相关论文: Homogenization and asymptotics for small transacti…
We consider homogenization problems in the framework of deterministic optimal control when the dynamics and running costs are completely different in two (or more) complementary domains of the space $\R^N$. For such optimal control…
We consider the Merton problem of optimizing expected power utility of terminal wealth in the case of an unobservable Markov-modulated drift. What makes the model special is that the agent is allowed to purchase costly expert opinions of…
This paper concerns the asymptotics of certain parabolic-elliptic chemotaxis-consumption systems with logistic growth and constant concentration of chemoattractant on the boundary. First we prove that in two dimensional bounded domains…
This thesis investigates Merton's portfolio problem under two different rough Heston models, which have a non-Markovian structure. The motivation behind this choice of problem is due to the recent discovery and success of rough volatility…
In this paper we continue our earlier investigations into the asymptotic behaviour of infinite systems of coupled differential equations. Under the mild assumption that the so-called characteristic function of our system is completely…
We study the large time behavior of Lipschitz continuous, possibly unbounded, viscosity solutions of Hamilton-Jacobi Equations in the whole space $\R^N$. The associated ergodic problem has Lipschitz continuous solutions if the analogue of…
We introduce a modification of Perron's method, where semi-solutions are considered in a carefully defined asymptotic sense. With this definition, we can show, in a rather elementary way, that in a zero-sum game or a control problem (with…
An asymptotic expansion with respect to a small parameter of the solution of the Cauchy problem is constructed for a system of three transfer equations, two of which are singularly perturbed by the degeneracy of the entire senior part of…
This article examines the accuracy for large times of asymptotic expansions from periodic homogenization of wave equations. As usual, $\epsilon$ denotes the small period of the coefficients in the wave equation. We first prove that the…
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
Motivated by recent problems in mathematical cosmology, in which temporal averaging methods are applied in order to analyze the future asymptotics of models which exhibit oscillatory behavior, we provide a theorem concerning the large-time…
This article examines a linear-quadratic elliptic optimal control problem in which the cost functional and the state equation involve a highly oscillatory periodic coefficient $A^\varepsilon$. The small parameter $\varepsilon>0$ denotes the…
We suggest a global perspective on dynamic network flow problems that takes advantage of the similarities to port-Hamiltonian dynamics. Dynamic minimum cost flow problems are formulated as open-loop optimal control problems for general…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her…
A homotopy method for multi-objective optimization that produces uniformly sampled Pareto fronts by construction is presented. While the algorithm is general, of particular interest is application to simulation-based engineering…
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex…
We develop a technique of multiple scale asymptotic expansions along mean flows and a corresponding notion of weak multiple scale convergence. These are applied to homogenize convection dominated parabolic equations with rapidly…
We derive the short-maturity asymptotics for European and VIX option prices in local-stochastic volatility models where the volatility follows a continuous-path Markov process. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics…