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Publisher: Springer-Verlag (Total: 2352 journals)

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Showing 1 - 200 of 2352 Journals sorted alphabetically
3D Printing in Medicine     Open Access   (Followers: 1)
3D Research     Hybrid Journal   (Followers: 21, SJR: 0.222, CiteScore: 1)
4OR: A Quarterly J. of Operations Research     Hybrid Journal   (Followers: 10, SJR: 0.825, CiteScore: 1)
AAPS J.     Hybrid Journal   (Followers: 23, SJR: 1.118, CiteScore: 4)
AAPS PharmSciTech     Hybrid Journal   (Followers: 7, SJR: 0.752, CiteScore: 3)
Abdominal Imaging     Hybrid Journal   (Followers: 15, SJR: 0.866, CiteScore: 2)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 4, SJR: 0.439, CiteScore: 0)
Academic Psychiatry     Full-text available via subscription   (Followers: 26, SJR: 0.53, CiteScore: 1)
Academic Questions     Hybrid Journal   (Followers: 8, SJR: 0.106, CiteScore: 0)
Accreditation and Quality Assurance: J. for Quality, Comparability and Reliability in Chemical Measurement     Hybrid Journal   (Followers: 28, SJR: 0.316, CiteScore: 1)
Acoustical Physics     Hybrid Journal   (Followers: 11, SJR: 0.359, CiteScore: 1)
Acoustics Australia     Hybrid Journal   (SJR: 0.232, CiteScore: 1)
Acta Analytica     Hybrid Journal   (Followers: 7, SJR: 0.367, CiteScore: 0)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1, SJR: 0.675, CiteScore: 1)
Acta Biotheoretica     Hybrid Journal   (Followers: 4, SJR: 0.284, CiteScore: 1)
Acta Diabetologica     Hybrid Journal   (Followers: 18, SJR: 1.587, CiteScore: 3)
Acta Endoscopica     Hybrid Journal   (Followers: 1)
acta ethologica     Hybrid Journal   (Followers: 4, SJR: 0.769, CiteScore: 1)
Acta Geochimica     Hybrid Journal   (Followers: 7, SJR: 0.24, CiteScore: 1)
Acta Geodaetica et Geophysica     Hybrid Journal   (Followers: 3, SJR: 0.305, CiteScore: 1)
Acta Geophysica     Hybrid Journal   (Followers: 11, SJR: 0.312, CiteScore: 1)
Acta Geotechnica     Hybrid Journal   (Followers: 7, SJR: 1.588, CiteScore: 3)
Acta Informatica     Hybrid Journal   (Followers: 5, SJR: 0.517, CiteScore: 1)
Acta Mathematica     Hybrid Journal   (Followers: 12, SJR: 7.066, CiteScore: 3)
Acta Mathematica Hungarica     Hybrid Journal   (Followers: 2, SJR: 0.452, CiteScore: 1)
Acta Mathematica Sinica, English Series     Hybrid Journal   (Followers: 6, SJR: 0.379, CiteScore: 1)
Acta Mathematica Vietnamica     Hybrid Journal   (SJR: 0.27, CiteScore: 0)
Acta Mathematicae Applicatae Sinica, English Series     Hybrid Journal   (SJR: 0.208, CiteScore: 0)
Acta Mechanica     Hybrid Journal   (Followers: 21, SJR: 1.04, CiteScore: 2)
Acta Mechanica Sinica     Hybrid Journal   (Followers: 5, SJR: 0.607, CiteScore: 2)
Acta Metallurgica Sinica (English Letters)     Hybrid Journal   (Followers: 7, SJR: 0.576, CiteScore: 2)
Acta Meteorologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.638, CiteScore: 1)
Acta Neurochirurgica     Hybrid Journal   (Followers: 6, SJR: 0.822, CiteScore: 2)
Acta Neurologica Belgica     Hybrid Journal   (Followers: 1, SJR: 0.376, CiteScore: 1)
Acta Neuropathologica     Hybrid Journal   (Followers: 4, SJR: 7.589, CiteScore: 12)
Acta Oceanologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.334, CiteScore: 1)
Acta Physiologiae Plantarum     Hybrid Journal   (Followers: 2, SJR: 0.574, CiteScore: 2)
Acta Politica     Hybrid Journal   (Followers: 15, SJR: 0.605, CiteScore: 1)
Activitas Nervosa Superior     Hybrid Journal   (SJR: 0.147, CiteScore: 0)
adhäsion KLEBEN & DICHTEN     Hybrid Journal   (Followers: 8, SJR: 0.103, CiteScore: 0)
ADHD Attention Deficit and Hyperactivity Disorders     Hybrid Journal   (Followers: 24, SJR: 0.72, CiteScore: 2)
Adhesion Adhesives & Sealants     Hybrid Journal   (Followers: 9)
Administration and Policy in Mental Health and Mental Health Services Research     Partially Free   (Followers: 17, SJR: 1.005, CiteScore: 2)
Adsorption     Hybrid Journal   (Followers: 4, SJR: 0.703, CiteScore: 2)
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 4, SJR: 0.698, CiteScore: 1)
Advances in Atmospheric Sciences     Hybrid Journal   (Followers: 37, SJR: 0.956, CiteScore: 2)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 19, SJR: 0.812, CiteScore: 1)
Advances in Contraception     Hybrid Journal   (Followers: 3)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 56, SJR: 1.09, CiteScore: 1)
Advances in Gerontology     Partially Free   (Followers: 8, SJR: 0.144, CiteScore: 0)
Advances in Health Sciences Education     Hybrid Journal   (Followers: 29, SJR: 1.64, CiteScore: 2)
Advances in Manufacturing     Hybrid Journal   (Followers: 4, SJR: 0.475, CiteScore: 2)
Advances in Polymer Science     Hybrid Journal   (Followers: 45, SJR: 1.04, CiteScore: 3)
Advances in Therapy     Hybrid Journal   (Followers: 5, SJR: 1.075, CiteScore: 3)
Aegean Review of the Law of the Sea and Maritime Law     Hybrid Journal   (Followers: 6)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2, SJR: 0.517, CiteScore: 1)
Aerobiologia     Hybrid Journal   (Followers: 3, SJR: 0.673, CiteScore: 2)
Aesthetic Plastic Surgery     Hybrid Journal   (Followers: 10, SJR: 0.825, CiteScore: 1)
African Archaeological Review     Hybrid Journal   (Followers: 20, SJR: 0.862, CiteScore: 1)
Afrika Matematika     Hybrid Journal   (Followers: 1, SJR: 0.235, CiteScore: 0)
AGE     Hybrid Journal   (Followers: 7)
Ageing Intl.     Hybrid Journal   (Followers: 7, SJR: 0.39, CiteScore: 1)
Aggiornamenti CIO     Hybrid Journal   (Followers: 1)
Aging Clinical and Experimental Research     Hybrid Journal   (Followers: 3, SJR: 0.67, CiteScore: 2)
Agricultural Research     Hybrid Journal   (Followers: 6, SJR: 0.276, CiteScore: 1)
Agriculture and Human Values     Hybrid Journal   (Followers: 14, SJR: 1.173, CiteScore: 3)
