In this paper, we study the singular boundary value problem

$$ \begin{align*} \begin{cases} \Delta_\infty^h u=\lambda f(x,u,Du) \quad &\mathrm{in}\; \Omega, \\ u>0\quad &\mathrm{in}\; \Omega,\\ u=0 \quad &\mathrm{on} \;\partial\Omega, \end{cases} \end{align*} $$

where $\lambda>0$ is a parameter, $h>1$ and $\Delta _\infty ^h u=|Du|^{h-3} \langle D^2uDu,Du \rangle $ is the highly degenerate and h-homogeneous operator related to the infinity Laplacian. The nonlinear term $f(x,t,p):\Omega \times (0,\infty )\times \mathbb {R}^{n}\rightarrow \mathbb {R}$ is a continuous function and may exhibit singularity at $t\rightarrow 0^{+}$. We establish the comparison principle by the double variables method for the general equation $\Delta _\infty ^h u=F(x,u,Du)$ under some conditions on the term $F(x,t,p)$. Then, we establish the existence of viscosity solutions to the singular boundary value problem in a bounded domain based on Perron’s method and the comparison principle. Finally, we obtain the existence result in the entire Euclidean space by the approximation procedure. In this procedure, we also establish the local Lipschitz continuity of the viscosity solution.

In this paper, we extend the optimal dividend and capital injection problem with affine penalty at ruin in (Xu, R. & Woo, J.K. (2020). Insurance: Mathematics and Economics 92: 1–16) to the case with singular dividend payments. The asymptotic relationships between our value function to the one with bounded dividend density are studied, which also help to verify that our value function is a viscosity solution to the associated Hamilton–Jacob–Bellman Quasi-Variational Inequality (HJBQVI). We also show that the value function is the smallest viscosity supersolution within certain functional class. A modified comparison principle is proved to guarantee the uniqueness of the value function as the viscosity solution within the same functional class. Finally, a band-type dividend and capital injection strategy is constructed based on four crucial sets; and the optimality of such band-type strategy is proved by using fixed point argument. Numerical examples of the optimal band-type strategies are provided at the end when the claim size follows exponential and gamma distribution, respectively.

This paper studies a composite problem involving decision-making about the optimal entry time and dynamic consumption afterwards. In Stage 1, the investor has access to full market information subject to some information costs and needs to choose an optimal stopping time to initiate Stage 2; in Stage 2, the investor terminates the costly full information acquisition and starts dynamic investment and consumption under partial observation of free public stock prices. Habit formation preferences are employed, in which past consumption affects the investor’s current decisions. Using the stochastic Perron method, the value function of the composite problem is proved to be the unique viscosity solution of some variational inequalities.

We study the asymptotic behaviour, as p → ∞, of the least energy solutions of the problem

$$\left\{ {\matrix{ {-(\Delta _p + \Delta _{q(p)})u = \lambda _p \vert u(x_u) \vert ^{p-2}u(x_u)\delta _{x_u}} & {{\rm in}} & \Omega \cr {u = 0} \hfill \hfill \hfill & {{\rm on}} & {\partial \Omega ,} \cr } } \right.$$

$\delta _{x_{u}}$

$$\mathop {\lim }\limits_{p\to \infty } \displaystyle{{q(p)} \over p} = Q\in \left\{ {\matrix{ {(0,1)} & {{\rm if}} & {N < q(p) < p} \cr {(1,\infty )} & {{\rm if}} & {N < p < q(p)} \cr } } \right.$$

$$\min \left\{ {\displaystyle{{{\rm \Vert }\nabla u{\rm \Vert }_\infty } \over {{\rm \Vert }u{\rm \Vert }_\infty }}:0 \ne u\in W^{1,\infty }(\Omega )\cap C_0(\bar{\Omega })} \right\} \les \mathop {\lim }\limits_{p\to \infty } (\lambda _p)^{1/p} < \infty .$$

