Linear and nonlinear abstract equations with parameters

This paper focuses on nonlocal boundary value problems for linear and nonlinear abstract elliptic equations in Banach spaces. Here equations and boundary conditions contain certain parameters. The uniform separability of the linear problem and the existence and uniqueness of maximal regular solution of nonlinear problem are obtained in L_p spaces. For linear case the discreteness of spectrum of corresponding parameter dependent differential operator is obtained. The behavior of solution when the parameter approaches zero and its smoothness with respect to the parameter is established. Moreover, we show the estimate for analytic semigroups in terms of interpolation spaces. This fact can be used to obtain maximal regularity properties for abstract boundary value problems.     

On the multi-dimensional portfolio optimization with stochastic volatility

In a recent paper by Mnif [18], a solution to the portfolio optimization with stochastic volatility and constraints problem has been proposed, in which most of the model parameters are time-homogeneous. However, there are cases where time-dependent parameters are needed, such as in the calibration of financial models. Therefore, the purpose of this paper is to generalize the work of Mnif [18] to the time-inhomogeneous case. We consider a time-dependent exponential utility function of which the objective is to maximize the expected utility from the investor’s terminal wealth. The derived Hamilton-Jacobi-Bellman(HJB) equation, is highly nonlinear and is reduced to a semilinear partial differential equation (PDE) by a suitable transformation. The existence of a smooth solution is proved and a verification theorem presented. A multi-asset stochastic volatility model with jumps and endowed with time-dependent parameters is illustrated.     

Dynamics of a thermoelastic von Kármán plate in a subsonic gas flow

We discuss the problem of non-linear oscillations of a clamped thermoelastic plate in a subsonic gas flow. The dynamics of the plate is described by von Kármán system in the presence of thermal effects. No mechanical damping is assumed. To describe the influence of the gas flow we apply the linearized theory of potential flows. Our main result states that each weak solution of the problem considered tends to the set of the stationary points of the problem. A similar problem was considered in [27], but with rotational inertia accounted for, i.e. with the additional term −αΔu_tt,α > 0, and the same result on stabilization was obtained. There was introduced the decomposition of the solution such that the one term tends to zero and the other is compact in special (“local energy”) topology. This decomposition enables us to prove the main result. But the case of rotational inertia neglected (α = 0) appears more difficult. Low a priori smoothness of u_t in the case α = 0 prevents us to construct such a decomposition. In order to prove additional smoothness of u_t we use analyticity of the corresponding thermoelastic semigroup proved in [25]. The isothermal variant of this problem with additional mechanical damping term −εΔu_t , ε > 0 was considered in [13] and stabilization to the set of stationary solutions to the problem was proved. The problem, considered in the present work can also be regarded as an extension of the result of [18] to the case when gas occupies an unbounded domain.     

The ignition problem for a scalar nonconvex combustion model

The ignition problem for the scalar Chapman-Jouguet combustion model without convexity is considered. Under the pointwise and global entropy conditions, we constructively obtain the existence and uniqueness of the solution and show that the unburnt state is stable (unstable) when the binding energy is small (large), which is the desired property for a combustion model. The transitions between deflagration and detonation are shown, which do not appear in the convex case.     

Reproductivity for a nematic liquid crystal model

In this paper we prove existence of weak solution with the reproductivity in time property, for a penalized PDE’s system related to a nematic liquid crystal model. This problem is relatively explict when time-independent Dirichlet boundary conditions are imposed for the orientation of crystal molecules. Nevertheless, for the time-dependent case, the treatment of the problem is completely different. The verification of a maximum principle for weak reproductive solutions is fundamental in the argument. Finally, the relation between reproductive and periodic in time (regular) solutions will be pointed out, differenting the 2D and 3D cases. Basically, in two-dimensional domains every reproductive solution is regular and time periodic, whereas the problem remains open for three-dimensional domains.     

On the Cauchy problem for the two-component Euler–Poincaré equations

In the paper, we first use the energy method to establish the local well-posedness as well as blow-up criteria for the Cauchy problem on the two-component Euler–Poincaré equations in multi-dimensional space. In the case of dimensions 2 and 3, we show that for a large class of smooth initial data with some concentration property, the corresponding solutions blow up in finite time by using Constantin–Escher Lemma and Littlewood–Paley decomposition theory. Then for the one-component case, a more precise blow-up estimate and a global existence result are also established by using similar methods. Next, we investigate the zero density limit and the zero dispersion limit. At the end, we also briefly demonstrate a Liouville type theorem for the stationary weak solution.     

