Controlled mean-field backward stochastic differential equations with jumps involving the value function

This paper discusses mean-field backward stochastic differential equations (mean-field BSDEs) with jumps and a new type of controlled mean-field BSDEs with jumps, namely mean-field BSDEs with jumps strongly coupled with the value function of the associated control problem. The authors first prove the existence and the uniqueness as well as a comparison theorem for the above two types of BSDEs. For this the authors use an approximation method. Then, with the help of the notion of stochastic backward semigroups introduced by Peng in 1997, the authors get the dynamic programming principle (DPP) for the value functions. Furthermore, the authors prove that the value function is a viscosity solution of the associated nonlocal Hamilton-Jacobi-Bellman (HJB) integro-partial differential equation, which is unique in an adequate space of continuous functions introduced by Barles, et al. in 1997.     

A BSDE Approach to Stochastic Differential Games Involving Impulse Controls and HJBI Equation

This paper focuses on zero-sum stochastic differential games in the framework of forward-backward stochastic differential equations on a finite time horizon with both players adopting impulse controls. By means of BSDE methods, in particular that of the notion from Peng’s stochastic backward semigroups, the authors prove a dynamic programming principle for both the upper and the lower value functions of the game. The upper and the lower value functions are then shown to be the unique viscosity solutions of the Hamilton-Jacobi-Bellman-Isaacs equations with a double-obstacle. As a consequence, the uniqueness implies that the upper and lower value functions coincide and the game admits a value.

     

LROTH''''S THEOREM IN DIFFERENTIAL FIELDS

In this paper, we present a constructive proof of Luroth's theorem in differential case. We also give a method to find the inversion maps for general differential rational parametric equations. As a consequence, we prove that a differential rational curve always has a set of proper parametric equations.     

Backward stochastic viability and related properties on Z for BSDEs with applications

This paper investigates some important properties of Z,the martingale integrant of the backward stochastic differential equations,which is the second process of the solution.These include the backward stochastic viability property,bounded property and the comparison theorem.To explain the theoretical results,the authors apply them to study a financial contingent claim pricing problem. The replication portfolio process can be characterized clearly.     

A Class of Jump-Diffusion Stochastic Differential System Under Markovian Switching and Analytical Properties of Solutions

Our article discusses a class of Jump-diffusion stochastic differential system under Markovian switching(JD-SDS-MS). This model is generated by introducing Poisson process and Markovian switching based on a normal stochastic differential equation. Our work dedicates to analytical properties of solutions to this model. First, we give some properties of the solution, including existence,uniqueness, non-negative and global nature. Next, boundedness of first moment of the solution to this model is considered. Third, properties about coefficients of JD-SDS-MS is proved by using a right continuous markov chain. Last, we study the convergence of Euler-Maruyama numerical solutions and apply it to pricing bonds.     

Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes

In this paper, the authors first study two kinds of stochastic differential equations (SDEs) with Lévy processes as noise source. Based on the existence and uniqueness of the solutions of these SDEs and multi-dimensional backward stochastic differential equations (BSDEs) driven by Lévy processes, the authors proceed to study a stochastic linear quadratic (LQ) optimal control problem with a Lévy process, where the cost weighting matrices of the state and control are allowed to be indefinite. One kind of new stochastic Riccati equation that involves equality and inequality constraints is derived from the idea of square completion and its solvability is proved to be sufficient for the well-posedness and the existence of optimal control which can be of either state feedback or open-loop form of the LQ problems. Moreover, the authors obtain the existence and uniqueness of the solution to the Riccati equation for some special cases. Finally, two examples are presented to illustrate these theoretical results. This work was supported by the National Basic Research Program of China (973 Program) under Grant No. 2007CB814904, the Natural Science Foundation of China under Grant No. 10671112 and Shandong Province under Grant No. Z2006A01, and Research Fund for the Doctoral Program of Higher Education of China under Grant No. 20060422018.     

H 2/H ∞ control problems of backward stochastic systems

This paper is concerned with the mixed H2/H∞ control problem for a new class of stochastic systems with exogenous disturbance signal.The most distinguishing feature,compared with the existing literatures,is that the systems are described by linear backward stochastic differential equations（BSDEs）.The solution to this problem is obtained completely and explicitly by using an approach which is based primarily on the completion-of-squares technique.Two equivalent expressions for the H2/H∞ control are presented.Contrary to forward deterministic and stochastic cases,the solution to the backward stochastic H2/H∞ control is no longer feedback of the current state;rather,it is feedback of the entire history of the state.     