Agroforestry Systems     Hybrid Journal   (Followers: 20, SJR: 0.663, CiteScore: 1)
Agronomy for Sustainable Development     Hybrid Journal   (Followers: 12, SJR: 1.864, CiteScore: 6)
AI & Society     Hybrid Journal   (Followers: 9, SJR: 0.227, CiteScore: 1)
AIDS and Behavior     Hybrid Journal   (Followers: 14, SJR: 1.792, CiteScore: 3)
Air Quality, Atmosphere & Health     Hybrid Journal   (Followers: 4, SJR: 0.862, CiteScore: 3)
Akupunktur & Aurikulomedizin     Full-text available via subscription   (Followers: 1)
Algebra and Logic     Hybrid Journal   (Followers: 6, SJR: 0.531, CiteScore: 0)
Algebra Universalis     Hybrid Journal   (Followers: 2, SJR: 0.583, CiteScore: 1)
Algebras and Representation Theory     Hybrid Journal   (Followers: 1, SJR: 1.095, CiteScore: 1)
Algorithmica     Hybrid Journal   (Followers: 9, SJR: 0.56, CiteScore: 1)
Allergo J.     Full-text available via subscription   (Followers: 1, SJR: 0.234, CiteScore: 0)
Allergo J. Intl.     Hybrid Journal   (Followers: 2)
Alpine Botany     Hybrid Journal   (Followers: 5, SJR: 1.11, CiteScore: 3)
ALTEX : Alternatives to Animal Experimentation     Open Access   (Followers: 3)
AMBIO     Hybrid Journal   (Followers: 10, SJR: 1.569, CiteScore: 4)
American J. of Cardiovascular Drugs     Hybrid Journal   (Followers: 16, SJR: 0.951, CiteScore: 3)
American J. of Community Psychology     Hybrid Journal   (Followers: 29, SJR: 1.329, CiteScore: 2)
American J. of Criminal Justice     Hybrid Journal   (Followers: 8, SJR: 0.772, CiteScore: 1)
American J. of Cultural Sociology     Hybrid Journal   (Followers: 16, SJR: 0.46, CiteScore: 1)
American J. of Dance Therapy     Hybrid Journal   (Followers: 4, SJR: 0.181, CiteScore: 0)
American J. of Potato Research     Hybrid Journal   (Followers: 2, SJR: 0.611, CiteScore: 1)
American J. of Psychoanalysis     Hybrid Journal   (Followers: 21, SJR: 0.314, CiteScore: 0)
American Sociologist     Hybrid Journal   (Followers: 14, SJR: 0.35, CiteScore: 0)
Amino Acids     Hybrid Journal   (Followers: 8, SJR: 1.135, CiteScore: 3)
AMS Review     Partially Free   (Followers: 4)
Analog Integrated Circuits and Signal Processing     Hybrid Journal   (Followers: 7, SJR: 0.211, CiteScore: 1)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 5, SJR: 0.536, CiteScore: 1)
Analysis in Theory and Applications     Hybrid Journal   (Followers: 1)
Analysis of Verbal Behavior     Hybrid Journal   (Followers: 6)
Analytical and Bioanalytical Chemistry     Hybrid Journal   (Followers: 32, SJR: 0.978, CiteScore: 3)
Anatomical Science Intl.     Hybrid Journal   (Followers: 3, SJR: 0.367, CiteScore: 1)
Angewandte Schmerztherapie und Palliativmedizin     Hybrid Journal  
Angiogenesis     Hybrid Journal   (Followers: 3, SJR: 2.177, CiteScore: 5)
Animal Cognition     Hybrid Journal   (Followers: 19, SJR: 1.389, CiteScore: 3)
Annales françaises de médecine d'urgence     Hybrid Journal   (Followers: 1, SJR: 0.192, CiteScore: 0)
Annales Henri Poincaré     Hybrid Journal   (Followers: 3, SJR: 1.097, CiteScore: 2)
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4, SJR: 0.438, CiteScore: 0)
Annali dell'Universita di Ferrara     Hybrid Journal   (SJR: 0.429, CiteScore: 0)
Annali di Matematica Pura ed Applicata     Hybrid Journal   (Followers: 1, SJR: 1.197, CiteScore: 1)
Annals of Biomedical Engineering     Hybrid Journal   (Followers: 17, SJR: 1.042, CiteScore: 3)
Annals of Combinatorics     Hybrid Journal   (Followers: 4, SJR: 0.932, CiteScore: 1)
Annals of Data Science     Hybrid Journal   (Followers: 12)
Annals of Dyslexia     Hybrid Journal   (Followers: 10, SJR: 0.85, CiteScore: 2)
Annals of Finance     Hybrid Journal   (Followers: 32, SJR: 0.579, CiteScore: 1)
Annals of Forest Science     Hybrid Journal   (Followers: 7, SJR: 0.986, CiteScore: 2)
Annals of Global Analysis and Geometry     Hybrid Journal   (Followers: 1, SJR: 1.228, CiteScore: 1)
Annals of Hematology     Hybrid Journal   (Followers: 15, SJR: 1.043, CiteScore: 2)
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 13, SJR: 0.413, CiteScore: 1)
Annals of Microbiology     Hybrid Journal   (Followers: 11, SJR: 0.479, CiteScore: 2)
Annals of Nuclear Medicine     Hybrid Journal   (Followers: 4, SJR: 0.687, CiteScore: 2)
Annals of Operations Research     Hybrid Journal   (Followers: 10, SJR: 0.943, CiteScore: 2)
Annals of Ophthalmology     Hybrid Journal   (Followers: 12)
Annals of Regional Science     Hybrid Journal   (Followers: 8, SJR: 0.614, CiteScore: 1)
Annals of Software Engineering     Hybrid Journal   (Followers: 13)
Annals of Solid and Structural Mechanics     Hybrid Journal   (Followers: 9, SJR: 0.239, CiteScore: 1)
Annals of Surgical Oncology     Hybrid Journal   (Followers: 14, SJR: 1.986, CiteScore: 4)
Annals of Telecommunications     Hybrid Journal   (Followers: 9, SJR: 0.223, CiteScore: 1)
Annals of the Institute of Statistical Mathematics     Hybrid Journal   (Followers: 1, SJR: 1.495, CiteScore: 1)
Antonie van Leeuwenhoek     Hybrid Journal   (Followers: 5, SJR: 0.834, CiteScore: 2)
Apidologie     Hybrid Journal   (Followers: 4, SJR: 1.22, CiteScore: 3)
APOPTOSIS     Hybrid Journal   (Followers: 8, SJR: 1.424, CiteScore: 4)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 2, SJR: 0.294, CiteScore: 1)
Applications of Mathematics     Hybrid Journal   (Followers: 2, SJR: 0.602, CiteScore: 1)
Applied Biochemistry and Biotechnology     Hybrid Journal   (Followers: 45, SJR: 0.571, CiteScore: 2)
Applied Biochemistry and Microbiology     Hybrid Journal   (Followers: 18, SJR: 0.21, CiteScore: 1)
Applied Categorical Structures     Hybrid Journal   (Followers: 3, SJR: 0.49, CiteScore: 0)
Applied Composite Materials     Hybrid Journal   (Followers: 49, SJR: 0.58, CiteScore: 2)
Applied Entomology and Zoology     Partially Free   (Followers: 5, SJR: 0.422, CiteScore: 1)