Initial value problems for a system of nonlinear equations on a half-line

The paper deals with initial value problems for the system of nonlinear equations on a half-line where ₁, ₁ are real constant connections.The first problem for the nonlinear Schrödinger equation (NLS) is obtained from the system (A) when . In this case, the boundary problem associated with this NLS does not have a discrete spectrum, and the solution of the NLS is uniquely found from the given initial condition. Further, we show two remarkable classes of matrix potentials, in which the inverse scattering problem associated with system (A) can be solved exactly. In the case where the given scattering data for (A) consist of only two simple poles, the exact soliton solution of system (A) is presented. This happens if and only if the time evolution of the scattering data for (A) obeys some time evolution equations. In this case, the initial value problem for the NLS which is obtained from (A) when is solved exactly.     

The semilinear second-order hyperbolic equation with data strongly singular at one point

In this paper we study the initial value problem for the scalar semilinear strictly hyperbolic equation in multidimensional space with data strongly singular at one point. Under the assumption of the initial data being conormal with respect to one point and bounded or regular with a certain low degree, the existence of the solution to this problem is obtained; meanwhile, it is proved that the singularity of the solution will spread on the forward characteristic cone of the hyperbolic operator issuing from this point, and the solution is bounded and conormal with respect to this cone.     

Large-Time Behaviour of Solutions of the Exterior-Domain Cauchy–Dirichlet Problem for the Porous Media Equation with Homogeneous Boundary Data

The title of this paper states precisely what the subject is. The first part of the paper concerns the radially-symmetric problem in the exterior of the unit ball. It is shown that in time the solution of the problem converges to one of two specific self-similar solutions of the porous media equation, dependent upon the dimensionality of the problem. Moreover, the free boundary of the solution converges to that of the self-similar solution. The critical space dimension is two, for which there is no distinction between the self-similar solutions, and the form of the convergence is exceptional. The technique used is a comparison principle involving a variable that is a weighted integral of the solution. The second part of the paper is devoted to the problem in an arbitrary spatial domain with no conditions of symmetry. A special invariance principle and the results obtained for the radially-symmetric case are used to determine the large-time behaviour of solutions and their free boundaries. This behaviour is decidedly different from when the boundary data are fixed and not homogeneous.     

The Wiener disorder problem with finite horizon

The Wiener disorder problem seeks to determine a stopping time which is as close as possible to the (unknown) time of ‘disorder’ when the drift of an observed Wiener process changes from one value to another. In this paper we present a solution of the Wiener disorder problem when the horizon is finite. The method of proof is based on reducing the initial problem to a parabolic free-boundary problem where the continuation region is determined by a continuous curved boundary. By means of the change-of-variable formula containing the local time of a diffusion process on curves we show that the optimal boundary can be characterized as a unique solution of the nonlinear integral equation.     

An elementary approach to discrete models of dividend strategies

The paper studies a discrete counterpart of Gerber et al. (2006). The surplus of an insurance company (before dividends) is modeled as a time-homogeneous Markov chain with possible changes of size +1,0,−1,−2,−3,…. If a barrier strategy is applied for paying dividends, it is shown that the dividends-penalty identity holds. The identity expresses the expected present value of a penalty at ruin in terms of the expected discounted dividends until ruin and the expected present value of the penalty at ruin if no dividends are paid. For the problem of maximizing the difference between the expected discounted dividends until ruin and the expected present value of the penalty at ruin, barrier strategies play a prominent role. In some cases an optimal dividend barrier exists. The paper discusses in detail the special case where the distribution of the change in surplus does not depend on the current surplus (so that in the absence of dividends the surplus process has independent increments). A closed-form result for zero initial surplus is given, and it is shown how the relevant quantities can be calculated recursively. Finally, it is shown how optimal dividend strategies can be determined; typically, they are band strategies.     

Application of He's variational iteration method for solving the Cauchy reaction–diffusion problem

In this paper, the solution of Cauchy reaction–diffusion problem is presented by means of variational iteration method. Reaction–diffusion equations have special importance in engineering and sciences and constitute a good model for many systems in various fields. Application of variational iteration technique to this problem shows the rapid convergence of the sequence constructed by this method to the exact solution. Moreover, this technique does not require any discretization, linearization or small perturbations and therefore it reduces significantly the numerical computations.     

