arXiv subjects

Ho Man Tai

Publications and source records attributed to Ho Man Tai.

8 recordsLinked to original sources

arXiv2026

Consumption and Investment in Incomplete Markets with Epstein-Zin Preferences in Infinite Horizon

We solve the optimal consumption-investment problem in incomplete markets, where the investor aims to maximise an Epstein-Zin type stochastic differential utility from consumption over an infinite time horizon. We verify that the optimal strategies can be characterised by the limit of a sequence of solutions of the HJB equation in bounded domains with carefully designed boundary conditions. We also conduct numerical experiments for three market models. Explicit solutions are constructed under some parameter regimes.

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arXiv2026

Local Exact Controllability of Landau-Lifshitz-Gilbert Equation

We prove a local exact controllability result for controlled Landau--Lifshitz--Gilbert equations on $\mathbb T^2$: if the initial energy is sufficiently small, then for any terminal time $T>0$, there is a localised external magnetic field such that the system can be steered exactly to the terminal value of any nearby uncontrolled trajectory. We first transform the equation to a quasilinear parabolic system on $\mathbb R^2$ by a suitable stereographic chart. Then the Carleman estimate is established for the linearised system through a decomposition adapted to the self-adjoint and skew-adjoint structure of the conjugated adjoint operator. This yields observability and $L^\infty$-null controllability for the linearised system. The nonlinear projected equation is then recovered by a Kakutani fixed-point argument. We also obtain a semi-global controllability result under a hemisphere condition.

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arXiv2026

Planar Degenerate Anchoring in Landau-de Gennes Energy

The aim of this article is twofold. First, in the large-body limit and when the temperature is below the nematic-isotropic transition threshold, we verify that the $\mathbb{S}^2$-valued energy-minimizing harmonic map on a bounded smooth domain $\Omega \subset \mathbb{R}^3$ with tangential boundary condition is a singular limit of the Landau-de Gennes energy minimizers subject to the Fournier-Galatola planar degenerate anchoring [22]. This harmonic map is referred to as the canonical harmonic map. Our second aim is to address the local structure of the canonical harmonic map near the boundary singularities, which we call boojums. We show that the tangent map of the canonical harmonic map near a boojum is uniquely characterized by a half bubble with a hedgehog or an anti-hedgehog structure, up to a planar rotation. Comparing to the interior counterpart studied by Brezis-Coron-Lieb in [7], for which the full SO(3) group action can be applied to the tangent map near an interior singularity, we can only apply planar rotations to the tangent map near a boojum to maintain the tangential boundary condition. The degeneracy of the group action from SO(3) to SO(2) makes it challenging to investigate the local structure of the boojum singularity. On the other hand, the boundary condition for the half bubble is Dirichlet on the curved boundary and tangential on the flat boundary. We need to extend the Schoen-Uhlenbeck bubbling analysis in [45,46] for energy-minimizing harmonic maps with Dirichlet boundary conditions to our current case with the mixed-type boundary conditions.

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arXiv2025

Optimal Matching Strategies in Two-sided Markets: A Mean Field Approach

This paper develops a mean field game framework for dynamic two-sided matching markets, extending existing matching theory by integrating micro-macro dynamics in two-sided environments. Unlike traditional matching models focusing on static equilibrium or unilateral optimization, our framework simultaneously captures dynamic interactions and strategic behaviors of both market sides, as well as the equilibrium. We model two types of agents who meet each other via Poisson processes and make simultaneous matching decisions to maximize their respective objective functionals, and find the corresponding equilibrium. Our approach formulates the equilibrium as a fully coupled Hamilton-Jacobi-Bellman and Fokker-Planck system with nonlocal structure coupling two distinct populations. The mathematical analysis addresses significant challenges from the dual-layered coupling structure and nonlocal structure. We also provide insights into individual behaviors shaping aggregate patterns in labor markets through numerical experiments.

