Duality theorem for the stochastic optimal control problem

We prove a duality theorem for the stochastic optimal control problem with a convex cost function and show that the minimizer satisfies a class of forward–backward stochastic differential equations. As an application, we give an approach, from the duality theorem, to h$h$-path processes for diffusion processes.     

Large deviations for Markov bridges with jumps

In this paper, we consider a family of Markov bridges with jumps constructed from truncated stable processes. These Markov bridges depend on a small parameter ?>0$?>0$, and have fixed initial and terminal positions. We propose a new method to prove a large deviation principle for this family of bridges based on compact level sets, change of measures, duality and various global and local estimates of transition densities for truncated stable processes.     

Optimality conditions and duality for nondifferentiable multiobjective programming problems involving d-r-type I functions

In this paper, new classes of nondifferentiable functions constituting multiobjective programming problems are introduced. Namely, the classes of d$d$-r$r$-type I objective and constraint functions and, moreover, the various classes of generalized d$d$-r$r$-type I objective and constraint functions are defined for directionally differentiable multiobjective programming problems. Sufficient optimality conditions and various Mond–Weir duality results are proved for nondifferentiable multiobjective programming problems involving functions of such type. Finally, it is showed that the introduced d$d$-r$r$-type I notion with r≠0$r\ne 0$ is not a sufficient condition for Wolfe weak duality to hold. These results are illustrated in the paper by suitable examples.     

Strong convergence theorems for finitely many nonexpansive mappings and applications

Let E$E$ be a uniformly convex Banach space which satisfies Opial’s condition or whose norm is Fréchet differentiable. Recently, Takahashi and Shimoji [W. Takahashi, K. Shimoji, Convergence theorems for nonexpansive mappings and feasibility problems, Math. Comput. Modelling 32 (2000) 1463–1471] introduced an iterative scheme given by finitely many nonexpansive mappings in E$E$ and proved weak convergence theorems which are connected with the problem of image recovery. In this paper we introduce a new iterative scheme which includes their iterative scheme as a special case. Under the assumption that E$E$ is a reflexive Banach space whose norm is uniformly Gâteaux differentiable and which has a weakly continuous duality mapping, we prove strong convergence theorems which are connected with the problem of image recovery. Using the established results, we consider the problem of finding a common fixed point of finitely many nonexpansive mappings.     

Hamilton decompositions of regular expanders: A proof of Kelly’s conjecture for large tournaments

A long-standing conjecture of Kelly states that every regular tournament on n$n$ vertices can be decomposed into (n−1)/2$(n-1)/2$ edge-disjoint Hamilton cycles. We prove this conjecture for large n$n$. In fact, we prove a far more general result, based on our recent concept of robust expansion and a new method for decomposing graphs. We show that every sufficiently large regular digraph G$G$ on n$n$ vertices whose degree is linear in n$n$ and which is a robust outexpander has a decomposition into edge-disjoint Hamilton cycles. This enables us to obtain numerous further results, e.g. as a special case we confirm a conjecture of Erd?s on packing Hamilton cycles in random tournaments. As corollaries to the main result, we also obtain several results on packing Hamilton cycles in undirected graphs, giving e.g. the best known result on a conjecture of Nash-Williams. We also apply our result to solve a problem on the domination ratio of the Asymmetric Travelling Salesman problem, which was raised e.g. by Glover and Punnen as well as Alon, Gutin and Krivelevich.     

Unsteady response of non-Newtonian blood flow through a stenosed artery in magnetic field

Current theoretical investigation of atherosclerotic arteries deals with mathematical models that represent non-Newtonian flow of blood through a stenosed artery in the presence of a transverse magnetic field. Here, the rheology of the flowing blood is characterised by a generalised Power law model. The distensibility of an arterial wall has been accounted for based on local fluid mechanics. A radial coordinate transformation is initiated to map cosine geometry of the stenosis into a rectangular grid. An appropriate finite difference scheme has been adopted to solve the unsteady non-Newtonian momentum equations in cylindrical coordinate system. Exploiting suitably prescribed conditions based on the assumption of an axial symmetry under laminar flow condition rendered the problem effectively to two dimensions. An extensive quantitative analysis has been performed based on numerical computations in order to estimate the effects of Hartmann number (M$M$), Power law index (n$n$), generalised Reynolds number (R_eG)$\left(R{e}_G\right)$, severity of the stenosis (δ)$\left(\delta \right)$ on various parameters such as flow velocity, flux and wall shear stress by means of their graphical representations so as to validate the applicability of the proposed mathematical model. The present results agree with some of the existing findings in the literature.     

