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In this paper a general model of a market with asset prices and economical factors of Markovian structure is considered. The problem is to find optimal portfolio strategies maximizing a discounted infinite horizon reward functional consisting of an integral term measuring the quality of the...
We consider a pointwise stabilization problem for a model arising in the control of noise. We prove that we have exponential stability for the low frequencies but not for the high frequencies. Thus, we give an explicit polynomial decay estimation at high frequencies that is valid for regular...
We investigate the regularizing properties of generalized continua of micropolar type for dynamic elasto-plasticity. To this end we propose an extension of classical infinitesimal elasto-plasticity to include consistently non-dissipative micropolar effects and we show that the dynamic model...
We make the link between two approaches to Nash equilibria for nonzero-sum stochastic differential games: the first one using backward stochastic differential equations and the second one using strategies with delay. We prove that, when both exist, the two notions of Nash equilibria coincide.
We consider degenerate parabolic and elliptic fully nonlinear Bellman equations with Lipschitz coefficients in domains. Error bounds of order h 1/2 in the sup norm for certain types of finite-difference schemes are obtained.
Optimal control of variational inequalities with the controls given by the obstacles is considered. Existence optimal solutions are proved for obstacles with H 1 regularity and first-order optimality conditions are derived which, under additional assumptions, are also sufficient. A numerical...
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