Applied Geomatics     Hybrid Journal   (Followers: 3, SJR: 0.733, CiteScore: 3)
Applied Geophysics     Hybrid Journal   (Followers: 8, SJR: 0.488, CiteScore: 1)
Applied Intelligence     Hybrid Journal   (Followers: 13, SJR: 0.6, CiteScore: 2)
Applied Magnetic Resonance     Hybrid Journal   (Followers: 4, SJR: 0.319, CiteScore: 1)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 9, SJR: 0.886, CiteScore: 1)
Applied Mathematics - A J. of Chinese Universities     Hybrid Journal   (SJR: 0.17, CiteScore: 0)
Applied Mathematics and Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.461, CiteScore: 1)
Applied Microbiology and Biotechnology     Hybrid Journal   (Followers: 67, SJR: 1.182, CiteScore: 4)
Applied Physics A     Hybrid Journal   (Followers: 10, SJR: 0.481, CiteScore: 2)
Applied Physics B: Lasers and Optics     Hybrid Journal   (Followers: 24, SJR: 0.74, CiteScore: 2)
Applied Psychophysiology and Biofeedback     Hybrid Journal   (Followers: 8, SJR: 0.519, CiteScore: 2)
Applied Research in Quality of Life     Hybrid Journal   (Followers: 12, SJR: 0.316, CiteScore: 1)
Applied Solar Energy     Hybrid Journal   (Followers: 21, SJR: 0.225, CiteScore: 0)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 6, SJR: 0.542, CiteScore: 1)
Aquaculture Intl.     Hybrid Journal   (Followers: 25, SJR: 0.591, CiteScore: 2)
Aquarium Sciences and Conservation     Hybrid Journal   (Followers: 2)
Aquatic Ecology     Hybrid Journal   (Followers: 36, SJR: 0.656, CiteScore: 2)
Aquatic Geochemistry     Hybrid Journal   (Followers: 4, SJR: 0.591, CiteScore: 1)
Aquatic Sciences     Hybrid Journal   (Followers: 13, SJR: 1.109, CiteScore: 3)
Arabian J. for Science and Engineering     Hybrid Journal   (Followers: 5, SJR: 0.303, CiteScore: 1)
Arabian J. of Geosciences     Hybrid Journal   (Followers: 2, SJR: 0.319, CiteScore: 1)
Archaeological and Anthropological Sciences     Hybrid Journal   (Followers: 21, SJR: 1.052, CiteScore: 2)
Archaeologies     Hybrid Journal   (Followers: 12, SJR: 0.224, CiteScore: 0)
Archiv der Mathematik     Hybrid Journal   (Followers: 1, SJR: 0.725, CiteScore: 1)
Archival Science     Hybrid Journal   (Followers: 63, SJR: 0.745, CiteScore: 2)
Archive for History of Exact Sciences     Hybrid Journal   (Followers: 7, SJR: 0.186, CiteScore: 1)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 3, SJR: 0.909, CiteScore: 1)
Archive for Rational Mechanics and Analysis     Hybrid Journal   (SJR: 3.93, CiteScore: 3)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.79, CiteScore: 2)
Archives and Museum Informatics     Hybrid Journal   (Followers: 147, SJR: 0.101, CiteScore: 0)
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 5, SJR: 1.41, CiteScore: 5)
Archives of Dermatological Research     Hybrid Journal   (Followers: 7, SJR: 1.006, CiteScore: 2)
Archives of Environmental Contamination and Toxicology     Hybrid Journal   (Followers: 14, SJR: 0.773, CiteScore: 2)
Archives of Gynecology and Obstetrics     Hybrid Journal   (Followers: 16, SJR: 0.956, CiteScore: 2)
Archives of Microbiology     Hybrid Journal   (Followers: 9, SJR: 0.644, CiteScore: 2)
Archives of Orthopaedic and Trauma Surgery     Hybrid Journal   (Followers: 8, SJR: 1.146, CiteScore: 2)
Archives of Osteoporosis     Hybrid Journal   (Followers: 2, SJR: 0.71, CiteScore: 2)
Archives of Sexual Behavior     Hybrid Journal   (Followers: 10, SJR: 1.493, CiteScore: 3)
Archives of Toxicology     Hybrid Journal   (Followers: 17, SJR: 1.541, CiteScore: 5)
Archives of Virology     Hybrid Journal   (Followers: 5, SJR: 0.973, CiteScore: 2)
Archives of Women's Mental Health     Hybrid Journal   (Followers: 15, SJR: 1.274, CiteScore: 3)
Archivio di Ortopedia e Reumatologia     Hybrid Journal  
Archivum Immunologiae et Therapiae Experimentalis     Hybrid Journal   (Followers: 2, SJR: 0.946, CiteScore: 3)
ArgoSpine News & J.     Hybrid Journal  
Argumentation     Hybrid Journal   (Followers: 6, SJR: 0.349, CiteScore: 1)
Arid Ecosystems     Hybrid Journal   (Followers: 2, SJR: 0.2, CiteScore: 0)
Arkiv för Matematik     Hybrid Journal   (Followers: 1, SJR: 0.766, CiteScore: 1)
Arnold Mathematical J.     Hybrid Journal   (Followers: 1, SJR: 0.355, CiteScore: 0)
Arthropod-Plant Interactions     Hybrid Journal   (Followers: 2, SJR: 0.839, CiteScore: 2)
Arthroskopie     Hybrid Journal   (Followers: 1, SJR: 0.131, CiteScore: 0)
Artificial Intelligence and Law     Hybrid Journal   (Followers: 11, SJR: 0.937, CiteScore: 2)
Artificial Intelligence Review     Hybrid Journal   (Followers: 18, SJR: 0.833, CiteScore: 4)
Artificial Life and Robotics     Hybrid Journal   (Followers: 9, SJR: 0.226, CiteScore: 0)
Asia Europe J.     Hybrid Journal   (Followers: 5, SJR: 0.504, CiteScore: 1)
Asia Pacific Education Review     Hybrid Journal   (Followers: 12, SJR: 0.479, CiteScore: 1)
Asia Pacific J. of Management     Hybrid Journal   (Followers: 16, SJR: 1.185, CiteScore: 2)
Asia-Pacific Education Researcher     Hybrid Journal   (Followers: 13, SJR: 0.353, CiteScore: 1)
Asia-Pacific Financial Markets     Hybrid Journal   (Followers: 2, SJR: 0.187, CiteScore: 0)
Asia-Pacific J. of Atmospheric Sciences     Hybrid Journal   (Followers: 19, SJR: 0.855, CiteScore: 1)
Asian Business & Management     Hybrid Journal   (Followers: 9, SJR: 0.378, CiteScore: 1)
Asian J. of Business Ethics     Hybrid Journal   (Followers: 9)
Asian J. of Criminology     Hybrid Journal   (Followers: 6, SJR: 0.543, CiteScore: 1)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 3, SJR: 0.548, CiteScore: 1)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5, SJR: 0.183, CiteScore: 0)
ästhetische dermatologie & kosmetologie     Full-text available via subscription  
Astronomy and Astrophysics Review     Hybrid Journal   (Followers: 22, SJR: 3.385, CiteScore: 5)

