Stochastic H2 / H∞ Control for Poisson Jump-Diffusion Systems

This paper is concerned with stochastic H_2/H_∞ control problem for Poisson jump-diffusion systems with(x, u, v)-dependent noise, which are driven by Brownian motion and Poisson random jumps. A stochastic bounded real lemma(SBRL for short) for Poisson jump-diffusion systems is firstly established, which stands out on its own as a very interesting theoretical problem. Further, sufficient and necessary conditions for the existence of a state feedback H_2/H_∞ control are given based on four coupled matrix Riccati equations. Finally, a discrete approximation algorithm and an example are presented.     

Stochastic H2/H∞ Control with Random Coefficients

This paper is concerned with the mixed H2/H∞ control for stochastic systems with random coefcients,which is actually a control combining the H2 optimization with the H∞robust performance as the name of H2/H∞ reveals.Based on the classical theory of linear-quadratic(LQ,for short)optimal control,the sufcient and necessary conditions for the existence and uniqueness of the solution to the indefinite backward stochastic Riccati equation(BSRE,for short)associated with H∞ robustness are derived.Then the sufcient and necessary conditions for the existence of the H2/H∞ control are given utilizing a pair of coupled stochastic Riccati equations.     

Optimal variational principle for backward stochastic control systems associated with Lévy processes

The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel’s martingales and an independent multi-dimensional Brownian motion,where Teugel’s martin- gales are a family of pairwise strongly orthonormal martingales associated with Lévy processes (see e.g.,Nualart and Schoutens’ paper in 2000).We derive the necessary and sufficient conditions for the existence of the op- timal control by means of convex variation methods and duality techniques.As an application,the optimal control problem of linear backward stochastic differential equation with a quadratic cost criteria (or backward linear-quadratic problem,or BLQ problem for short) is discussed and characterized by a stochastic Hamilton system.     

MAXIMUM PRINCIPLE FOR STOCHASTIC OPTIMAL CONTROL PROBLEM WITH DISTRIBUTED DELAYS

This paper is concerned with a Pontryagin's maximum principle for the stochastic optimal control problem with distributed delays given by integrals of not necessarily linear functions of state or control variables.By virtue of the duality method and the generalized anticipated backward stochastic differential equations,we establish a necessary maximum principle and a sufficient verification theorem.In particular,we deal with the controlled stochastic system where the distributed delays enter both the state and the control.To explain the theoretical results,we apply them to a dynamic advertising problem.     

Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints

In this paper,we consider an optimal control problem with state constraints,where the control system is described by a mean-field forward-backward stochastic differential equation(MFFBSDE,for short)and the admissible control is mean-field type.Making full use of the backward stochastic differential equation theory,we transform the original control system into an equivalent backward form,i.e.,the equations in the control system are all backward.In addition,Ekeland’s variational principle helps us deal with the state constraints so that we get a stochastic maximum principle which characterizes the necessary condition of the optimal control.We also study a stochastic linear quadratic control problem with state constraints.     

A variational formula for controlled backward stochastic partial differential equations and some application

An optimal control problem for a controlled backward stochastic partial differential equation in the abstract evolution form with a Bolza type performance functional is considered. The control domain is not assumed to be convex, and all coefficients of the system are allowed to be random. A variational formula for the functional in a given control process direction is derived, by the Hamiltonian and associated adjoint system. As an application, a global stochastic maximum principle of Pontraygins type for the optimal controls is established.     

Infinite Horizon Forward-Backward Doubly Stochastic Differential Equations and Related SPDEs

A type of infinite horizon forward-backward doubly stochastic differential equations is studied.Under some monotonicity assumptions,the existence and uniqueness results for measurable solutions are established by means of homotopy method.A probabilistic interpretation for solutions to a class of stochastic partial differential equations combined with algebra equations is given.A significant feature of this result is that the forward component of the FBDSDEs is coupled with the backward variable.     

Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lvy processes

In this paper,we study the stochastic maximum principle for optimal control problem of anticipated forward-backward system with delay and Lvy processes as the random disturbance. This control system can be described by the anticipated forward-backward stochastic differential equations with delay and L′evy processes(AFBSDEDLs),we first obtain the existence and uniqueness theorem of adapted solutions for AFBSDEDLs; combining the AFBSDEDLs' preliminary result with certain classical convex variational techniques,the corresponding maximum principle is proved.     

Forward-backward doubly stochastic differential equations and related stochastic partial differential equations

The notion of bridge is introduced for systems of coupled forward-backward doubly stochastic differential equations (FBDSDEs). It is proved that if two FBDSDEs are linked by a bridge, then they have the same unique solvability. Consequently, by constructing appropriate bridges, we obtain several classes of uniquely solvable FBDSDEs. Finally, the probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential equations (SPDEs) combined with algebra equations is given. One distinctive character of this result is that the forward component of the FBDSDEs is coupled with the backward variable.     

STABILITY ANALYSIS OF THE SPLIT-STEP THETA METHOD FOR NONLINEAR REGIME-SWITCHING JUMP SYSTEMS

In this paper,we investigate the stability of the split-step theta(SST)method for a class of nonlinear regime-switching jump systems–neutral stochastic delay differential equations(NSDDEs)with Markov switching and jumps.As we know,there are few results on the stability of numerical solutions for NSDDEs with Markov switching and jumps.The purpose of this paper is to enrich conclusions in such respect.It first devotes to show that the trivial solution of the NSDDE with Markov switching and jumps is exponentially mean square stable and asymptotically mean square stable under some suitable conditions.If the drift coefficient also satisfies the linear growth condition,it then proves that the SST method applied to the NSDDE with Markov switching and jumps shares the same conclusions with the exact solution.Moreover,a numerical example is demonstrated to illustrate the obtained results.     

ELEMENTARY BIFURCATIONS FOR A SIMPLE DYNAMICAL SYSTEM UNDER NON-GAUSSIAN LEVY NOISES

Nonlinear dynamical systems are sometimes under the influence of random fluctuations. It is desirable to examine possible bifurcations for stochastic dynamical systems when a parameter varies. A computational analysis is conducted to investigate bifurcations of a simple dynamical system under non-Gaussian α-stable Lévy motions, by examining the changes in stationary probability density functions for the solution orbits of this stochastic system. The stationary probability density functions are obtained by solving a nonlocal Fokker-Planck equation numerically. This allows numerically investigating phenomenological bifurcation, or P-bifurcation, for stochastic differential equations with non-Gaussian Lévy noises.     

Single machine stochastic JIT scheduling problem subject to machine breakdowns

In this paper we research the single machine stochastic JIT scheduling problem subject to the machine breakdowns for preemptive-resume and preemptive-repeat.The objective function of the problem is the sum of squared deviations of the job-expected completion times from the due date.For preemptive-resume,we show that the optimal sequence of the SSDE problem is V-shaped with respect to expected processing times.And a dynamic programming algorithm with the pseudopolynomial time complexity is given.We discuss the difference between the SSDE problem and the ESSD problem and show that the optimal solution of the SSDE problem is a good approximate optimal solution of the ESSD problem,and the optimal solution of the SSDE problem is an optimal solution of the ESSD problem under some conditions.For preemptive-repeat,the stochastic JIT scheduling problem has not been solved since the variances of the completion times cannot be computed.We replace the ESSD problem by the SSDE problem.We show that the optimal sequence of the SSDE problem is V-shaped with respect to the expected occupying times.And a dynamic programming algorithm with the pseudopolynomial time complexity is given.A new thought is advanced for the research of the preemptive-repeat stochastic JIT scheduling problem.     

COMPARISON THEOREMS FOR MULTI-DIMENSIONAL GENERAL MEAN-FIELD BDSDES

In this paper we study multi-dimensional mean-field backward doubly stochastic differential equations(BDSDEs),that is,BDSDEs whose coefficients depend not only on the solution processes but also on their law.The first part of the paper is devoted to the comparison theorem for multi-dimensional mean-field BDSDEs with Lipschitz conditions.With the help of the comparison result for the Lipschitz case we prove the existence of a solution for multi-dimensional mean-field BDSDEs with an only continuous drift coefficient of linear growth,and we also extend the comparison theorem to such BDSDEs with a continuous coefficient.     