Oscillation-induced blow-up to the modified Camassa–Holm equation with linear dispersion

In this paper, we provide a blow-up mechanism to the modified Camassa–Holm equation with varying linear dispersion. We first consider the case when linear dispersion is absent and derive a finite-time blow-up result with an initial data having a region of mild oscillation. A key feature of the analysis is the development of the Burgers-type inequalities with focusing property on characteristics, which can be deduced from tracing the ratio between solution and its gradient. Using the continuity and monotonicity of the solutions, we then extend this blow-up criterion to the case of negative linear dispersion, and determine that the finite time blow-up can still occur if the initial momentum density is bounded below by the magnitude of the linear dispersion and the initial datum has a local mild-oscillation region. Finally, we demonstrate that in the case of non-negative linear dispersion the formation of singularities can be induced by an initial datum with a sufficiently steep profile. In contrast to the Camassa–Holm equation with linear dispersion, the effect of linear dispersion of the modified Camassa–Holm equation on the blow-up phenomena is rather delicate.     

On qualitative robustness of support vector machines

Support vector machines (SVMs) have attracted much attention in theoretical and in applied statistics. The main topics of recent interest are consistency, learning rates and robustness. We address the open problem whether SVMs are qualitatively robust. Our results show that SVMs are qualitatively robust for any fixed regularization parameter λ. However, under extremely mild conditions on the SVM, it turns out that SVMs are not qualitatively robust any more for any null sequence λ_n, which are the classical sequences needed to obtain universal consistency. This lack of qualitative robustness is of a rather theoretical nature because we show that, in any case, SVMs fulfill a finite sample qualitative robustness property.For a fixed regularization parameter, SVMs can be represented by a functional on the set of all probability measures. Qualitative robustness is proven by showing that this functional is continuous with respect to the topology generated by weak convergence of probability measures. Combined with the existence and uniqueness of SVMs, our results show that SVMs are the solutions of a well-posed mathematical problem in Hadamard’s sense.     

Vanishing viscosity for hemivariational inequalities modeling dynamic problems in elasticity

In this paper we consider a mathematical model describing a dynamic linear elastic contact problem with nonmonotone skin effects. The subdifferential multivalued and multidimensional reaction–displacement law is employed. We treat an evolution hemivariational inequality of hyperbolic type which is a weak formulation of this mechanical problem. We establish a result on the existence of solutions to the Cauchy problem for the hemivariational inequality. This result is a consequence of an existence theorem for second order evolution inclusion. For the latter, using the parabolic regularization method, we obtain the solution as a limit when the viscosity term tends to zero.     

The lifespan for 3D quasilinear wave equations with nonlinear damping terms

In this paper, we study the initial-boundary value problem for a system of nonlinear wave equations, involving nonlinear damping terms, in a bounded domain Ω. The nonexistence of global solutions is discussed under some conditions on the given parameters. Estimates on the lifespan of solutions are also given. Our results extend and generalize the recent results in [K. Agre, M.A. Rammaha, System of nonlinear wave equations with damping and source terms, Differential Integral Equations 19 (2006) 1235-1270], especially, the blow-up of weak solutions in the case of non-negative energy.     

Global weak solutions for a modified two-component Camassa-Holm equation

We obtain the existence of global-in-time weak solutions for the Cauchy problem of a modified two-component Camassa-Holm equation. The global weak solution is obtained as a limit of viscous approximation. The key elements in our analysis are the Helly theorem and some a priori one-sided supernorm and space-time higher integrability estimates on the first-order derivatives of approximation solutions.     

Mildly degenerate Kirchhoff equations with weak dissipation: Global existence and time decay

We consider the hyperbolic-parabolic singular perturbation problem for a degenerate quasilinear Kirchhoff equation with weak dissipation. This means that the coefficient of the dissipative term tends to zero when t→+∞.We prove that the hyperbolic problem has a unique global solution for suitable values of the parameters. We also prove that the solution decays to zero, as t→+∞, with the same rate of the solution of the limit problem of parabolic type.     

New proofs and generalisations of theorems of existence and uniqueness for the goursat problem

Abstract theorems of existence and uniqueness are proved for a differential equation whose solution takes its values in a sequence of Banach spaces called a Banach filtration (a notion introduced by F. Treves). The abstract theorems are then applied to obtain existence and uniqueness theorems of a classical nature bearing on that generalization of the Cauchy problem of partial differential equations known as the Goursat problem. All the results so obtained remain true in the case when the equations involve more general operators than partial differential operators (e.g., pseudo-differential operators)     

Weak convergence to a Markov process: The martingale approach

Summary In this article, we obtain some sufficient conditions for weak convergence of a sequence of processes {X _n } toX, whenX arises as a solution to a well posed martingale problem. These conditions are tailored for application to the case when the state space for the processesX _n ,X is infinite dimensional. The usefulness of these conditions is illustrated by deriving Donsker's invariance principle for Hilbert space valued random variables. Also, continuous dependence of Hilbert space valued diffusions on diffusion and drift coefficients is proved.Research supported by National Board for Higher Mathematics, Bombay, IndiaPart of the work was done at University of California, Santa Barbara, USA