3 papers
math.AP2014
Backward Ornstein-Uhlenbeck transition operators and mild solutions of non-autonomous Hamilton-Jacobi equations in Banach spaces
Rafael Serrano
In this paper we revisit the mild-solution approach to second-order semi-linear PDEs of Hamilton-Jacobi type in infinite-dimensional spaces. We show that a well-known result on exi…
q-fin.PM2014
Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
Oscar Lopez, Rafael Serrano
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching)…
math.PR2014
A note on space-time Holder regularity of mild solutions to stochastic Cauchy problems in Lp-spaces
Rafael Serrano
This paper revisits the Hölder regularity of mild solutions of parabolic stochastic Cauchy problems in Lebesgue spaces with and $\mathcal{O}\subset\ma…