A nonsmooth approach to nonexpected utility theory under risk

We consider concave and Lipschitz continuous preference functionals over monetary lotteries. We show that they possess an envelope representation, as the minimum of a bounded family of continuous vN-M preference functionals. This allows us to use an envelope theorem to show that results from local utility analysis still hold in our setting, without any further differentiability assumptions on the preference functionals. Finally, we provide an axiomatisation of a class of concave preference functionals that are Lipschitz.     

Representation of preference orderings on Lp -spaces by integral functionals: discounting,continuity and TAS utility

This paper presents an axiomatic approach in a continuous time framework for representing preference orderings on L^p -spaces in terms of integral functionals. We show that if preference orderings on L^p -spaces satisfy continuity, separability, sensitivity, substitutability, additivity and lower boundedness, then there exists a utility function for the preference orderings such that the utility function is an integral functional with an upper semicontinuous integrand satisfying the growth condition. Moreover, if the preference orderings satisfy the continuity with respect to the weak topology of L^p -spaces, then the integrand is a concave integrand. As a result, time additive separable (TAS) utility functions with constant discount rates are obtained. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Differentiability of p-Harmonic Functions on Metric Measure Spaces

We study p-harmonic functions on metric measure spaces, which are formulated as minimizers to certain energy functionals. For spaces supporting a p-Poincaré inequality, we show that such functions satisfy an infinitesmal Lipschitz condition almost everywhere. This result is essentially sharp, since there are examples of metric spaces and p-harmonic functions that fail to be locally Lipschitz continuous on them. As a consequence of our main theorem, we show that p-harmonic functions also satisfy a generalized differentiability property almost everywhere, in the sense of Cheeger’s measurable differentiable structures.     

多重积分Nash平衡点的Lipschitz估计

设F（p，q）和G（p，q）在无穷远点的邻域内是分别关于p和q的近似凸函数，且具有二次增长．考虑由F和G构成的一对定义在Soblev空间中的泛函．本文利用blowup技巧，证明了这样一对泛函的Nash平衡点实际上是Lipschitz连续的．     

On a nonlinear heat equation with functional dependence

We reduce the Cauchy problem for a heat equation with the nonlinear right-hand side which depends on some functionals to an equivalent integral equation. Considering mainly Banach spaces of continuous, bounded and exponentially bounded functions, we give some natural sufficient conditions for the existence and uniqueness of solutions to these equations. We give a counterexample which shows that the Lipschitz condition is, in general, insufficient for the Cauchy problem with unbounded data and with functional dependence to guarantee an existence result     

Stability of the Lipschitz extension property under metric transforms

We show that the linear and nonlinear Lipschitz extension properties of a metric space are not changed when the original metric is replaced by a new metric obtained by composition with an arbitrary concave function. Submitted: January 2001, Revised: February 2001.     

Note on Vector Translation with Respect to Thompson’s Metric

It is known that vector translations are contractive with respect to Thompson’s part metric. Here, we give a simple proof, based on a representation of Thompson’s metric through positive functionals. Moreover, we use contractivity of translations to prove a fixed point result for mappings that are Lipschitz continuous with respect to Thompson’s metric with Lipschitz constant r>1. The case r = 1 for order preserving or order reversing mappings has been recently studied by Lawson and Lim. We apply our result to a nonlinear boundary value problem.     

Deformation in locally convex topological linear spaces

We are concerned with a deformation theory in locally convex topological linear spaces. A special "nice" partition of unity is given. This enables us to construct certain vector fields which are locally Lipschitz continuous with respect to the locally convex topology. The existence, uniqueness and continuous dependence of flows associated to the vector fields are established. Deformations related to strongly indefinite functionals are then obtained. Finally, as applications, we prove some abstract critical point theorems.     

Approximation of o-minimal maps satisfying a Lipschitz condition

Consider an o-minimal expansion of the real field. We show that definable Lipschitz continuous maps can be definably fine approximated by definable continuously differentiable Lipschitz maps whose Lipschitz constant is close to that of the original map.     

Multiple solutions for a class of elliptic hemivariational inequalities

The existence of multiple solutions to elliptic hemivariational inequality problems in bounded domains is investigated via a suitable nonsmooth version of a classical technique due to Struwe and a recent saddle point theorem for locally Lipschitz continuous functionals.     

Stability and sensitivity of solutions to optimal control problems for systems with control appearing linearly

We consider a family of optimal control problems for systems described by nonlinear ordinary differential equations with control appearing linearly. The cost functionals and the control constraints are convex. All data depend on a vector parameter.Using the concept of the second-order sufficient optimality conditions it is shown that the solutions of the problems, as well as the associated Lagrange multipliers, are locally Lipschitz continuous and directionally differentiable functions of the parameter.     

Random Linear Functionals Arising in Stochastic Integration

The space of signed measures on the Borel σ-algebra of a Polish space is incomplete with respect to the bounded Lipschitz norm. Elements of its completion are called hypermeasures. They can be regarded as linear functionals on the space of bounded Lipschitz functions. It is shown that, under mild assumptions, every stochastically continuous random linear functional on this space is a modification of a random hypermeasure.      

A relative variant of the Morse theory

We develop a relative variant of the Morse theory for Lipschitz functionals defined on closed subsets of a Banach manifold. We prove the invariance of topological characteristics of functionals under uniform deformations.     