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Journal Cover
Applied Mathematics & Optimization
Journal Prestige (SJR): 0.886
Citation Impact (citeScore): 1
Number of Followers: 9  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1432-0606 - ISSN (Online) 0095-4616
Published by Springer-Verlag Homepage  [2352 journals]
  • On Zero-Sum Optimal Stopping Games
    • Authors: Erhan Bayraktar; Zhou Zhou
      Pages: 457 - 468
      Abstract: On a filtered probability space \((\Omega ,\mathcal {F},P,\mathbb {F}=(\mathcal {F}_t)_{t=0,\ldots ,T})\) , we consider stopping games \(\overline{V}:=\inf _{{\varvec{\rho }}\in \mathbb {T}^{ii}}\sup _{\tau \in \mathcal {T}}\mathbb {E}[U({\varvec{\rho }}(\tau ),\tau )]\) and \(\underline{V}:=\sup _{{\varvec{\tau }}\in \mathbb {T}^i}\inf _{\rho \in \mathcal {T}}\mathbb {E}[U(\rho ,{\varvec{\tau }}(\rho ))]\) in discrete time, where U(s, t) is \(\mathcal {F}_{s\vee t}\) -measurable instead of \(\mathcal {F}_{s\wedge t}\) -measurable as is assumed in the literature on Dynkin games, \(\mathcal {T}\) is the set of stopping times, and \(\mathbb {T}^i\) and \(\mathbb {T}^{ii}\) are sets of mappings from \(\mathcal {T}\) to \(\mathcal {T}\) satisfying certain non-anticipativity conditions. We will see in an example that there is no room for stopping strategies in classical Dynkin games unlike the new stopping game we are introducing. We convert the problems into an alternative Dynkin game, and show that \(\overline{V}=\underline{V}=V\) , where V is the value of the Dynkin game. We also get optimal \({\varvec{\rho }}\in \mathbb {T}^{ii}\) and \({\varvec{\tau }}\in \mathbb {T}^i\) for \(\overline{V}\) and \(\underline{V}\) respectively.
      PubDate: 2018-12-01
      DOI: 10.1007/s00245-017-9412-6
      Issue No: Vol. 78, No. 3 (2018)
       