Convergence of some time inhomogeneous Markov chains via spectral techniques

We consider the problem of giving explicit spectral bounds for time inhomogeneous Markov chains on a finite state space. We give bounds that apply when there exists a probability π$\pi$ such that each of the different steps corresponds to a nice ergodic Markov kernel with stationary measure π$\pi$. For instance, our results provide sharp bounds for models such as semi-random transpositions and semi-random insertions (in these cases π$\pi$ is the uniform probability on the symmetric group).     

Dynamic programming for mean-field type control

For mean-field type control problems, stochastic dynamic programming requires adaptation. We propose to reformulate the problem as a distributed control problem by assuming that the PDF ρ   of the stochastic process exists. Then we show that Bellman's principle applies to the dynamic programming value function V(τ,ρ_τ)$V(\tau ,{\rho }_{\tau })$, where the dependency on ρ_τ${\rho }_{\tau }$ is functional as in P.-L. Lions' analysis of mean-field games (2007) [10]. We derive HJB equations and apply them to two examples, a portfolio optimization and a systemic risk model.     

Theory and method for updating least-squares finite element model of symmetric generalized centro-symmetric matrices

Let X,F$X,F$ be a displacement matrix and load matrix, respectively. C (obtained by calculations or measurements) is an estimate matrix of the analytical model. A method is presented for correction of the model C, based on the theory of inverse problem of matrices. The corrected model is symmetric generalized centro-symmetric with specified displacements and loads, satisfying the mechanics characters of finite-element model. The application of the method is illustrated. It is more important that a perturbation analysis is given, which is not given in the earlier papers. Numerical results show that the method is feasible and effective.     

Strong convergence theorems for finitely many nonexpansive mappings

Under the assumption that E$E$ is a reflexive Banach space whose norm is uniformly Gêteaux differentiable and which has a weakly continuous duality mapping _Jφ$J_{\phi }$ with gauge function φ$\phi$, Ceng–Cubiotti–Yao [Strong convergence theorems for finitely many nonexpansive mappings and applications, Nonlinear Analysis 67 (2007) 1464–1473] introduced a new iterative scheme for a finite commuting family of nonexpansive mappings, and proved strong convergence theorems about this iteration. In this paper, only under the hypothesis that E$E$ is a reflexive Banach space which has a weakly continuous duality mapping _Jφ$J_{\phi }$ with gauge function φ$\phi$, and several control conditions about the iterative coefficient are removed, we present a short and simple proof of the above theorem.     

Strong convergence of composite iterative schemes for zeros of m-accretive operators in Banach spaces

We introduce a new composite iterative scheme to approximate a zero of an m$m$-accretive operator A$A$ defined on uniform smooth Banach spaces and a reflexive Banach space having a weakly continuous duality map. It is shown that the iterative process in each case converges strongly to a zero of A$A$. The results presented in this paper substantially improve and extend the results due to Ceng et al. [L.C. Ceng, H.K. Xu, J.C. Yao, Strong convergence of a hybrid viscosity approximation method with perturbed mappings for nonexpansive and accretive operators, Taiwanese J. Math. (in press)], Kim and Xu [T.H. Kim, H.K. Xu, Strong convergence of modified Mann iterations, Nonlinear Anal. 61 (2005) 51–60] and Xu [H.K. Xu, Strong convergence of an iterative method for nonexpansive and accretive operators, J. Math. Anal. Appl. 314 (2006) 631–643]. Our work provides a new approach for the construction of a zero of m$m$-accretive operators.     