Generalized Envelope Theorems: Applications to Dynamic Programming

We show in this paper that the class of Lipschitz functions provides a suitable framework for the generalization of classical envelope theorems for a broad class of constrained programs relevant to economic models, in which nonconvexities play a key role, and where the primitives may not be continuously differentiable. We give sufficient conditions for the value function of a Lipschitz program to inherit the Lipschitz property and obtain bounds for its upper and lower directional Dini derivatives. With strengthened assumptions we derive sufficient conditions for the directional differentiability, Clarke regularity, and differentiability of the value function, thus obtaining a collection of generalized envelope theorems encompassing many existing results in the literature. Some of our findings are then applied to decision models with discrete choices, to dynamic programming with and without concavity, to the problem of existence and characterization of Markov equilibrium in dynamic economies with nonconvexities, and to show the existence of monotone controls in constrained lattice programming problems.     

Incrementally Updated Gradient Methods for Constrained and Regularized Optimization

We consider incrementally updated gradient methods for minimizing the sum of smooth functions and a convex function. This method can use a (sufficiently small) constant stepsize or, more practically, an adaptive stepsize that is decreased whenever sufficient progress is not made. We show that if the gradients of the smooth functions are Lipschitz continuous on the space of n-dimensional real column vectors or the gradients of the smooth functions are bounded and Lipschitz continuous over a certain level set and the convex function is Lipschitz continuous on its domain, then every cluster point of the iterates generated by the method is a stationary point. If in addition a local Lipschitz error bound assumption holds, then the method is linearly convergent.     

Increasing Lipschitz continuous maximizers of some dynamic programs

Conditions are presented for the existence of increasing and Lipschitz continuous maximizers in a general one-stage optimization problem. This property results in substantial numerical savings in case of a discrete parameter space. The one-stage result and properties of concave functions lead to simple conditions for the existence of optimal policies, composed of increasing and Lipschitz continuous decision rules, for several dynamic programs with discrete state and action space, in which case discrete concavity plays a dominant role. One of the examples, a general multi-stage allocation problem, is considered in detail. Finally, some known results in the case of a continuous state and action space are generalized.     

A differential operator and weak topology for Lipschitz maps

We show that the Scott topology induces a topology for real-valued Lipschitz maps on Banach spaces which we call the L-topology. It is the weakest topology with respect to which the L-derivative operator, as a second order functional which maps the space of Lipschitz functions into the function space of non-empty weak^∗ compact and convex valued maps equipped with the Scott topology, is continuous. For finite dimensional Euclidean spaces, where the L-derivative and the Clarke gradient coincide, we provide a simple characterization of the basic open subsets of the L-topology. We use this to verify that the L-topology is strictly coarser than the well-known Lipschitz norm topology. A complete metric on Lipschitz maps is constructed that is induced by the Hausdorff distance, providing a topology that is strictly finer than the L-topology but strictly coarser than the Lipschitz norm topology. We then develop a fundamental theorem of calculus of second order in finite dimensions showing that the continuous integral operator from the continuous Scott domain of non-empty convex and compact valued functions to the continuous Scott domain of ties is inverse to the continuous operator induced by the L-derivative. We finally show that in dimension one the L-derivative operator is a computable functional.     

Newton iterations in implicit time-stepping scheme for differential linear complementarity systems

We propose a generalized Newton method for solving the system of nonlinear equations with linear complementarity constraints in the implicit or semi-implicit time-stepping scheme for differential linear complementarity systems (DLCS). We choose a specific solution from the solution set of the linear complementarity constraints to define a locally Lipschitz continuous right-hand-side function in the differential equation. Moreover, we present a simple formula to compute an element in the Clarke generalized Jacobian of the solution function. We show that the implicit or semi-implicit time-stepping scheme using the generalized Newton method can be applied to a class of DLCS including the nondegenerate matrix DLCS and hidden Z-matrix DLCS, and has a superlinear convergence rate. To illustrate our approach, we show that choosing the least-element solution from the solution set of the Z-matrix linear complementarity constraints can define a Lipschitz continuous right-hand-side function with a computable Lipschitz constant. The Lipschitz constant helps us to choose the step size of the time-stepping scheme and guarantee the convergence.     

Path regularity for solutions of backward stochastic differential equations

 In this paper we study the path regularity of the adpated solutions to a class of backward stochastic differential equations (BSDE, for short) whose terminal values are allowed to be functionals of a forward diffusion. Using the new representation formula for the adapted solutions established in our previous work [7], we are able to show, under the mimimum Lipschitz conditions on the coefficients, that for a fairly large class of BSDEs whose terminal values are functionals that are either Lipschitz under the L ^∞ -norm or under the L ¹ -norm, then there exists a version of the adapted solution pair that has at least càdlàg paths. In particular, in the latter case the version can be chosen so that the paths are in fact continuous. Received: 26 May 2000 / Revised version: 1 December 2000 / Published online: 19 December 2001     

First-order regularity of convex functions on Carnot Groups

We prove that h-convex functions on Carnot groups of step two are locally Lipschitz continuous with respect to any intrinsic metric. We show that an additional measurability condition implies the local Lipschitz continuity of h-convex functions on arbitrary Carnot groups. To the Memory of Q. G.