  • A Comparison Principle for PDEs Arising in Approximate Hedging Problems:
           Application to Bermudan Options
    • Authors: Géraldine Bouveret; Jean-François Chassagneux
      Pages: 469 - 491
      Abstract: In a Markovian framework, we consider the problem of finding the minimal initial value of a controlled process allowing to reach a stochastic target with a given level of expected loss. This question arises typically in approximate hedging problems. The solution to this problem has been characterised by Bouchard et al. (SIAM J Control Optim 48(5):3123–3150, 2009) and is known to solve an Hamilton–Jacobi–Bellman PDE with discontinuous operator. In this paper, we prove a comparison theorem for the corresponding PDE by showing first that it can be rewritten using a continuous operator, in some cases. As an application, we then study the quantile hedging price of Bermudan options in the non-linear case, pursuing the study initiated in Bouchard et al. (J Financial Math 7(1):215–235, 2016).
      PubDate: 2018-12-01
      DOI: 10.1007/s00245-017-9413-5
      Issue No: Vol. 78, No. 3 (2018)
       
  • Erratum to: A Comparison Principle for PDEs Arising in Approximate Hedging
           Problems: Application to Bermudan Options
    • Authors: Géraldine Bouveret; Jean-François Chassagneux
      Pages: 493 - 493
      PubDate: 2018-12-01
      DOI: 10.1007/s00245-017-9438-9
      Issue No: Vol. 78, No. 3 (2018)
       
  • Optimal Control of Treatment Time in a Diffuse Interface Model of Tumor
           Growth
    • Authors: Harald Garcke; Kei Fong Lam; Elisabetta Rocca
      Pages: 495 - 544
      Abstract: We consider an optimal control problem for a diffuse interface model of tumor growth. The state equations couples a Cahn–Hilliard equation and a reaction-diffusion equation, which models the growth of a tumor in the presence of a nutrient and surrounded by host tissue. The introduction of cytotoxic drugs into the system serves to eliminate the tumor cells and in this setting the concentration of the cytotoxic drugs will act as the control variable. Furthermore, we allow the objective functional to depend on a free time variable, which represents the unknown treatment time to be optimized. As a result, we obtain first order necessary optimality conditions for both the cytotoxic concentration and the treatment time.
      PubDate: 2018-12-01
      DOI: 10.1007/s00245-017-9414-4
      Issue No: Vol. 78, No. 3 (2018)
       