Construction of continuous time Markovian arrival processes

Markovian arrival processes were introduced by Neuts in 1979 (Neuts 1979) and have been used extensively in the stochastic modeling of queueing, inventory, reliability, risk, and telecommunications systems. In this paper, we introduce a constructive approach to define continuous time Markovian arrival processes. The construction is based on Poisson processes, and is simple and intuitive. Such a construction makes it easy to interpret the parameters of Markovian arrival processes. The construction also makes it possible to establish rigorously basic equations, such as Kolmogorov differential equations, for Markovian arrival processes, using only elementary properties of exponential distributions and Poisson processes. In addition, the approach can be used to construct continuous time Markov chains with a finite number of states     

Well-Posedness of Fully Coupled Linear Forward-Backward Stochastic Differential Equations

This paper studies the well-posedness of fully coupled linear forward-backward stochastic differential equations(FBSDEs). The authors introduce two main methods-the method of continuation under monotonicity conditions and the unified approach-to ensure the existence and uniqueness of solutions of fully coupled linear FBSDEs. The authors show that the first method(the method of continuation under monotonicity conditions) can be deduced as a special case of the second method(the unified approach). An example is given to illustrate it in linear FBSDEs case. And then, a linear transformation method in virtue of the non-degeneracy of transformation matrix is introduced for cases that the linear FBSDEs can not be dealt with by the the method of continuation under monotonicity conditions and the unified approach directly. As a powerful supplement to the the method of continuation under monotonicity conditions and the unified approach, linear transformation method overall develops the well-posedness theory of fully coupled linear forward-backward stochastic differential equations which have potential applications in optimal control and partial differential equation theory.     

Recent progress on controllability/observability for systems governed by partial differential equations

<正> The main purpose of this paper is to overview some recent methods and results on controllability/observability problems for systems governed by partial differential equations.First,the authorsreview the theory for linear partial differential equations,including the iteration method for the nullcontrollability of the time-invariant heat equation and the Rellich-type multiplier method for the exactcontrollability of the time-invariant wave equation,and especially a unified controllability/observabilitytheory for parabolic and hyperbolic equations based on a global Carleman estimate.Then,the authorspresent sharp global controllability results for both semi-linear parabolic and hyperbolic equations,based on linearization approach,sharp observability estimates for the corresponding linearized systemsand the fixed point argument.Finally,the authors survey the local null controllability resultfor a class of quasilinear parabolic equations based on the global Carleman estimate,and the localexact controllability result for general hyperbolic equations based on a new unbounded perturbationtechnique.     

Rational general solutions of higher order algebraic odes

This paper generalizes the method of Ngô and Winkler (2010, 2011) for finding rational general solutions of a first order non-autonomous algebraic ordinary differential equation (AODE) to the case of a higher order AODE, provided a proper parametrization of its solution hypersurface. The authors reduce the problem of finding the rational general solution of a higher order AODE to finding the rational general solution of an associated system. The rational general solutions of the original AODE and its associated system are in computable 1-1 correspondence. The authors give necessary and sufficient conditions for the associated system to have a rational solution based on proper reparametrization of invariant algebraic space curves. The authors also relate invariant space curves to first integrals and characterize rationally solvable systems by rational first integrals.     

An augmented BV setting for feedback switching control

<正> This paper considers dynamical systems under feedback with control actions limited toswitching.The authors wish to understand the closed-loop systems as approximating multi-scale problemsin which the implementation of switching merely acts on a fast scale.Such hybrid dynamicalsystems are extensively studied in the literature,but not much so far for feedback with partial stateobservation.This becomes in particular relevant when the dynamical systems are governed by partialdifferential equations.The authors introduce an augmented BV setting which permits recognition ofcertain fast scale effects and give a corresponding well-posedness result for observations with such minimalregularity.As an application for this setting,the authors show existence of solutions for systemsof semilinear hyperbolic equations under such feedback with pointwise observations.     

Optimal control of multisolution ordinary differential equations in the absence of convexity

<正> In this paper,the authors study an optimal control problem governed by a class of multistateordinary differential equations in the absence of convexity.To overcome the difficulty that thecorresponding approximate optimal control problem may have no solution,relaxed controls are introduced.With the help of relaxation theory,Pontryagin's maximum principle for the optimal pairs ofthe original control problem is obtained.In the end of this paper,the authors discuss the applicationof the maximum principle by an example.     

