Resolvent Methods for Solving System of General Variational Inclusions

In this paper, we introduce and consider some new systems of extended general variational inclusions involving seven different operators. Using the resolvent operator technique, we show that the new systems of extended general variational inclusions are equivalent to the fixed point problems. This equivalent formulation is used to suggest and analyze some new iterative methods for this system of extended general variational inclusions. We also study the convergence analysis of the new iterative method under certain mild conditions. Several special cases are also discussed. Results obtained in this paper can be viewed as pure mathematical contribution to variational analysis.     

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.     

Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities

In this article, we provide the first systematic study on the unique existence of the solution of backward stochastic dynamical variational inequalities on a general complete filtered probability space. We also build up a comprehensive analysis of the correspondence between these stochastic variational inequalities (resp. backward stochastic dynamics) and the weak solutions (instead of viscosity ones due to the intrinsic non-local nature of the integral of the gradient involved) of a class of non-local parabolic variational inequalities (resp. parabolic partial differential equations), which is barely touched in the existing literature due to its unconventional setting.     

Variational inclusions problems with applications to Ekeland’s variational principle,fixed point and optimization problems

In this paper, we prove the existence theorems of two types of systems of variational inclusions problem. From these existence results, we establish Ekeland’s variational principle on topological vector space, existence theorems of common fixed point, existence theorems for the semi-infinite problems, mathematical programs with fixed points and equilibrium constraints, and vector mathematical programs with variational inclusions constraints.     

A First-Order Stochastic Primal-Dual Algorithm with Correction Step

In this article, we investigate the convergence properties of a stochastic primal-dual splitting algorithm for solving structured monotone inclusions involving the sum of a cocoercive operator and a composite monotone operator. The proposed method is the stochastic extension to monotone inclusions of a proximal method studied in the literature for saddle point problems. It consists in a forward step determined by the stochastic evaluation of the cocoercive operator, a backward step in the dual variables involving the resolvent of the monotone operator, and an additional forward step using the stochastic evaluation of the cocoercive operator introduced in the first step. We prove weak almost sure convergence of the iterates by showing that the primal-dual sequence generated by the method is stochastic quasi-Fejér-monotone with respect to the set of zeros of the considered primal and dual inclusions. Additional results on ergodic convergence in expectation are considered for the special case of saddle point models.     

Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality

We study the existence and uniqueness of the solution to a forward-backward stochastic differential equation with subdifferential operator in the backward equation. This kind of equations includes, as a particular case, multi-dimensional forward-backward stochastic differential equation where the backward equation is reflected on the boundary of a closed convex(time-independent) domain. Moreover, we give a probabilistic interpretation for the viscosity solution of a kind of quasilinear variational inequalities.     

Stochastic Variational Inequality Approaches to the Stochastic Generalized Nash Equilibrium with Shared Constraints

In this paper, we consider the generalized Nash equilibrium with shared constraints in the stochastic environment, and we call it the stochastic generalized Nash equilibrium. The stochastic variational inequalities are employed to solve this kind of problems, and the expected residual minimization model and the conditional value-at-risk formulations defined by the residual function for the stochastic variational inequalities are discussed. We show the risk for different kinds of solutions for the stochastic generalized Nash equilibrium by the conditional value-at-risk formulations. The properties of the stochastic quadratic generalized Nash equilibrium are shown. The smoothing approximations for the expected residual minimization formulation and the conditional value-at-risk formulation are employed. Moreover, we establish the gradient consistency for the measurable smoothing functions and the integrable functions under some suitable conditions, and we also analyze the properties of the formulations. Numerical results for the applications arising from the electricity market model illustrate that the solutions for the stochastic generalized Nash equilibrium given by the ERM model have good properties, such as robustness, low risk and so on.     

Terminal perturbation method for the backward approach to continuous time mean–variance portfolio selection

A terminal perturbation method is introduced to study the backward approach to continuous time mean–variance portfolio selection with bankruptcy prohibition in a complete market model. Using Ekeland’s variational principle, we obtain a necessary condition, i.e. the stochastic maximum principle, which the optimal terminal wealth satisfies. This method can deal with nonlinear wealth equation with bankruptcy prohibition and several examples are given to show applications of our results.     

Properties of minimal mathematical expectations

The aim of this paper is to discuss how to compute a class of minimal mathematical expectations by using backward stochastic differential equations. We also prove that the minimal mathematical expectation operator still preserves some properties of the mathematical expectation operator.     