In the paper we investigate the regularity of the value function representing Hamilton–Jacobi equation: − Ut + H(t, x, U, − Ux) = 0 with a final condition: U(T,x) = g(x). Hamilton–Jacobi equation, in which the Hamiltonian H depends on the value of solution U, is represented by the value function with more complicated structure than the value function in Bolza problem. This function is described with the use of some class of Mayer problems related to the optimal control theory and the calculus of variation. In the paper we prove that absolutely continuous functions that are solutions of Mayer problem satisfy the Lipschitz condition. Using this fact we show that the value function is a bilateral solution of Hamilton–Jacobi equation. Moreover, we prove that continuity or the local Lipschitz condition of the function of final cost g is inherited by the value function. Our results allow to state the theorem about existence and uniqueness of bilateral solutions in the class of functions that are bounded from below and satisfy the local Lipschitz condition. In proving the main results we use recently derived necessary optimality conditions of Loewen–Rockafellar [P.D. Loewen and R.T. Rockafellar, SIAM J. Control Optim. 32 (1994) 442–470; P.D. Loewen and R.T. Rockafellar, SIAM J. Control Optim. 35 (1997) 2050–2069].

A two-person zero-sum differential game with unbounded controls is considered. Underproper coercivity conditions, the upper and lower value functions are characterized as theunique viscosity solutions to the corresponding upper and lower Hamilton–Jacobi–Isaacsequations, respectively. Consequently, when the Isaacs’ condition is satisfied, the upperand lower value functions coincide, leading to the existence of the value function of thedifferential game. Due to the unboundedness of the controls, the corresponding upper andlower Hamiltonians grow super linearly in the gradient of the upper and lower valuefunctions, respectively. A uniqueness theorem of viscosity solution to Hamilton–Jacobiequations involving such kind of Hamiltonian is proved, without relying on theconvexity/concavity of the Hamiltonian. Also, it is shown that the assumed coercivityconditions guaranteeing the finiteness of the upper and lower value functions are sharp insome sense.

We study here the impulse control minimax problem. We allow the cost functionals anddynamics to be unbounded and hence the value functions can possibly be unbounded. We provethat the value function of the problem is continuous. Moreover, the value function ischaracterized as the unique viscosity solution of an Isaacs quasi-variational inequality.This problem is in relation with an application in mathematical finance.

Given a continuous viscosity solution of a Dirichlet-type Hamilton-Jacobi equation, we show that the distance function to the conjugate locus which is associated to this problem is locally semiconcave on its domain. It allows us to provide a simple proof of the fact that the distance function to the cut locus associated to this problem is locally Lipschitz on its domain. This result, which was already an improvement of a previous one by Itoh and Tanaka [Trans. Amer. Math. Soc. 353 (2001) 21–40], is due to Li and Nirenberg [Comm. Pure Appl. Math. 58 (2005) 85–146]. Finally, we give applications of our results in Riemannian geometry. Namely, we show that the distance function to the conjugate locus on a Riemannian manifold is locally semiconcave. Then, we show that if a Riemannian manifold is a C 4-deformation of the round sphere, then all its tangent nonfocal domains are strictly uniformly convex.

We study a hybrid control system in which both discrete and continuous controls are involved. The discrete controls act on the system at a given set interface. The state of the system is changed discontinuously when the trajectory hits predefined sets, namely, an autonomous jumpset A or a controlled jump set C where controller can choose to jump or not. At each jump, trajectory can move to a different Euclidean space. We allow the cost functionals to be unbounded with certain growth and hence the corresponding value function can be unbounded. We characterize the value function as the unique viscosity solution of the associated quasivariational inequality in a suitable function class. We also consider the evolutionary, finite horizon hybrid control problem with similar model and prove that the value function is the unique viscosity solution in the continuous function class while allowing cost functionals as well as the dynamics to be unbounded.

In this paper we prove a comparison result between semicontinuousviscosity subsolutions and supersolutions to Hamilton-Jacobi equations of the form $u_t+H(x,Du) = 0$ in ${\rm I}\!{\rmR}^n\times(0,T)$ where the Hamiltonian H may be noncoercive inthe gradient Du. As a consequence of the comparison result and the Perron's method we get the existence of a continuous solution of this equation.

Let $\Lambda $ be a Lagrangian submanifold of $T^{*}X$ for some closedmanifold X. Let $S(x,\xi )$ be a generating function for $\Lambda $ whichis quadratic at infinity, and let W(x) be the corresponding graph selectorfor $\Lambda ,$ in the sense of Chaperon-Sikorav-Viterbo, so that thereexists a subset $X_{0}\subset X$ of measure zero such that W is Lipschitzcontinuous on X, smooth on $X\backslash X_{0}$ and $(x,\partial W/\partialx(x))\in \Lambda $ for $X\backslash X_{0}.$ Let H(x,p)=0 for $(x,p)\in\Lambda$ . Then W is a classical solution to $H(x,\partial W/\partialx(x))=0$ on $X\backslash X_{0}$ and extends to a Lipschitz function on thewhole of X. Viterbo refers to W as a variational solution. We prove that W is also a viscosity solution under some simple and natural conditions.We also prove that these conditions are satisfied in many cases, includingcertain commonly occuring cases where H(x,p) is not convex in p.