Backward stochastic differential equations associated to jump Markov processes and applications

In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X$X$ on a general state space K$K$. We apply these results to prove well-posedness of a class of nonlinear parabolic differential equations on K$K$, that generalize the Kolmogorov equation of X$X$. Finally we formulate and solve optimal control problems for Markov jump processes, relating the value function and the optimal control law to an appropriate BSDE that also allows to construct probabilistically the unique solution to the Hamilton–Jacobi–Bellman equation and to identify it with the value function.     

Pseudogroups and their étale groupoids

A pseudogroup is a complete infinitely distributive inverse monoid. Such inverse monoids bear the same relationship to classical pseudogroups of transformations as frames do to topological spaces. The goal of this paper is to develop the theory of pseudogroups motivated by applications to group theory, C^∗$C^{\ast }$-algebras and aperiodic tilings. Our starting point is an adjunction between a category of pseudogroups and a category of étale groupoids from which we are able to set up a duality between spatial pseudogroups and sober étale groupoids. As a corollary to this duality, we deduce a non-commutative version of Stone duality involving what we call boolean inverse semigroups and boolean étale groupoids, as well as a generalization of this duality to distributive inverse semigroups. Non-commutative Stone duality has important applications in the theory of C^∗$C^{\ast }$-algebras: it is the basis for the construction of Cuntz and Cuntz–Krieger algebras and in the case of the Cuntz algebras it can also be used to construct the Thompson groups. We then define coverages on inverse semigroups and the resulting presentations of pseudogroups. As applications, we show that Paterson’s universal groupoid is an example of a booleanization, and reconcile Exel’s recent work on the theory of tight maps with the work of the second author.     

Interval versions of statistical techniques with applications to environmental analysis,bioinformatics, and privacy in statistical databases

In many areas of science and engineering, it is desirable to estimate statistical characteristics (mean, variance, covariance, etc.) under interval uncertainty. For example, we may want to use the measured values x(t)$x(t)$ of a pollution level in a lake at different moments of time to estimate the average pollution level; however, we do not know the exact values x(t)$x(t)$—e.g., if one of the measurement results is 0, this simply means that the actual (unknown) value of x(t)$x(t)$ can be anywhere between 0 and the detection limit (DL). We must, therefore, modify the existing statistical algorithms to process such interval data.     

List-homomorphism problems on graphs and arc consistency

We characterise the graphs (which may contain loops) whose list-homomorphism problem is solvable by arc consistency, or equivalently, that admit conservative totally symmetric idempotent operations of all arities. We prove that for every bipartite graph G$\mathbb{G}$, its list-homomorphism problem is tractable if and only if G$\mathbb{G}$ admits a monochromatic conservative semilattice operation; in particular, its list-homomorphism problem can easily be solved by a combination of two-colouring and arc-consistency. We also present some results in this direction for the retraction problem on graphs.     

Submanifolds that are level sets of solutions to a second-order elliptic PDE

We consider the problem of characterizing which noncompact hypersurfaces in Rⁿ${\mathbb{R}}^n$ can be regular level sets of a harmonic function modulo a C^∞$C^{\infty }$ diffeomorphism, as well as certain generalizations to other PDEs. We prove a versatile sufficient condition that shows, in particular, that any nonsingular algebraic hypersurface whose connected components are all noncompact can be transformed onto a union of components of the zero set of a harmonic function via a diffeomorphism of Rⁿ${\mathbb{R}}^n$. The technique we use combines robust but not explicit local constructions with appropriate global approximation theorems. In view of applications to a problem posed by Berry and Dennis, intersections of level sets are also studied.     

Finite order spreading models

Extending the classical notion of spreading model, the k$k$-spreading models of a Banach space are introduced, for every k∈N$k\in \mathbb{N}$. The definition, which is based on the k$k$-sequences and plegma families, reveals a new class of spreading sequences associated to a Banach space. Most of the results of the classical theory are stated and proved in the higher order setting. Moreover, new phenomena like the universality of the class of the 2-spreading models of _c0$c_0$ and the composition property are established. As consequence, a problem concerning the structure of the k$k$-iterated spreading models is solved.