### Working paper

## Finite element error analysis for measure-valued optimal control problems governed by a 1D wave equation with variable coefficients

The chapter studies a dynamic risk model defined on infinite time interval, where both insurance and per-claim reinsurance policies are chosen by the insurer in order to minimize a functional of the form of variation coefficient under constraints imposed with probability one on insured's and reinsurer's risks. We show that the optimum is achieved at constant policies, the optimal reinsurance is a partial stop loss reinsurance and the optimal insurance is a combination of stop loss and deductible policies. The results are illustrated by a numerical example involving uniformly distributed claim sizes.

We consider the time-dependent 1D Schrödinger equation on the half-axis with variable coefficients becoming constant for large x. We study a two-level symmetric in time (i.e. the Crank-Nicolson) and any order finite element in space numerical method to solve it. The method is coupled to an approximate transparent boundary condition (TBC). We prove uniform in time stability with respect to initial data and a free term in two norms, under suitable conditions on an operator in the approximate TBC. We also consider the corresponding method on an infinite mesh on the half-axis. We derive explicitly the discrete TBC allowing us to restrict the latter method to a finite mesh. The operator in the discrete TBC is a discrete convolution in time; in turn its kernel is a multiple discrete convolution. The stability conditions are justified for it. The accomplished computations confirm that high order finite elements coupled to the discrete TBC are effective even in the case of highly oscillating solutions and discontinuous potentials.

The study is carried out by the first author within The National Research University Higher School of Economics' Academic Fund Program in 2012-2013, research grant No. 11-01-0051.

The boundary controllability of oscillations of a plane membrane is studied. The magnitude of the control is bounded. The controllability problem of driving the membrane to rest is considered. The method of proof proposed in this paper can be applied to any dimension but only the two-dimen- sional case is considered for simplicity.

Book include abstracts of reports presented at the IX International Conference on Optimization Methods and Applications "Optimization and applications" (OPTIMA-2018) held in Petrovac, Montenegro, October 1 - October 5, 2018.

Proceedings include extended abstracts of reports presented at the III International Conference on Optimization Methods and Applications “Optimization and application” (OPTIMA-2012) held in Costa da Caparica, Portugal, September 23—30, 2012.

Asset liability management has received much attention lately among other financial mathematics problems. Optimal investment with constraints is a distinctive feature of this class of problems. The paper presents solution of the constrained optimal control problem for a specific market model and optimal criterion. The proposed model has correlated dynamics of assets in a general form and allows for a closed form solution of the problem.

This proceedings publication is a compilation of selected contributions from the “Third International Conference on the Dynamics of Information Systems” which took place at the University of Florida, Gainesville, February 16–18, 2011. The purpose of this conference was to bring together scientists and engineers from industry, government, and academia in order to exchange new discoveries and results in a broad range of topics relevant to the theory and practice of dynamics of information systems. Dynamics of Information Systems: Mathematical Foundation presents state-of-the art research and is intended for graduate students and researchers interested in some of the most recent discoveries in information theory and dynamical systems. Scientists in other disciplines may also benefit from the applications of new developments to their own area of study.