相关论文: Note on the (non-)smoothness of discrete time valu…

The objective of this work is to prove, in a first step, the existence and the uniqueness of a solution of the following multivalued deterministic differential equation: $dx(t)+\partial ^-\varphi (x(t))(dt)\ni dm(t),\ t>0$, $x(0)=x_0$,…

On a filtered probability space $(\Omega,\mathcal{F},P,\mathbb{F}=(\mathcal{F}_t)_{t=0,\dotso,T})$, we consider stopper-stopper games $\overline V:=\inf_{\Rho\in\bT^{ii}}\sup_{\tau\in\T}\E[U(\Rho(\tau),\tau)]$ and $\underline…

We consider the motion of a rigid body immersed in an incompressible perfect fluid which occupies a three-dimensional bounded domain. For such a system the Cauchy problem is well-posed locally in time if the initial velocity of the fluid is…

We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results, we show that if the semimartingale has conditionally…

It is well-known that given a bounded, smooth nonconvex function, standard gradient-based methods can find $\epsilon$-stationary points (where the gradient norm is less than $\epsilon$) in $\mathcal{O}(1/\epsilon^2)$ iterations. However,…

In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…

This paper is concerned with the problem of Model Predictive Control and Rolling Horizon Control of discrete-time systems subject to possibly unbounded random noise inputs, while satisfying hard bounds on the control inputs. We use a…

We consider a class of stochastic dynamical systems, called piecewise deterministic Markov processes, with states $(x, \s)\in \O\times \G$, $\O$ being a region in $\bbR^d$ or the $d$--dimensional torus, $\G$ being a finite set. The…

Partial differential equations with discrete (concentrated) state-dependent delays are studied. The existence and uniqueness of solutions with initial data from a wider linear space is proven first and then a subset of the space of…

In this paper, we address stochastic optimization problems involving a composition of a non-smooth outer function and a smooth inner function, a formulation frequently encountered in machine learning and operations research. To deal with…

We investigate the stability of equilibrium-induced optimal values with respect to (w.r.t.) reward functions $f$ and transition kernels $Q$ for time-inconsistent stopping problems under nonexponential discounting in discrete time. First,…

We prove a vector-valued almost sure invariance principle for some classes of time dependent non-uniformly distance expanding dynamical systems. The models we have in mind are certain sequential versions of the smooth non-uniformly distance…

Consider the time-periodic viscous incompressible fluid flow past a body with non-zero velocity at infinity. This article gives sufficient conditions such that weak solutions to this problem are smooth. Since time-periodic solutions do not…

This paper studies the problem of perturbed convex and smooth optimization. The main results describe how the solution and the value of the problem change if the objective function is perturbed. Examples include linear, quadratic, and…

We consider a Caratheodory differential equation with a state-dependent convex constraint that changes BV-continuously in time (a perturbed BV-continuous state-dependent sweeping processes). By setting up an appropriate catching-up…

This article examines the smoothness of the solution to the Navier-Stokes equation from a novel perspective. Here, the existence of the smoother solution relative to x and to the time t was shown only for a finite time. Moreover, for each…

Under the assumption of prox-regularity and the presence of a tilt stable local minimum we are able to show that a $\mathcal{VU}$ like decomposition gives rise to the existence of a smooth manifold on which the function in question…

We consider dynamic programming problems with finite, discrete-time horizons and prohibitively high-dimensional, discrete state-spaces for direct computation of the value function from the Bellman equation. For the case that the value…

A discrete function of $n$ variables is a mapping $g : X_1 \times \ldots \times X_n \rightarrow A$, where $X_1, \ldots, X_n$, and $A$ are arbitrary finite sets. Function $g$ is called {\em separable} if there exist $n$ functions $g_i : X_i…

The paper is concerned with conservative solutions to the nonlinear wave equation $u_{tt} - c(u)\big(c(u) u_x\big)_x = 0$. For an open dense set of $C^3$ initial data, we prove that the solution is piecewise smooth in the $t$-$x$ plane,…