带无限时滞中立型随机泛函微分方程的解的存在唯一性

In this paper, we will make use of a new method to study the existence and uniqueness for the solution of neutral stochastic functional differential equations with infinite delay (INSFDEs for short) in the phase space BC((?∞,0];Rd). By constructing a new iterative scheme, the existence and uniqueness for the solution of INSFDEs can be directly obtained only under uniform Lipschitz condition, linear grown condition and contractive condition. Meanwhile, the moment estimate of the solution and the estimate for the error between the approximate solution and the accurate solution can be both given. Compared with the previous results, our method is partially different from the Picard iterative method and our results can complement the earlier publications in the existing literatures.     

On the Non-Trivial Solvability of Boundary Value Problems in the Angle Domains

In the first part of the present paper we deal with the first boundary value problem for general second-order differential equation in plane angle. The criterion of non-trivial solvability is obtained for such problem in space C2 of functions having polynomial growth at infinity. In the second part so-called ＂almost Cauchy＂ problem in a polygon for high order differential equation without respect of type is investigated. The necessary condition of uniqueness violation of solution is appeared to be sufficient in case of problem with one boundary condition.     

ASYMPTOTIC SOLUTION TO SINGULARLY PERTURBED NEUTRAL DIFFERENTIAL DIFFERENCE EQUATIONS

The solvability for a kind of singularly perturbed problem of nonlinear neutral differential difference system is considered. Using the boundary layer corrective method, the formal asymptotic solution is constructed. And applying the theory of fixed point, the uniform validity of the asymptotic expansions for solution is proved. Finally, an example is given to validate the results of the problems.     

RAZUMIKHIN-TYPE THEOREMS OF NEUTRAL STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS

The stability of stochastic functional differential equation with Markovian switching was studied by several authors,but there was almost no work on the stability of the neutral stochastic functional differential equations with Markovian switching.The aim of this article is to close this gap.The authors establish Razumikhin-type theorem of the neutral stochastic functional differential equations with Markovian switching,and those without Markovian switching.     

FINITE-TIME H_∞ CONTROL FOR A CLASS OF MARKOVIAN JUMPING NEURAL NETWORKS WITH DISTRIBUTED TIME VARYING DELAYS-LMI APPROACH

In this article, we investigates finite-time H_∞ control problem of Markovian jumping neural networks of neutral type with distributed time varying delays. The mathematical model of the Markovian jumping neural networks with distributed delays is established in which a set of neural networks are used as individual subsystems. Finite time stability analysis for such neural networks is addressed based on the linear matrix inequality approach.Numerical examples are given to illustrate the usefulness of our proposed method. The results obtained are compared with the results in the literature to show the conservativeness.     

Constrained LQ Problem with a Random Jump and Application to Portfolio Selection

This paper deals with a constrained stochastic linear-quadratic(LQ for short)optimal control problem where the control is constrained in a closed cone. The state process is governed by a controlled SDE with random coefficients. Moreover, there is a random jump of the state process. In mathematical finance, the random jump often represents the default of a counter party. Thanks to the It-Tanaka formula, optimal control and optimal value can be obtained by solutions of a system of backward stochastic differential equations(BSDEs for short). The solvability of the BSDEs is obtained by solving a recursive system of BSDEs driven by the Brownian motions. The author also applies the result to the mean variance portfolio selection problem in which the stock price can be affected by the default of a counterparty.     

数学年刊 第37卷B辑第5期(2016) 目次和提要（英文）

正Stochastic H_22/H_∞Control for Poisson Jump-Diffusion Systems Meijiao WANG This paper is concerned with stochastic H_2/H_∞control problem for Poisson jump-diffusion systems with(x,u,v)-dependent noise,which are driven by Brownian motion and Poisson random