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arXiv2025

Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space

In this paper, we show that the value functions of mean field control problems with common noise are the unique viscosity solutions to fully second-order Hamilton-Jacobi-Bellman equations, in a Crandall-Lions-like framework. We allow the second-order derivative in measure to be state-dependent and thus infinite-dimensional, rather than derived from a finite-dimensional operator, hence the term ''fully''. Our argument leverages the construction of smooth approximations from particle systems developed by Cosso, Gozzi, Kharroubi, Pham, and Rosestolato [Trans. Amer. Math. Soc., 2023], and the compactness argument via penalization of measure moments in Soner and Yan [Appl. Math. Optim., 2024]. Our work addresses unbounded dynamics and state-dependent common noise volatility, and to our knowledge, this is the first result of its kind in the literature.

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arXiv2024

A Control Theoretical Approach to Mean Field Games and Associated Master Equations

We prove the global-in-time well-posedness for a broad class of mean field game problems, which is beyond the special linear-quadratic setting, as long as the mean field sensitivity is not too large. Through the stochastic maximum principle, we adopt the FBSDE approach to investigate the unique existence of the corresponding equilibrium strategies. The corresponding FBSDEs are first solved locally in time, then by controlling the sensitivity of the backward solutions with respect to the initial condition via some suitable apriori estimates for the corresponding Jacobian flows, the global-in-time solution is warranted. Further analysis on these Jacobian flows will be discussed to establish the regularities, such as linear functional differentiability, of the respective value functions that leads to the ultimate classical well-posedness of the master equation on $\mathbb{R}^d$. To the best of our knowledge, it is the first article to deal with the mean field game problem, as well as its associated master equation, with general cost functionals having quadratic growth under the small mean field effect. In this current approach, we directly impose the structural conditions on the cost functionals, rather than conditions on the Hamiltonian. The advantages of this are threefold: (i) compared with imposing conditions on Hamiltonian, the structural conditions imposed in this work are easily verified, and less demanding on the regularity requirements of the cost functionals while solving the master equation; (ii) the displacement monotonicity is basically just a direct consequence of small mean field effect in the structural conditions; and (iii) when the mean field effect is not that small, we can still provide an accurate lifespan for the local existence. The method in this work can be readily extended to the case with nonlinear drift and non-separable cost functionals.

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arXiv2023

Viscosity Solutions of a class of Second Order Hamilton-Jacobi-Bellman Equations in the Wasserstein Space

This paper is devoted to solving a class of second order Hamilton-Jacobi-Bellman (HJB) equations in the Wasserstein space, associated with mean field control problems involving common noise. The well-posedness of viscosity solutions to the HJB equation under a new notion is established under general assumptions on the coefficients. Our approach adopts the smooth metric developed by Bayraktar, Ekren, and Zhang [Proc. Amer. Math. Soc. (2023)] as our gauge function for the purpose of smooth variational principle used in the proof of comparison theorem. Further estimates and regularity of the metric, including a novel second order derivative estimate with respect to the measure variable, are derived in order to ensure the uniqueness and existence.

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arXiv2023

Mean Field Type Control Problems, Some Hilbert-space-valued FBSDEs, and Related Equations

In this article, we provide an original systematic global-in-time analysis of mean field type control problems on $\mathbb{R}^n$ with generic cost functionals by the modified approach but not the same, firstly proposed in [7], as the ``lifting'' idea introduced by P. L. Lions. As an alternative to the recent popular analytical method by tackling the master equation, we resolve the control problem in a certain proper Hilbert subspace of the whole space of $L^2$ random variables, it can be regarded as tangent space attached at the initial probability measure. The present work also fills the gap of the global-in-time solvability and extends the previous works of [7,11] which only dealt with quadratic cost functionals in control; the problem is linked to the global solvability of the Hilbert-space-valued forward-backward stochastic differential equation (FBSDE), which is solved by variational techniques here. We also rely on the Jacobian flow of the solution to this FBSDE to establish the regularities of the value function, including its linearly functional differentiability, which leads to the classical well-posedness of the Bellman equation. Together with the linear functional derivatives and the gradient of the linear functional derivatives of the solution to the FBSDE, we also obtain the classical well-posedness of the master equation.

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