相关论文: Homogenization and asymptotics for small transacti…
Asymptotic homogenisation is used to systematically derive reduced-order macroscopic models of conductive behaviour in spirally-wound layered materials in which the layers have very different conductivities. The problem is motivated by the…
In this paper, we study the topological asymptotic expansion of a topology optimisation problem that is constrained by the Poisson equation with the design/shape variable entering through the right hand side. Using an averaged adjoint…
This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify them in the small-cost limit. This allows…
As a starting point of our research, we show that, for a fixed order $\gamma\geq 1$, each local minimizer of a rather general nonsmooth optimization problem in Euclidean spaces is either M-stationary in the classical sense (corresponding to…
Homogenization of a spectral problem in a bounded domain with a high contrast in both stiffness and density is considered. For a special critical scaling, two-scale asymptotic expansions for eigenvalues and eigenfunctions are constructed.…
Dynamic capacity allocation control for resource sharing networks (RSN) is studied when the networks are in heavy traffic. The goal is to minimize an ergodic cost with a linear holding cost function. Our main result shows that the optimal…
Given an optimal control problem on a heterogeneous body with a periodical structure of particles depending on a small parameter e, we study the asymptotic behavior, as e converges to zero, of the optimal control functional and the optimal…
For a family of elliptic operators with periodically oscillating coefficients, $-\text{div}( A(\cdot/\varepsilon) \nabla) $ with tiny $\varepsilon>0$, we comprehensively study the first-order expansions of eigenvalues and eigenfunctions…
Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…
The main topic of this present thesis is the study of the asymptotic behaviour of sequences modulo 1. In particular, by using ergodic and dynamical methods, a new insight to problems concerning the asymptotic behaviour of multidimensional…
The asymptotic expansion method is generalized from the periodic setting to stationary ergodic stochastic geometries. This will demonstrate that results from periodic asymptotic expansion also apply to non-periodic structures of a certain…
We provide simple necessary and sufficient conditions under which a path constitutes a solution to an infinite-horizon, continuous-time optimal control problem. We prove transversality conditions under standard assumptions. We also present…
Infinite horizon open loop optimal control problems for semilinear parabolic equations are investigated. The controls are subject to a cost-functional which promotes sparsity in time. The focus is put on deriving first order optimality…
In this article we consider the Merton problem in a market with a single risky asset and transaction costs. We give a complete solution of the problem up to the solution of a free-boundary problem for a first-order differential equation,…
We study a family of optimal control problems in which one aims at minimizing a cost that mixes a quadratic control penalization and the variance of the system, both for finitely many agents and for the mean-field dynamics as their number…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
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…
In an optimal control strategy, an important point is to define the cost of the control. Usually it is added to the control criterion and multiplied by a small coefficient denoted by $\varepsilon$ which is known as the marginal cost of the…
Asymptotic expansion is constructed and justified for the solution to a nonuniform Neumann boundary-value problem for the Poisson equation with the right-hand side that depends both on longitudinal and transversal variables in a thin…
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of…