Abstract. We study singular perturbations of a class of stochastic control problems under assumptions motivated by models of financial markets with stochastic volatilities evolving on a fast time scale. We prove the convergence of the value function to the solution of a limit (effective) Cauchy problem for a parabolic equation of HJB type. We use methods of the theory of viscosity solutions and of the homogenization of fully nonlinear PDEs. We test the result on some financial examples, such as Merton portfolio optimization problem.
Abstract. We prove some Liouville properties for sub-and supersolutions of fully nonlinear degenerate elliptic equations in the whole space. Our assumptions allow the coefficients of the first order terms to be large at infinity, provided they have an appropriate sign, as in OrnsteinUhlenbeck operators. We give two applications. The first is a stabilization property for large times of solutions to fully nonlinear parabolic equations. The second is the solvability of an ergodic Hamilton-Jacobi-Bellman equation that identifies a unique critical value of the operator.
We develop a direct Lyapunov method for the almost sure open-loop stabilizability and asymptotic stabilizability of controlled degenerate diffusion processes. The infinitesimal decrease condition for a Lyapunov function is a new form of Hamilton-Jacobi-Bellman partial differential inequality of 2nd order. We give local and global versions of the First and Second Lyapunov Theorems assuming the existence of a lower semicontinuous Lyapunov function satisfying such inequality in the viscosity sense. An explicit formula for a stabilizing feedback is provided for affine systems with smooth Lyapunov function. Several examples illustrate the theory.
We consider the long-time behavior of the mean curvature flow in heterogeneous media with periodic fibrations, modeled as an additive driving force. Under appropriate assumptions on the forcing term, we show existence of generalized traveling waves with maximal speed of propagation, and we prove the convergence of solutions to the forced mean curvature flow to these generalized waves
We consider a class of nonlocal generalized perimeters which includes fractional perimeters and Riesz type potentials. We prove a general isoperimetric inequality for such functionals, and we discuss some applications. In particular we prove existence of an isoperimetric profile, under suitable assumptions on the interaction kernel. E E K(x − y)dxdy.1991 Mathematics Subject Classification. 53A10, 49Q20, 35R11.
We discuss fattening phenomenon for the evolution of sets according to their nonlocal curvature. More precisely, we consider a class of generalized curvatures which correspond to the first variation of suitable nonlocal perimeter functionals, defined in terms of an interaction kernel K, which is symmetric, nonnegative, possibly singular at the origin, and satisfies appropriate integrability conditions.We prove a general result about uniqueness of the geometric evolutions starting from regular sets with positive K-curvature in R n and we discuss the fattening phenomenon in R 2 for the evolution starting from the cross, showing that this phenomenon is very sensitive to the strength of the interactions. As a matter of fact, we show that the fattening of the cross occurs for kernels with sufficiently large mass near the origin, while for kernels that are sufficiently weak near the origin such a fattening phenomenon does not occur.We also provide some further results in the case of the fractional mean curvature flow, showing that strictly starshaped sets in R n have a unique geometric evolution.Moreover, we exhibit two illustrative examples in R 2 of closed nonregular curves, the first with a Lipschitztype singularity and the second with a cusp-type singularity, given by two tangent circles of equal radius, whose evolution develops fattening in the first case, and is uniquely defined in the second, thus remarking the high sensitivity of the fattening phenomenon in terms of the regularity of the initial datum. The latter example is in striking contrast to the classical case of the (local) curvature flow, where two tangent circles always develop fattening.As a byproduct of our analysis, we provide also a simple proof of the fact that the cross in R 2 is not a K-minimal set for the nonlocal perimeter functional associated to K.
We consider the short time behaviour of stochastic systems affected by a stochastic volatility evolving at a faster time scale. We study the asymptotics of a logarithmic functional of the process by methods of the theory of homogenisation and singular perturbations for fully nonlinear PDEs. We point out three regimes depending on how fast the volatility oscillates relative to the horizon length. We prove a large deviation principle for each regime and apply it to the asymptotics of option prices near maturity.
In 1978 E. De Giorgi fromulated a conjecture concerning the one-dimensional symmetry of bounded solutions to the elliptic equation ∆u = F ′ (u), which are monotone in some direction. In this paper we prove the analogous statement for the equation ∆− x, ∇u u = F ′ (u), where the Laplacian is replaced by the Ornstein-Uhlenbeck operator. Our theorem holds without any restriction on the dimension of the ambient space, and this allows us to obtain an similar result in infinite dimensions by a limit procedure.
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