  • On a Class of Conserved Phase Field Systems with a Maximal Monotone
           Perturbation
    • Authors: Michele Colturato
      Pages: 545 - 585
      Abstract: We prove existence and regularity for the solutions to a Cahn–Hilliard system describing the phenomenon of phase separation for a material contained in a bounded and regular domain. Since the first equation of the system is perturbed by the presence of an additional maximal monotone operator, we show our results using suitable regularization of the nonlinearities of the problem and performing some a priori estimates which allow us to pass to the limit thanks to compactness and monotonicity arguments. Next, under further assumptions, we deduce a continuous dependence estimate whence the uniqueness property is also achieved. Then, we consider the related sliding mode control (SMC) problem and show that the chosen SMC law forces a suitable linear combination of the temperature and the phase to reach a given (space-dependent) value within finite time.
      PubDate: 2018-12-01
      DOI: 10.1007/s00245-017-9415-3
      Issue No: Vol. 78, No. 3 (2018)
       
  • Zero-Sum Discounted Reward Criterion Games for Piecewise Deterministic
           Markov Processes
    • Authors: O. L. V. Costa; F. Dufour
      Pages: 587 - 611
      Abstract: This papers deals with the zero-sum game with a discounted reward criterion for piecewise deterministic Markov process (PDMPs) in general Borel spaces. The two players can act on the jump rate and transition measure of the process, with the decisions being taken just after a jump of the process. The goal of this paper is to derive conditions for the existence of min–max strategies for the infinite horizon total expected discounted reward function, which is composed of running and boundary parts. The basic idea is, by using the special features of the PDMPs, to re-write the problem via an embedded discrete-time Markov chain associated to the PDMP and re-formulate the problem as a discrete-stage zero sum game problem.
      PubDate: 2018-12-01
      DOI: 10.1007/s00245-017-9416-2
      Issue No: Vol. 78, No. 3 (2018)
       
  • Linear Regularity and Linear Convergence of Projection-Based Methods for
           Solving Convex Feasibility Problems
    • Authors: Xiaopeng Zhao; Kung Fu Ng; Chong Li; Jen-Chih Yao
      Pages: 613 - 641
      Abstract: For a finite/infinite family of closed convex sets with nonempty intersection in Hilbert space, we consider the (bounded) linear regularity property and the linear convergence property of the projection-based methods for solving the convex feasibility problem. Several sufficient conditions are provided to ensure the bounded linear regularity in terms of the interior-point conditions and some finite codimension assumptions. A unified projection method, called Algorithm B-EMOPP, for solving the convex feasibility problem is proposed, and by using the bounded linear regularity, the linear convergence results for this method are established under a new control strategy introduced here.
      PubDate: 2018-12-01
      DOI: 10.1007/s00245-017-9417-1
      Issue No: Vol. 78, No. 3 (2018)
       
  • Optimal Asset Liquidation with Multiplicative Transient Price Impact
    • Authors: Dirk Becherer; Todor Bilarev; Peter Frentrup
      Pages: 643 - 676
      Abstract: We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and non-linear in the order size. We construct explicit solutions for the optimal control and the value function of singular optimal control problems to maximize expected discounted proceeds from liquidating a given asset position. A free boundary problem, describing the optimal control, is solved for two variants of the problem where admissible controls are monotone or of bounded variation.
      PubDate: 2018-12-01
      DOI: 10.1007/s00245-017-9418-0
      Issue No: Vol. 78, No. 3 (2018)
       
  • On the Binomial Approximation of the American Put
    • Authors: Damien Lamberton
      Abstract: We consider the binomial approximation of the American put price in the Black–Scholes model (with continuous dividend yield). Our main result is that the error of approximation is \(O((\ln n )^\alpha /n)\) , where n is the number of time periods and the exponent \(\alpha \) is a positive number, the value of which may differ according to the respective levels of the interest rate and the dividend yield.
      PubDate: 2018-12-13
      DOI: 10.1007/s00245-018-9545-2
       
  • Optimal Control Problem for the Cahn–Hilliard/Allen–Cahn
           Equation with State Constraint
    • Authors: Xiaoli Zhang; Huilai Li; Changchun Liu
      Abstract: In this paper, we consider a distributed optimal control problem for the Cahn–Hilliard/Allen–Cahn equation with state-constraint. The objective is to force the coverage y to have some specified properties or achieve a certain goal. Since the cost functional is discontinuous, together with state constraint, we employ a new penalty functional by the approximation of the cost functional, in this case, we derive the necessary optimality conditions for the approximating optimal control problem. Finally, by considering the limits of the necessary optimality conditions we have obtained, we solve the optimal control problem and derive the necessary optimality conditions.
      PubDate: 2018-12-12
      DOI: 10.1007/s00245-018-9546-1
       
