相关论文: Bellman partial differential equation and the hill…

High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…

Bell-type inequalities and violations thereof reveal the fundamental differences between standard probability theory and its quantum counterpart. In the course of previous investigations ultimate bounds on quantum mechanical violations have…

Second-order partial differential equations in non-divergence form are considered. Equations of this kind typically arise as subproblems for the solution of Hamilton-Jacobi-Bellman equations in the context of stochastic optimal control, or…

There are two useful ways to extend nonlinear partial differential inequalities of second order: one uses viscosity theory and the other uses the theory of distributions. This paper considers the convex situation where both extensions can…

We prove the existence and uniqueness of weak solution of a Neumann boundary problem for an elliptic partial differential equation (PDE for short) with a singular divergence term which can only be understood in a weak sense. A probabilistic…

In a Markovian framework, we consider the problem of finding the minimal initial value of a controlled process allowing to reach a stochastic target with a given level of expected loss. This question arises typically in approximate hedging…

In this paper we study the so-called large solutions of elliptic semilinear equations with non null sources term, thus solutions blowing up on the boundary of the domain for which reason they are greater than any other solution whenever…

We deal with a class of semilinear parabolic PDEs on the space of continuous functions that arise, for example, as Kolmogorov equations associated to the infinite-dimensional lifting of path-dependent SDEs. We investigate existence of…

In this note we study the convergence of monotone P1 finite element methods on unstructured meshes for fully non-linear Hamilton-Jacobi-Bellman equations arising from stochastic optimal control problems with possibly degenerate, isotropic…

The theory of complete generalized Jordan sets is employed to reduce the PDE with the irreversible linear operator $B$ of finite index to the regular problems. It is demonstrated how the question of the choice of boundary conditions is…

Characterizing the set of all Bell inequalities is a notably hard task. An insightful method of solving it in case of Bell correlation inequalities for scenarios with two dichotomic measurements per site - for arbitrary number of parties -…

Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineering. In particular, parabolic PDEs and BSDEs are fundamental…

In this paper, we introduce a type of path-dependent quasilinear (parabolic) partial differential equations in which the (continuous) paths on an interval [0,t] becomes the basic variables in the place of classical variables (t,x). This new…

This paper surveys some recent results on existence, uniqueness and removable singularities for fully nonlinear differential equations on manifolds. The discussion also treats restriction theorems and the strong Bellman principle.

We consider the problem of numerically approximating the solutions to a partial differential equation (PDE) when there is insufficient information to determine a unique solution. Our main example is the Poisson boundary value problem, when…

We establish some linear and nonlinear integral inequalities of Gronwall-Bellman-Bihari type for functions with two independent variables on general time scales. The results are illustrated with examples, obtained by fixing the time scales…

In this paper we obtain quite general and definitive forms for Hardy-Littlewood type inequalities. Moreover, when restricted to the original particular cases, our approach provides much simpler and straightforward proofs and we are able to…

We prove an existence and uniqueness result for Neumann boundary problem of a parabolic partial differential equation (PDE for short) with a singular nonlinear divergence term which can only be understood in a weak sense. A probabilistic…

We develop an optimal regularity theory for $L^p$-viscosity solutions of fully nonlinear uniformly elliptic equations in nondivergence form whose gradient growth is described through a Hamiltonian function with measurable and possibly…

This paper deals with the famous isoperimetric inequality. In a first part, we give some new functional form of the isoperimetric inequality, and in a second part, we give a quantitative form with a remainder term involving Wasserstein…