Preface These are the extended version of the Cattedra Galileiana I gave in April 2003 in Scuola Normale, Pisa. I am grateful to the Society of Amici della Scuola Normale for the funding and to Professors Maurizio Pratelli, Marzia De Donno and Paulo Guasoni for organizing these lectures and their hospitality. In these notes, I give a very quick introduction to stochastic optimal control and the...

Important aspects in the field of microrheology are studies of the viscosity of fluids within structures with micrometer dimensions and fluid samples where only microliter volumes are available. We have quantitatively investigated the performance and accuracy of a microviscometer based on rotating optical tweezers, which requires as little as one microliter of sample. We have characterized our ...

We prove suband superoptimality principles of dynamic programming and show how to use the theory of viscosity solutions to construct almost optimal strategies for two-player, zero-sum differential games driven by abstract evolution equations in Hilbert spaces.

Abstract. In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential equations. We will give the dynamic programming principle for this kind of optimal control problem and show that the value function is the unique visco...

We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partial differential equations (IPDEs) related to stochastic optimal switching and control problems or stochastic games. In the case of stochastic optimal switching and control, we prove via dynamic programming methods that the value function is a viscosity solution of the IPDEs. In our setting the val...

An iterative solution to the inverse problem of elasticity and viscosity is proposed in this paper. A new dynamic finite element model that is consistent with known rheological models has been derived to account for the viscoelastic changes in soft tissue. The model assumes known lumped masses at the nodes, and comprises two vectors of elasticity and viscosity parameters that depend on the mate...

In this paper we study a minimum time problem for a hybrid system subject to thermostatic switchings. We apply the Dynamic Programming method and the viscosity solution theory of Hamilton-Jacobi equations. We regard the problem as a suitable coupling of two minimumtime/exit-time problems. Under some controllability conditions, we prove that the minimum time function is the unique bounded below ...

HJ equations have a long history, dating back at least to the calculus of variations of the 19th century, and HJ equations find wide application in science, engineering, etc. Perhaps surprisingly, it was only relatively recently that a satisfactory general notion of solutions for (1) became available, with the introduction of the concept of viscosity solution (Crandall-Lions, c. 1980). The diff...

We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before the effective execution of the first one. This is motivated by financial applications in the trading of illiquid assets such as hedge funds. We show that the ...

This paper treats a finite time horizon optimal control problem in which the controlled state dynamics is governed by a general system of stochastic functional differential equations with a bounded memory. An infinite-dimensional HJB equation is derived using a Bellman-type dynamic programming principle. It is shown that the value function is the unique viscosity solution of the HJB equation.