Stochastic Control of jump diffusions
B Øksendal, A Sulem - Applied Stochastic Control of Jump Diffusions, 2019 - Springer
Fix a domain\mathcal S ⊂ R^ k (our solvency region) and let Y (t)= Y^(u)(t) be a stochastic
process of the form d Y (t) &= b (Y (t), u (t)) d t+ σ (Y (t), u (t)) d B (t)\nonumber\&\quad+ ∫ …
process of the form d Y (t) &= b (Y (t), u (t)) d t+ σ (Y (t), u (t)) d B (t)\nonumber\&\quad+ ∫ …
Notes on Perelman's papers
B Kleiner, J Lott - Geometry & Topology, 2008 - projecteuclid.org
These are notes on Perelman's papers “The Entropy Formula for the Ricci Flow and its
Geometric Applications”[46] and “Ricci Flow with Surgery on Three-Manifolds'[47]. In these …
Geometric Applications”[46] and “Ricci Flow with Surgery on Three-Manifolds'[47]. In these …
[图书][B] Hamilton–Jacobi equations: theory and applications
HV Tran - 2021 - books.google.com
This book gives an extensive survey of many important topics in the theory of Hamilton–
Jacobi equations with particular emphasis on modern approaches and viewpoints. Firstly …
Jacobi equations with particular emphasis on modern approaches and viewpoints. Firstly …
Second order mean field games with degenerate diffusion and local coupling
P Cardaliaguet, PJ Graber, A Porretta… - … Differential Equations and …, 2015 - Springer
We analyze a (possibly degenerate) second order mean field games system of partial
differential equations. The distinguishing features of the model considered are (1) that it is …
differential equations. The distinguishing features of the model considered are (1) that it is …
A visit with the∞-Laplace equation
MG Crandall - Calculus of variations and nonlinear partial differential …, 2008 - Springer
A visit with the∞-Laplace equation Page 86 A Visit with the ∞ -Laplace Equation Michael G.
Crandall ∗ Department of Mathematics, University of California, Santa Barbara, Santa Barbara …
Crandall ∗ Department of Mathematics, University of California, Santa Barbara, Santa Barbara …
A Hamilton-Jacobi approach to junction problems and application to traffic flows∗
This paper is concerned with the study of a model case of first order Hamilton-Jacobi
equations posed on a “junction”, that is to say the union of a finite number of half-lines with a …
equations posed on a “junction”, that is to say the union of a finite number of half-lines with a …
Error bounds for monotone approximation schemes for Hamilton--Jacobi--Bellman equations
G Barles, ER Jakobsen - SIAM journal on numerical analysis, 2005 - SIAM
We obtain error bounds for monotone approximation schemes of Hamilton--Jacobi--Bellman
equations. These bounds improve previous results of Krylov and the authors. The key step in …
equations. These bounds improve previous results of Krylov and the authors. The key step in …
Monotone iterations of two obstacle problems with different operators
I Gonzálvez, A Miranda, JD Rossi - Journal of Elliptic and Parabolic …, 2024 - Springer
In this paper we analyze iterations of the obstacle problem for two different operators. We
solve iteratively the obstacle problem from above or below for two different differential …
solve iteratively the obstacle problem from above or below for two different differential …
Numerical analysis of strongly nonlinear PDEs
We review the construction and analysis of numerical methods for strongly nonlinear PDEs,
with an emphasis on convex and non-convex fully nonlinear equations and the convergence …
with an emphasis on convex and non-convex fully nonlinear equations and the convergence …
Well-posedness of Hamilton–Jacobi equations with Caputo's time fractional derivative
ABSTRACT A Hamilton–Jacobi equation with Caputo's time fractional derivative of order
less than one is considered. The notion of a viscosity solution is introduced to prove unique …
less than one is considered. The notion of a viscosity solution is introduced to prove unique …