相关论文: The Deterministic and Stochastic Shallow Lake Prob…
In this paper we analyze the optimal value function $v$ associated to a general parametric optimization problems via the theory of viscosity solutions. The novelty is that we obtain regularity properties of $v$ by showing that it is a…
An optimal control problem in the space of probability measures, and the viscosity solutions of the corresponding dynamic programming equations defined using the intrinsic linear derivative are studied. The value function is shown to be…
We prove optimality principles for semicontinuous bounded viscosity solutions of Hamilton-Jacobi-Bellman equations. In particular we provide a representation formula for viscosity supersolutions as value functions of suitable obstacle…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
We establish pathwise continuity properties of solutions to a stochastic Volterra equation with an additive noise term given by a local martingale. The deterministic part is governed by an operator with an $H^\infty$-calculus and a scalar…
We continue the development of the theory of pathwise stochastic entropy solutions for scalar conservation laws in $\R^N$ with quasilinear multiplicative ''rough path'' dependence by considering inhomogeneous fluxes and a single rough path…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
We study the asymptotic behavior of solutions for the semilinear damped wave equation with variable coefficients. We prove that if the damping is effective, and the nonlinearity and other lower order terms can be regarded as perturbations,…
We study fair multi-objective reinforcement learning in which an agent must learn a policy that simultaneously achieves high reward on multiple dimensions of a vector-valued reward. Motivated by the fair resource allocation literature, we…
We perform a systematic study of optimization problems in the Wasserstein spaces that are analogs of infinite horizon, deterministic control problems. We derive necessary conditions on action minimizing paths and present a sufficient…
The aim of this paper is to answer the question: Do the controls of a vanishing viscosity approximation of the one dimensional linear wave equation converge to a control of the conservative limit equation? Our viscous term contains the…
In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
In a previous work on the large $|k|$ behavior of complex geometric optics solutions to a system of d-bar equations, we treated in detail the situation when a certain potential is the characteristic function of a strictly convex set with…
In this paper, we study a free boundary problem for compressible spherically symmetric Navier-Stokes equations without a solid core. Under certain assumptions imposed on the initial data, we obtain the global existence and uniqueness of the…
We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications in classical models. As long as characteristic function…
We consider controlled stochastic differential equations (SDEs) with measurable coefficients, a uniformly elliptic diffusion coefficient and an $L_d$-drift. No space-regularity will be assumed for the coefficients. In this framework we…
We establish a comparison principle for viscosity solutions of a class of nonlinear partial differential equations posed on the space of nonnegative finite measures, thereby extending recent results for PDEs defined on the Wasserstein space…
In this paper, we discuss the asymptotic behaviour of weak solutions to the Cauchy problem toward the viscous shock waves for the scalar viscous conservation law. We firstly consider the case that the flux function is the quadratic Burgers…
Based on the observation that many existing discrete choice models admit a welfare function of utilities whose gradient gives the choice probability vector, we propose a new representation of discrete choice model which we call the…