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Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with instantaneous reflection at 0 and 1 to travel to $1$ and then return to the origin (the so-called commute time from 0 to 1). Substantially extending results in a previous paper, we consider a dynamic version of this problem where the control mechanism is related to the diffusion's drift via the corresponding scale function. We are only able to choose the drift at each point at the time of first visiting that point and the drift is constrained on a set of the form $[0,\ell)\cup(i,1]$. This leads to a type of stochastic control problem with infinite dimensional state.

We study a semilinear elliptic equation with a pure power nonlinearity with exponent $p>1$, and provide sufficient conditions for the existence of positive solutions. These conditions involve expected exit times from the domain, $D$, where a solution is defined, and expected occupation times in suitable subdomains of $D$. They provide an alternative new approach to the geometric or topological sufficient conditions given in the literature for exponents close to the critical Sobolev exponent. Moreover, unlike standard results, in our probabilistic approach no \emph{a priori} upper bound restriction is imposed on $p$, which might be supercritical. The proof is based on a fixed point argument using a probabilistic representation formula. We also prove a multiplicity result and discuss possible extensions to the existence of sign changing solutions. Finally, we conjecture that necessary conditions for the existence of solutions might be obtained using a similar probabilistic approach. This motivates a series of natural questions related to the characterisation of topological and geometrical properties of a domain in probabilistic terms., Comment: 13 pages

{Consider a c\`adl\`ag local martingale $M$ with square brackets $[M]$. In this paper, we provide upper and lower bounds for expectations of the type ${\mathbb E} [M]^{q/2}_{\tau}$, for any stopping time $\tau$ and $q\ge 2$, in terms of predictable processes. This result can be thought of as a Burkholder-Davis-Gundy type inequality in the sense that it can be used to relate the expectation of the running maximum $|M^*|^q$ to the expectation of the dual previsible projections of the relevant powers of the associated jumps of $M$. The case for a class of moderate functions is also discussed., Comment: 8 pages

We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework is given as an abstract "martingale formulation", which encompasses a broad range of standard control problems. Under appropriate conditions we show that the set of admissible controls gives rise to a certain class of controlled special semimartingales. Our results generalise both the standard controlled It\^o- and L\'evy-diffusion settings as we allow ourselves to locally control not only the drift and diffusion coefficients, but also the jump intensity measure of the jumps. As an illustration, we present a few examples with explicit solutions.

In this paper we study the varieties of nilpotent Lie superalgebras of dimension $\leq 5$. We provide the algebraic classification of these superalgebras and obtain the irreducible components in every variety. As a by product we construct rigid nilpotent Lie superalgebras of arbitrary dimension.