  • Long-Time Behavior for a Class of Semi-linear Viscoelastic Kirchhoff
           Beams/Plates
    • Authors: B. Feng; M. A. Jorge Silva; A. H. Caixeta
      Abstract: This is a complementation work of the paper referred in Jorge Silva, Muñoz Rivera and Racke (Appl Math Optim 73:165–194, 2016) where the authors proposed a semi-linear viscoelastic Kirchhoff plate model. While in [28] it is presented a study on well-posedness and energy decay rates in a historyless memory context, here our main goal is to consider the problem in a past history framework and then analyze its long-time behavior through the corresponding autonomous dynamical system. More specifically, our results are concerned with the existence of finite dimensional attractors as well as their intrinsic properties from the dynamical systems viewpoint. In addition, we also present a physical justification of the model under consideration. Hence, our new achievements complement those established in [28] to the case of memory in a history space setting and extend the results in Jorge Silva and Ma (IMA J Appl Math 78:1130–1146, 2013, J Math Phys 54:021505, 2013) to the case of dissipation only given by the memory term.
      PubDate: 2018-12-11
      DOI: 10.1007/s00245-018-9544-3
       
  • Continuous Dependence and Optimal Control for a Class of
           Variational–Hemivariational Inequalities
    • Authors: Caijing Jiang; Biao Zeng
      Abstract: The paper investigates control problems for a class of nonlinear elliptic variational–hemivariational inequalities with constraint sets. Based on the well posedness of a variational–hemivariational inequality, we prove some results on continuous dependence and existence of optimal pairs to optimal control problems. We obtain some continuous dependence results in which the strong dependence and weak dependence are considered, respectively. A frictional contact problem is given to illustrate our main results.
      PubDate: 2018-12-05
      DOI: 10.1007/s00245-018-9543-4
       
  • Testing and Non-linear Preconditioning of the Proximal Point Method
    • Authors: Tuomo Valkonen
      Abstract: Employing the ideas of non-linear preconditioning and testing of the classical proximal point method, we formalise common arguments in convergence rate and convergence proofs of optimisation methods to the verification of a simple iteration-wise inequality. When applied to fixed point operators, the latter can be seen as a generalisation of firm non-expansivity or the \(\alpha \) -averaged property. The main purpose of this work is to provide the abstract background theory for our companion paper “Block-proximal methods with spatially adapted acceleration”. In the present account we demonstrate the effectiveness of the general approach on several classical algorithms, as well as their stochastic variants. Besides, of course, the proximal point method, these method include the gradient descent, forward–backward splitting, Douglas–Rachford splitting, Newton’s method, as well as several methods for saddle-point problems, such as the Alternating Directions Method of Multipliers, and the Chambolle–Pock method.
      PubDate: 2018-11-28
      DOI: 10.1007/s00245-018-9541-6
       
  • Gradient Weighted Norm Inequalities for Linear Elliptic Equations with
           Discontinuous Coefficients
    • Authors: Karthik Adimurthi; Tadele Mengesha; Nguyen Cong Phuc
      Abstract: Local and global weighted norm estimates involving Muckenhoupt weights are obtained for gradient of solutions to linear elliptic Dirichlet boundary value problems in divergence form over a Lipschitz domain \(\Omega \) . The gradient estimates are obtained in weighted Lebesgue and Lorentz spaces, which also yield estimates in Lorentz–Morrey spaces as well as Hölder continuity of solutions. The significance of the work lies on its applicability to very weak solutions (that belong to \(W^{1,p}_{0}(\Omega )\) for some \(p>1\) but not necessarily in \(W^{1,2}_{0}(\Omega )\) ) to inhomogeneous equations with coefficients that may have discontinuities but have a small mean oscillation. The domain is assumed to have a Lipschitz boundary with small Lipschitz constant and as such allows corners. The approach implemented makes use of localized sharp maximal function estimates as well as known regularity estimates for very weak solutions to the associated homogeneous equations. The estimates are optimal in the sense that they coincide with classical weighted gradient estimates in the event the coefficients are continuous and the domain has smooth boundary.
      PubDate: 2018-11-28
      DOI: 10.1007/s00245-018-9542-5
       
  • Optimal Distributed Control of a Generalized Fractional
           Cahn–Hilliard System
    • Authors: Pierluigi Colli; Gianni Gilardi; Jürgen Sprekels
      Abstract: In the recent paper “Well-posedness and regularity for a generalized fractional Cahn–Hilliard system” by the same authors, general well-posedness results have been established for a class of evolutionary systems of two equations having the structure of a viscous Cahn–Hilliard system, in which nonlinearities of double-well type occur. The operators appearing in the system equations are fractional versions in the spectral sense of general linear operators  A, B  having compact resolvents, which are densely defined, unbounded, selfadjoint, and monotone in a Hilbert space of functions defined in a smooth domain. In this work we complement the results given in the quoted paper by studying a distributed control problem for this evolutionary system. The main difficulty in the analysis is to establish a rigorous Fréchet differentiability result for the associated control-to-state mapping. This seems only to be possible if the state stays bounded, which, in turn, makes it necessary to postulate an additional global boundedness assumption. One typical situation, in which this assumption is satisfied, arises when B is the negative Laplacian with zero Dirichlet boundary conditions and the nonlinearity is smooth with polynomial growth of at most order four. Also a case with logarithmic nonlinearity can be handled. Under the global boundedness assumption, we establish existence and first-order necessary optimality conditions for the optimal control problem in terms of a variational inequality and the associated adjoint state system.
      PubDate: 2018-11-15
      DOI: 10.1007/s00245-018-9540-7
       