OBSERVING THE HEAT EQUATION ON A TORUS ALONG A DENSE GEODESIC

Several authors have considered observability problems for the heat equation and relatedpartial differential equations.A basic problem is to determine what kinds of sampling providesufficient information to uniquely determine the initial heat distribntion.We address the case wherethe temperature is measured while travelling along a curve.We consider the special case where the space is a flat torus(of arbitrary dimension)and thecurve is a geodesic.It is shown that,in this case,the observed temperature is sufficient informationto uniquely determine the initial heat distribution if and only if the geodesic is dense in the torus.In the case of a torus,Fourier analysis techniques can be used to write down the solution of theheat equation.This allows us to derive an explicit representation of the observed temperature interms of the initial distribution.We use this representation and some ideas from the theory ofalmost periodic functions to show that the Fourier coefficients of the initial distribution can berecovered from the observation.     

效能评估ADC模型中可信赖度矩阵算法探讨

ADC模型是目前评价复杂武器系统效能的标准方法,在实践中得到了广泛应用.但多数应用中可信赖度矩阵计算过于简化,致使效能评估结果误差较大.为了提高模型的有效性和可信度,将武器系统在执行任务后任意时刻处于某种状态看作是一个随机过程,应用连续时间齐次马尔可夫链的柯尔莫哥洛夫向前和向后方程建立可信赖度矩阵计算模型,求解矩阵微分方程得到转移概率.最后,以某型近程地空导弹武器系统效能评估为应用背景,给出了应用案例,验证了模型的有效性,并提出了进一步研究的方向.     

A maximum principle for general backward stochastic differential equation

In this paper, the authors consider a stochastic control problem where the system is governed by a general backward stochastic differential equation. The control domain need not be convex, and the diffusion coefficient can contain a control variable. The authors obtain a stochastic maximum principle for the optimal control of this problem by virtue of the second-order duality method.     

Distributed Nonsmooth Convex Optimization over Markovian Switching Random Networks with Two Step-Sizes

This paper investigates the distributed convex optimization problem over a multi-agent system with Markovian switching communication networks. The objective function is the sum of each agent's local nonsmooth objective function, which cannot be known by other agents. The communication network is assumed to switch over a set of weight-balanced directed graphs with a Markovian property. The authors propose a consensus sub-gradient algorithm with two time-scale step-sizes to handle the Markovian switching topologies and the absence of global gradient information. With proper selection of step-sizes, the authors prove the almost sure convergence of all agents' local estimates to the same optimal solution when the union graph of the Markovian network' states is strongly connected and the Markovian chain is irreducible. The convergence rate analysis is also given for specific cases.Simulations are given to demonstrate the results.     

一类组合两步连续RK-Rosenbrock方法

对于一个大的刚性延迟微分方程系统,除了延迟分量给予系统影响外,还常常会出现系统的解分量有的变化很快,而有的变化很慢的情况。此时,可以把大的刚性延迟微分方程系统分解成为两个耦合的子系统,一个是描述系统快变部分的刚性延迟子系统,另一个是描述系统慢变部分的非刚性延迟子系统。对于分解的刚性延迟微分方程大系统,构造了一类用于求解刚性延迟微分方程的组合两步连续RK-Rosenbrock方法,讨论了方法的构造,方法的阶条件,证明了方法的收敛性,分析了方法的稳定性,数值试验表明方法是有效的。     

Rational Solutions of High-Order Algebraic Ordinary Differential Equations

This paper considers algebraic ordinary differential equations(AODEs) and study their polynomial and rational solutions. The authors first prove a sufficient condition for the existence of a bound on the degree of the possible polynomial solutions to an AODE. An AODE satisfying this condition is called noncritical. Then the authors prove that some common classes of low-order AODEs are noncritical. For rational solutions, the authors determine a class of AODEs, which are called maximally comparable, such that the possible poles of any rational solutions are recognizable from their coefficients. This generalizes the well-known fact that any pole of rational solutions to a linear ODE is contained in the set of zeros of its leading coefficient. Finally, the authors develop an algorithm to compute all rational solutions of certain maximally comparable AODEs, which is applicable to 78.54% of the AODEs in Kamke's collection of standard differential equations.     

基于BSSDEs的一般跳过程的可违约期权的定价模型

本文采用均值-方差对冲方法, 对具有一般跳过程, 存在违约风险的期权定价做了深入研究, 首先建立了基于违约过程的半鞅的鞅表示定理, 其次定义最优方差鞅测度并构建两个倒向半鞅随机微分方程, 然后找出使成本函数最小的最优投资策略, 从而给出其定价公式. 本文的主要贡献在于首次给出了可违约半鞅过程的倒向随机半鞅微分方程, 并且给出了具有一般跳过程的可违约期权的定价公式, 具有一定的理论意义.