969 research outputs found
Optimal Multi-Modes Switching Problem in Infinite Horizon
This paper studies the problem of the deterministic version of the
Verification Theorem for the optimal m-states switching in infinite horizon
under Markovian framework with arbitrary switching cost functions. The problem
is formulated as an extended impulse control problem and solved by means of
probabilistic tools such as the Snell envelop of processes and reflected
backward stochastic differential equations. A viscosity solutions approach is
employed to carry out a finne analysis on the associated system of m
variational inequalities with inter-connected obstacles. We show that the
vector of value functions of the optimal problem is the unique viscosity
solution to the system. This problem is in relation with the valuation of firms
in a financial market
A general comparison theorem for 1-dimensional anticipated BSDEs
Anticipated backward stochastic differential equation (ABSDE) studied the
first time in 2007 is a new type of stochastic differential equations. In this
paper, we establish a general comparison theorem for 1-dimensional ABSDEs with
the generators depending on the anticipated term of .Comment: 8 page
Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem
In this paper, we study a class of quadratic Backward Stochastic Differential
Equations (BSDEs) which arises naturally when studying the problem of utility
maximization with portfolio constraints. We first establish existence and
uniqueness results for such BSDEs and then, we give an application to the
utility maximization problem. Three cases of utility functions will be
discussed: the exponential, power and logarithmic ones
Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
The aim of the present paper is to study the regularity properties of the
solution of a backward stochastic differential equation with a monotone
generator in infinite dimension. We show some applications to the nonlinear
Kolmogorov equation and to stochastic optimal control
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Viscosity solutions of systems of PDEs with interconnected obstacles and Multi modes switching problems
This paper deals with existence and uniqueness, in viscosity sense, of a
solution for a system of m variational partial differential inequalities with
inter-connected obstacles. A particular case of this system is the
deterministic version of the Verification Theorem of the Markovian optimal
m-states switching problem. The switching cost functions are arbitrary. This
problem is connected with the valuation of a power plant in the energy market.
The main tool is the notion of systems of reflected BSDEs with oblique
reflection.Comment: 36 page
An overview of Viscosity Solutions of Path-Dependent PDEs
This paper provides an overview of the recently developed notion of viscosity
solutions of path-dependent partial di erential equations. We start by a quick
review of the Crandall- Ishii notion of viscosity solutions, so as to motivate
the relevance of our de nition in the path-dependent case. We focus on the
wellposedness theory of such equations. In partic- ular, we provide a simple
presentation of the current existence and uniqueness arguments in the
semilinear case. We also review the stability property of this notion of
solutions, in- cluding the adaptation of the Barles-Souganidis monotonic scheme
approximation method. Our results rely crucially on the theory of optimal
stopping under nonlinear expectation. In the dominated case, we provide a
self-contained presentation of all required results. The fully nonlinear case
is more involved and is addressed in [12]
On Markovian solutions to Markov Chain BSDEs
We study (backward) stochastic differential equations with noise coming from
a finite state Markov chain. We show that, for the solutions of these equations
to be `Markovian', in the sense that they are deterministic functions of the
state of the underlying chain, the integrand must be of a specific form. This
allows us to connect these equations to coupled systems of ODEs, and hence to
give fast numerical methods for the evaluation of Markov-Chain BSDEs
Magnetism: the Driving Force of Order in CoPt. A First-Principles Study
CoPt or FePt equiatomic alloys order according to the tetragonal L10
structure which favors their strong magnetic anisotropy. Conversely magnetism
can influence chemical ordering. We present here {\it ab initio} calculations
of the stability of the L10 and L12 structures of Co-Pt alloys in their
paramagnetic and ferromagnetic states. They show that magnetism strongly
reinforces the ordering tendencies in this system. A simple tight-binding
analysis allows us to account for this behavior in terms of some pertinent
parameters
Planktic foraminiferal biostratigraphy, paleoecology and chronostratigraphy across the Eocene/Oligocene boundary in northern Tunisia
The biostratigraphic analysis of the Eocene-Oligocene transition of the Menzel Bou Zelfa and Jhaff sections in northeastern Tunisia (Cap Bon peninsula) allows us to identify a continuous planktic foraminiferal biozonation. The following biozones were recognized: Globigerinatheka semiinvoluta Zone (E14), Globigerinatheka index Zone (E15), (Hantkenina alabamensis Zone (E16) of the upper Eocene and Pseudohastigerina naguewichiensis Zone (O1) of the lower Oligocene. A rapid mass extinction event in planktic foraminifera occurred at the Eocene-Oligocene transition, including the extinction of the turborotalids (Turborotalia cerroazulensis, Turborotalia cocoaensis and Turborotalia cunialensis) followed by a significant size reduction of the genus Pseudohastigerina and the extinction of the hantkeninids (Hantkenina alabamensis, Hantkenina brevispina, Hantkenina nanggulanensis and Cribrohantkenina lazzarii), which mark the Eocene/Oligocene boundary. These species were tropical and subtropical surface and intermediate dwellers, with distinctive morphologies (carinate turborotalids and spinose hantkeninids), which were well adapted species of k-strategy. The surviving planktic foraminifera species were quite similar in morphology with globular chambers (globigerinids) and small planispiral (pseudohastigerinids), which were opportunistic species of r-strategy. The recognition of a 4 m thick interval, between the extinction of turborotalids and hantkeninids, indicates that the section is continuous and one of the most expanded throughout the Eocene-Oligocene transition. This section could serve as an auxiliary section (hypostratotype) for the complete definition of the Global Stratotype Section and Point for the Eocene/Oligocene boundary, which mark the base of the Rupelian Stage
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