  • Positive Zero-Sum Stochastic Games with Countable State and Action Spaces
    • Authors: János Flesch; Arkadi Predtetchinski; William Sudderth
      Abstract: A positive zero-sum stochastic game with countable state and action spaces is shown to have a value if, at every state, at least one player has a finite action space. The proof uses transfinite algorithms to calculate the upper and lower values of the game. We also investigate the existence of ( \(\epsilon \) -)optimal strategies in the classes of stationary and Markov strategies.
      PubDate: 2018-11-01
      DOI: 10.1007/s00245-018-9536-3
       
  • Dynamics of the Nonlinear Timoshenko System with Variable Delay
    • Authors: Xin-Guang Yang; Jing Zhang; Yongjin Lu
      Abstract: This paper is concerned with the wellposedness of global solution and existence of global attractor to the nonlinear Timoshenko system subject to continuous variable time delay in the angular rotation of the beam filament. The waves are assumed to propagate under the same speed in the transversal and angular direction. A single mechanical damping is implemented to counter the destabilizing effect from the time delay term. By imposing appropriate assumptions on the damping term and sub-linear time delay term, we prove the existence of absorbing set and establish the quasi-stability of the gradient system generated from the solution to the system of equation. The quasi-stability property in turn implies the existence of finite dimensional global and exponential attractors that contain the unstable manifold formed from the set of equilibria.
      PubDate: 2018-11-01
      DOI: 10.1007/s00245-018-9539-0
       
  • Determine a Magnetic Schrödinger Operator with a Bounded Magnetic
           Potential from Partial Data in a Slab
    • Authors: Shitao Liu; Yang Yang
      Abstract: We study an inverse boundary value problem with partial data in an infinite slab in \(\mathbb {R}^{n}\) , \(n\ge 3\) , for the magnetic Schrödinger operator with bounded magnetic potential and electric potential. We show that the magnetic field and the electric potential can be uniquely determined, when the Dirichlet and Neumann data are given on either different boundary hyperplanes or on the same boundary hyperplanes of the slab. These generalize the results in Krupchyk et al. (Commun Math Phys 312:87–126, 2012), where the same uniqueness results were established when the magnetic potential is Lipschitz continuous. The proof is based on the complex geometric optics solutions constructed in Krupchyk and Uhlmann (Commun Math Phys 327:993–1009, 2014), which are special solutions to the magnetic Schrödinger equation with \(L^{\infty }\) magnetic and electric potentials in a bounded domain.
      PubDate: 2018-10-30
      DOI: 10.1007/s00245-018-9537-2
       
  • An Approximating Control Design for Optimal Mixing by Stokes Flows
    • Authors: Weiwei Hu
      Abstract: We consider an approximating control design for optimal mixing of a non-dissipative scalar field \(\theta \) in an unsteady Stokes flow. The objective of our approach is to achieve optimal mixing at a given final time \(T>0\) , via the active control of the flow velocity v through boundary inputs. Due to zero diffusivity of the scalar field \(\theta \) , establishing the well-posedness of its Gâteaux derivative requires \(\sup _{t\in [0,T]}\Vert \nabla \theta \Vert _{L^2}<\infty \) , which in turn demands the flow velocity field to satisfy the condition \(\int ^{T}_{0}\Vert \nabla v\Vert _{L^{\infty }(\Omega )}\, dt<\infty \) . This condition results in the need to penalize the time derivative of the boundary control in the cost functional. Consequently, the optimality system becomes difficult to solve (Hu in Appl Math Optim 78(1):201–217, 2018). Our current approximating approach provides a more transparent optimality system, with the set of admissible controls square integrable in space-time. This is achieved by first introducing a small diffusivity to the scalar equation and then establishing a rigorous analysis of convergence of the approximating control problem to the original one as the diffusivity approaches to zero. Uniqueness of the optimal solution is obtained for the two dimensional case.
      PubDate: 2018-10-30
      DOI: 10.1007/s00245-018-9535-4
       
  • Optimal Distributed Control of an Extended Model of Tumor Growth with
           Logarithmic Potential
    • Authors: Andrea Signori
      Abstract: This paper is intended to tackle the control problem associated with an extended phase field system of Cahn–Hilliard type that is related to a tumor growth model. This system has been investigated in previous contributions from the viewpoint of well-posedness and asymptotic analyses. Here, we aim to extend the mathematical studies around this system by introducing a control variable and handling the corresponding control problem. We try to keep the potential as general as possible, focusing our investigation towards singular potentials, such as the logarithmic one. We establish the existence of optimal control, the Lipschitz continuity of the control-to-state mapping and even its Fréchet differentiability in suitable Banach spaces. Moreover, we derive the first-order necessary conditions that an optimal control has to satisfy.
      PubDate: 2018-10-30
      DOI: 10.1007/s00245-018-9538-1
       
 
 
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