We study properties of solutions to fully nonlinear versions of the standard Black– Scholes partial differential equation. These equations have been introduced in financial mat...
In this paper optimal control problems governed by the wave equation with control constraints are analyzed. Three types of control action are considered: distributed control, Neuma...
Given a nominal plant, together with a fixed neighborhood of this plant, the problem of robust stabilization is to find a controller that stabilizes all plants in that neighborh...
One shows that the Navier-Stokes equation in O⊂Rd, d = 2, 3, around an unstable equilibrium solution is exponentially stabilizable in probability by an internal noise controller...
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal...