Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.
This paper presents the variational approach to some optimization problems: Mayer's problem with or without constraints on the final point, local controllability of a trajectory, time-optimal problems.
It is shown that the Lagrange's equations for a Lagrangian system on a Lie algebroid are obtained as the equations for the critical points of the action functional defined on a Banach manifold of curves. The theory of Lagrangian reduction and the relation with the method of Lagrange multipliers are also studied.
In this paper we consider a general class of systems determined by operator valued measures which are assumed to be countably additive in the strong operator topology. This replaces our previous assumption of countable additivity in the uniform operator topology by the weaker assumption. Under the relaxed assumption plus an additional assumption requiring the existence of a dominating measure, we prove some results on existence of solutions and their regularity properties both for linear and semilinear...
The aim of this paper is to summarize basic facts about -stable at a point vector functions and existing results for certain vector constrained programming problem with -stable data.