…
In this paper, we study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…
In this article, we introduce a new class of coupled fractional Lane-Emden boundary value problems. We employ a novel approach, the fractional Haar wavelet collocation method with the Newton-Raphson method. We analyze the conditions in two…
We consider the differentiation of the value function for parametric optimization problems. Such problems are ubiquitous in Machine Learning applications such as structured support vector machines, matrix factorization and min-min or…
We consider a large family of integro-differential equations and establish a non-local counterpart of Hopf's lemma, directly expressed in terms of the symbol of the operator. As closely related problems, we also obtain a variety of maximum…