A Lax-Oleinik representation formula is established for nonautonomous Hamilton-Jacobi equations on general networks, yielding unique solutions via an action functional whose minimizers are Lipschitz continuous without excluding the Zeno phenomenon.
and Ishii, Hitoshi and Lions, Pierre-Louis , year =
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Agent's optimization in unique-contract principal-agent problem with adverse selection is recast as stochastic target problem, enabling principal's objective as stochastic optimal control with partial information and state constraints.
Establishes optimal C^{1,α} estimates for p > n and log-Lipschitz continuity under the Lorentz condition f ∈ L^{n,1} for degenerate fully nonlinear elliptic equations with L^p data.
Develops a singular stochastic control model for optimal execution with stochastic resilience dynamics and regime-switching liquidity, proving the value function is the unique viscosity solution to a system of variational HJB inequalities.
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Optimal Execution under Liquidity Uncertainty
Develops a singular stochastic control model for optimal execution with stochastic resilience dynamics and regime-switching liquidity, proving the value function is the unique viscosity solution to a system of variational HJB inequalities.