相关论文: Homogenization and asymptotics for small transacti…
We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
In ergodic stochastic problems the limit of the value function $V_\lambda$ of the associated discounted cost functional with infinite time horizon is studied, when the discounted factor $\lambda$ tends to zero. These problems have been well…
We derive high-order terms in the asymptotic expansions of the steady-state voltage potentials in the presence of a finite number of diametrically small inhomogeneities with conductivities different from the background conductivity. Our…
We consider the Helmholtz equation in an angular sector partially covered by a homogeneous layer of small thickness, denoted $\varepsilon$. We propose in this work an asymptotic expansion of the solution with respect to $\varepsilon$ at any…
A classical problem in ergodic continuous time control consists of studying the limit behavior of the optimal value of a discounted cost functional with infinite horizon as the discount factor $\lambda$ tends to zero. In the literature,…
We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrained control problems we mean that controlling is allowed only…
We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon. By duality methods, we can find expressions for the…
In this paper, asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the convergence of the model when the fixed costs tend to zero is…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
We establish the validity of asymptotic limits for the general transportation problem between random i.i.d. points and their common distribution, with respect to the squared Euclidean distance cost, in any dimension larger than three.…
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple…
This paper is concerned with the homogenization of the Dirichlet eigenvalue problem, posed in a bounded domain $\Omega\subset\mathbb R^2$, for a vectorial elliptic operator $-\nabla\cdot A^\epsilon(\cdot)\nabla$ with $\epsilon$-periodic…
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…
In this paper, we consider the problem of hedging Asian options in financial markets with transaction costs. For this, we use the asymptotic hedging approach. The main task of asymptotic hedging in financial markets with transaction costs…
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…
Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is…
The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman…
The first-order optimality conditions for a generic nonlinear optimization problem are generated as part of the terminal transversality conditions of an optimal control problem. It is shown that the Lagrangian of the optimization problem is…