In this paper, we study ruin in a perturbed compound Poisson risk process under stochastic interest force and constant interest force. By using the technique of stochastic control, we show that the ruin probability in the perturbed risk model is always twice continuously differentiable provided that claim sizes have continuous density functions. In the perturbed risk model, ruin may be caused by a claim or by oscillation. We decompose the ruin probability into the sum of two ruin probabilities; one is the probability that ruin is caused by a claim and the other is the probability that ruin is caused by oscillation. Integrodifferential equations for these ruin probabilities are derived when the interest force is constant. When the claim sizes are exponentially distributed, explicit solutions of the ruin probabilities are derived from the integrodifferential equations. Numerical examples are given to illustrate the effects of diffusion volatility and interest force on the ruin probabilities.

We consider an Hamilton-Jacobi equation of the form

 $$ H(x,Du)=0\quad x\in\Omega\subset\mathbb R^N,\qquad\qquad (1) $$ 
where H(x,p) is assumed Borel measurable and quasi-convex inp. The notion of Monge solution, introduced by Newcomb and Su,is adapted to this setting making use of suitable metric devices.We establish the comparison principle for Monge sub andsupersolution, existence and uniqueness for equation ([see full text])coupled with Dirichlet boundary conditions, and a stability result. Therelation among Monge and Lipschitz subsolutions is also discussed.

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.

We consider the pseudo-p-Laplacian, an anisotropicversion of the p-Laplacian operator for $p\not=2$ . We studyrelevant properties of its first eigenfunction for finite p andthe limit problem as p → ∞.

By means of the Pucci operator, we construct a function ${{u}_{0}}$, which plays an essential role in our considerations, and give the existence and regularity theorems for the bounded viscosity solutions of the generalized Dirichlet problems of second order fully nonlinear elliptic equations on the general bounded domains, which may be irregular. The approximation method, the accretive operator technique and the Caffarelli's perturbation theory are used.

We describe both the classical Lagrangian and the Eulerian methods for first order Hamilton–Jacobi equations of geometric optic type. We then explain the basic structure of the softwareand how new solvers/models can be added to it. A selection of numerical examples are presented.

Using systematically a tricky idea of N.V. Krylov, we obtain general results on the rate of convergence of a certain class of monotone approximation schemes for stationary Hamilton-Jacobi-Bellman equations with variable coefficients. This result applies in particular to control schemes based on the dynamic programming principle and to finite difference schemes despite, here, we are not able to treat the most general case. General results have been obtained earlier by Krylov for finite difference schemes in the stationary case with constant coefficients and in the time-dependent case with variable coefficients by using control theory and probabilistic methods. In this paper we are able to handle variable coefficients by a purely analytical method. In our opinion this way is far simpler and, for the cases we can treat, it yields a better rate of convergence than Krylov obtains in the variable coefficients case.

We study a financial market with incompleteness arising from two sources: stochastic volatility and portfolio constraints. The latter are given in terms of bounds imposed on the borrowing and short-selling of a ‘hedger’ in this market, and can be described by a closed convex set K. We find explicit characterizations of the minimal price needed to super-replicate European-type contingent claims in this framework. The results depend on whether the volatility is bounded away from zero and/or infinity, and also, on if we have linear dynamics for the stock price process, and whether volatility process depends on the stock price. We use a previously known representation of the minimal price as a supremum of the prices in the corresponding shadow markets, and we derive a PDE characterization of that representation.

In this paper we study an approximation scheme for a class of control problems involving an ordinary control v, an impulsive control u and its derivative $\dot u$. Adopting a space-time reparametrization of the problem which adds one variable to the state space we overcome some difficulties connected to the presence of $\dot u$. We construct an approximation scheme for that augmented system, prove that it converges to the value function of the augmented problem and establish an error estimates in L∞ for this approximation. Moreover, a characterization of the limit of the discrete optimal controls is given showing that it converges (in a suitable sense) to an optimal control for the continuous problem.