### 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.

We consider certain spaces of functions on the circle, which naturally appear in harmonic analysis, and superposition operators on these spaces. We study the following question: which functions have the property that each their superposition with a homeomorphism of the circle belongs to a given space? We also study the multidimensional case.

We consider the spaces of functions on the m-dimensional torus, whose Fourier transform is p -summable. We obtain estimates for the norms of the exponential functions deformed by a C1 -smooth phase. The results generalize to the multidimensional case the one-dimensional results obtained by the author earlier in “Quantitative estimates in the Beurling—Helson theorem”, Sbornik: Mathematics, 201:12 (2010), 1811 – 1836.

We consider the spaces of function on the circle whose Fourier transform is p-summable. We obtain estimates for the norms of exponential functions deformed by a C1 -smooth phase.