Optimal multiple stopping time problem

We study the optimal multiple stopping time problem defined for each stopping time $S$ by $v(S)=\operatorname {ess}\sup_{\tau_1,...,\tau_d\geq S}E[\psi(\tau_1,...,\tau_d)|\mathcal{F}_S]$. The key point is the construction of a new reward $\phi$ such that the value function $v(S)$ also satisfies $v(S)=\operatorname {ess}\sup_{\theta\geq S}E[\phi(\theta)|\mathcal{F}_S]$. This new reward $\phi$ is not a right-continuous adapted process as in the classical case, but a family of random variables. For such a reward, we prove a new existence result for optimal stopping times under weaker assumptions than in the classical case. This result is used to prove the existence of optimal multiple stopping times for $v(S)$ by a constructive method. Moreover, under strong regularity assumptions on $\psi$, we show that the new reward $\phi$ can be aggregated by a progressive process. This leads to new applications, particularly in finance (applications to American options with multiple exercise times).Comment: Published in at http://dx.doi.org/10.1214/10-AAP727 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Minimal surfaces - variational theory and applications

Minimal surfaces are among the most natural objects in Differential Geometry, and have been studied for the past 250 years ever since the pioneering work of Lagrange. The subject is characterized by a profound beauty, but perhaps even more remarkably, minimal surfaces (or minimal submanifolds) have encountered striking applications in other fields, like three-dimensional topology, mathematical physics, conformal geometry, among others. Even though it has been the subject of intense activity, many basic open problems still remain. In this lecture we will survey recent advances in this area and discuss some future directions. We will give special emphasis to the variational aspects of the theory as well as to the applications to other fields.Comment: Proceedings of the ICM, Seoul 201

Geometric conditions for regularity in a time-minimum problem with constant dynamics

Continuing the earlier research on local well-posedness of a time-minimum problem associated to a closed target set C in a Hilbert space H and a convex constant dynamics F we study the Lipschitz (or, in general, Hölder) regularity of the (unique) point in C achieved from x for a minimal time. As a consequence, smoothness of the value function is proved, and an explicit formula for its derivative is given