1,721,106 research outputs found
Kolmogorov equation associated to a stochastic Navier-Stokes equation
No full textAbstractA direct solution of the Kolmogorov equation associated to a stochastic Navier–Stokes equation is given, with restriction to two space dimensions and periodic boundary conditions. The existence of a variational solution is proved, using a special property of the nonlinear operator
Some Stability Results for a 1-sector on “AK Model” with Endogenous Growth
No full textIn this note, we study the dynamic behavior of a 1-sector AK Model with endogenous growth introduced in Freni, Gozzi and Salvadori (2001) (FGS henceforth). We characterize the region of parameter values that gives rise to a unique equilibrium with positive growth rates
Giovanni Francesco Barbieri detto il Guercino, La Santissima Trinità, 1638, Roma, chiesa di santa Maria della Vittoria
No full textLa scheda sintetizza le vicende storiche e le circostanze dell'esecuzione della pala d'altare commissionata al Guercino dal cardinale Berlinghiero Gessi per il suo altare nella chiesa di Santa Maria della Vittoria a Roma, prendendo in esame anche le vicende critiche relative al dipinto
Giovanni Francesco Barbieri detto il Guercino, Estasi di San Filippo Neri, 1644, Roma, chiesa di Santa Maria in Vallicella
No full textLa scheda sintetizza le vicende storiche-critiche e le circostanze dell'esecuzione della pala d'altare pagata al Guercino dal marchese Tanari e destinata alla cappella interna di Santa Maria in Vallicella a Roma, prendendo in esame anche le particolarità iconografiche del dipinto e le relazioni con altre opere eseguite dal pittore centese negli stessi anni
Impact of time illiquidity in a mixed market without full observation
Full text linkWe study a problem of optimal investment/consumption over an infinite horizon in a market with two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the illiquid one can be traded only at discrete random times, corresponding to the jumps of a Poisson process with intensity λ, is observed at the trading dates, and is partially observed between two different trading dates. The problem is a nonstandard mixed discrete/continuous optimal control problem, which we solve by a dynamic programming approach. When the utility has a general form, we prove that the value function is the unique viscosity solution of the associated Hamilton–Jacobi–Bellman equation and characterize the optimal allocation in the illiquid asset. In the case of power utility, we establish the regularity of the value function needed to prove the verification theorem, providing the complete theoretical solution of the problem. This enables us to perform numerical simulations, so as to analyze the impact of time illiquidity and how this impact is affected by the degree of observation
Optimal strategies in linear multisector models: Value function and optimality conditions
No full textIn this paper we study an optimal control problem with mixed constraints related to a multisector linear model with endogenous growth. The main aim is to establish a set of necessary and a set of sufficient conditions which are the basis for studying the qualitative properties of optimal trajectories. The presence of possibly degenerate mixed constraints, the unboundedness and nonstrict convexity of the Hamiltonian, make the problem difficult to deal with. We develop first the dynamic programming approach, proving that the value function is a bilateral viscosity solution to the associated Hamilton-Jacobi-Bellman (HJB) equation. Then, using our results, we give a set of sufficient and a set of necessary optimality conditions which involve so-called co-state inclusion: this can be interpreted as the existence of a dual path of prices supporting the optimal path
Mild solutions of semilinear elliptic equations in Hilbert spaces
No full textThis paper extends the theory of regular solutions (C1 in a suitable sense) for a class of semilinear elliptic equations in Hilbert spaces. The notion of regularity is based on the concept of G-derivative, which is introduced and discussed. A result of existence and uniqueness of solutions is stated and proved under the assumption that the transition semigroup associated to the linear part of the equation has a smoothing property, that is, it maps continuous functions into G-differentiable ones. The validity of this smoothing assumption is fully discussed for the case of the Ornstein–Uhlenbeck transition semigroup and for the case of invertible diffusion coefficient covering cases not previously addressed by the literature. It is shown that the results apply to Hamilton–Jacobi–Bellman (HJB) equations associated to infinite horizon optimal stochastic control problems in infinite dimension and that, in particular, they cover examples of optimal boundary control of the heat equation that were not treatable with the approaches developed in the literature up to now
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