相关论文: Value Functions for Bolza Problems with Discontinu…

We study the non-autonomous variational problem: \begin{equation*} \inf_{(\phi,\theta)} \bigg\{\int_0^1 \bigg(\frac{k}{2}\phi'^2 + \frac{(\phi-\theta)^2}{2}-V(x,\theta)\bigg)\text{d}x\bigg\} \end{equation*} where $k>0$, $V$ is a bounded…

In this paper we prove local interior and boundary Lipschitz continuity of solutions of a free boundary problem involving the $A$-Laplacian. We also show that the free boundary is represented locally by graphs of a family of lower…

We establish a unique continuation property for solutions of the differential inequality $|\nabla u|\leq V|u|$, where $V$ is locally $L^n$ integrable on a domain in $\mathbb R^n$. A stronger uniqueness result is obtained if in addition the…

In this paper, we consider a class of the Caputo fractional stochastic differential equations of fractional order $\alpha \in (\frac{1}{2},1]$. Our aim is to analyze of the continuous dependence of solutions on the fractional order…

Let M be an N-function satisfying the $\Delta_2$- condition, let $\omega, \vp$ be two other functions, $\omega\ge 0$. We study Hardy-type inequalities \[ \int_{\rp} M(\omega (x)|u(x)|) {\rm exp}(-\vp (x))dx \le C\int_{\rp} M(|u'(x)|) {\rm…

Extending the notion of bounded variation, a function $u \in L_c^1(\mathbb R^n)$ is of bounded fractional variation with respect to some exponent $\alpha$ if there is a finite constant $C \geq 0$ such that the estimate \[ \biggl|\int u(x)…

We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of…

We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded…

We consider a path-dependent Hamilton--Jacobi equation with coinvariant derivatives over the space of continuous functions. We prove two uniqueness results for viscosity (generalized) solutions defined in terms of coinvariantly smooth test…

We consider the following evolutionary Hamilton-Jacobi equation with initial condition: \begin{equation*} \begin{cases} \partial_tu(x,t)+H(x,u(x,t),\partial_xu(x,t))=0,\\ u(x,0)=\phi(x), \end{cases} \end{equation*} where $\phi(x)\in…

In this paper, we study the Lagrangian functions for a class of second-order differential systems arising from physics. For such systems, we present necessary and sufficient conditions for the existence of Lagrangian functions. Based on the…

We develop an elementary method to give a Lipschitz estimate for the minimizers in the problem of Herglotz' variational principle proposed in \cite{CCWY2018} in the time-dependent case. We deduce Erdmann's condition and the Euler-Lagrange…

We examine Hamilton-Jacobi equations driven by fully nonlinear degenerate elliptic operators in the presence of superlinear Hamiltonians. By exploring the Ishii-Jensen inequality, we prove that viscosity solutions are locally…

This paper proposes a new framework to model control systems in which a dynamic friction occurs. The model consists in a controlled differential inclusion with a discontinuous right hand side, which still preserves existence and uniqueness…

We consider integral functionals with fast growth and the lagrangian explicitly depending on $u$. We prove that the local minimizers are locally Lipschitz continuous.

In this note, we establish the Lipschitz continuity of finite-dimensional globally convex functions on all given balls and global Lipschitz continuity for eligible functions of that type. The Lipschitz constants in both situations draw…

In this paper, we study the existence and uniqueness of viscosity solutions to a kind of Hamilton-Jacobi-Bellman (HJB) equations combined with algebra equations. This HJB equation is related to a stochastic optimal control problem for which…

We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-Bellman equation is fully nonlinear. Using a delicate partial…

In this paper we study the $L^p$ boundary value problems for $\mathcal{L}(u)=0$ in $\mathbb{R}^{d+1}_+$, where $\mathcal{L}=-\text{div}(A\nabla)$ is a second order elliptic operator with real and symmetric coefficients. Assume that $A$ is…

In this paper, we investigate some properties on harmonic functions and solutions to Poisson equations. First, we will discuss the Lipschitz type spaces on harmonic functions. Secondly, we establish the Schwarz-Pick lemma for harmonic…