正倒向随机微分方程组的数值解法

1990年,Pardoux和Peng(彭实戈)解决了非线性倒向随机微分方程(backward stochastic differential equation,BSDE)解的存在唯一性问题,从而建立了正倒向随机微分方程组(forward backward stochastic differential equations,FBSDEs)的理论基础;之后,正倒向随机微分方程组得到了广泛研究,并被应用于众多研究领域中,如随机最优控制、偏微分方程、金融数学、风险度量、非线性期望等.近年来,正倒向随机微分方程组的数值求解研究获得了越来越多的关注,本文旨在基于正倒向随机微分方程组的特性,介绍正倒向随机微分方程组的主要数值求解方法.我们将重点介绍讨论求解FBSDEs的积分离散法和微分近似法,包括一步法和多步法,以及相应的数值分析和理论分析结果.微分近似法能构造出求解全耦合FBSDEs的高效高精度并行数值方法,并且该方法采用最简单的Euler方法求解正向随机微分方程,极大地简化了问题求解的复杂度.文章最后,我们尝试提出关于FBSDEs数值求解研究面临的一些亟待解决和具有挑战性的问题.     

Systems of generalized quasivariational inclusions problems with applications to variational analysis and optimization problems

In this paper, we study an existence theorem of systems of generalized quasivariational inclusions problem. By this result, we establish the existence theorems of solutions of systems of generalized equations, systems of generalized vector quasiequilibrium problem, collective variational fixed point, systems of generalized quasiloose saddle point, systems of minimax theorem, mathematical program with systems of variational inclusions constraints, mathematical program with systems of equilibrium constraints and systems of bilevel problem and semi-infinite problem with systems of equilibrium problem constraints. This research was supported by the National Science Council of the Republic of China.     

对带误差项的Banach空间中完全广义集值拟变分包含的摄动迭代算法

研究了一类新的实Banach空间中的广义集值拟变分包含:f∈N(x，y) M(z，v) W(g(u)-h(w)，u)，它包含了近几年许多作者所作的变分包含同题．在买Banach空间中，利用极大增生算子的性质，建立了Banach空间中的广义集值拟变分包含和不动点问题间的等价性．利用这种等价性，建立了一些摄动迭代算法，并证明了近似解序列强收敛于精确解．本文的算法和结果改进和一般化了最近许多文章中相应的算法和结果。     

带Poisson 跳跃的正倒向随机延迟系统递归最优控制问题的最大值原理

本文研究了带Poisson 跳跃的正倒向随机延迟系统的递归最优控制问题. 利用经典的针状变分方法、对偶技术和带Poisson 跳跃的超前倒向随机微分方程的相关结果, 证明了最优控制的最大值原理, 包括了最优控制满足的必要条件和充分条件.     

Three-step iterative methods for general variational inclusions in L P spaces

In this paper, we show that the general variational inclusions are equivalent to the fixed point problem. We use this equivalence to discuss the existence of the variational inclusions in L ^p spaces. Using the technique of the updating solution, we suggest some three-step iterative methods for solving the general variational inclusion. We also consider the convergence analysis of the proposed iterative methods under some mild conditions. Since the general variational inclusions include several classes of variational inequalities and optimization problems as special cases, results proved in this paper continue to hold for these problems.     

A Class of Subdifferential Inclusions for Elastic Unilateral Contact Problems

We consider a class of stationary subdifferential inclusions in a reflexive Banach space. We reformulate the problem in terms of a variational inequality with multivalued term and prove an existence result using the Kakutani-Fan-Glicksberg fixed point theorem. This approach allows to consider, in a natural way, a dual variational formulation of the problem. Next, we study the link between the primal and dual formulations and provide an equivalence result. Then, we consider a new mathematical model which describes the contact of an elastic body with a foundation. We apply the abstract formalism to derive the primal and the dual variational formulations of the problem, in terms of displacement and stress, respectively. Finally, we present existence and equivalence results in the study of this contact model.     

Stochastic Burgers PDEs with random coefficients and a generalization of the Cole–Hopf transformation

This paper studies forward and backward versions of the random Burgers equation (RBE) with stochastic coefficients. First, the celebrated Cole–Hopf transformation reduces the forward RBE to a forward random heat equation (RHE) that can be treated pathwise. Next we provide a connection between the backward Burgers equation and a system of FBSDEs. Exploiting this connection, we derive a generalization of the Cole–Hopf transformation which links the backward RBE with the backward RHE and investigate the range of its applicability. Stochastic Feynman–Kac representations for the solutions are provided. Explicit solutions are constructed and applications in stochastic control and mathematical finance are discussed.     

System of vector quasi-variational inclusions with some applications

In this paper, we consider systems of vector quasi-variational inclusions which include systems of vector quasi-equilibrium problems for multivalued maps, systems of vector optimization problems and several other systems as special cases. We establish existence results for solutions of these systems. As applications of our results, we derive the existence results for solutions of system vector optimization problems, mathematical programs with systems of vector variational inclusion constraints and bilevel problems. Another application of our results provides the common fixed point theorem for a family of lower semicontinuous multivalued maps. Further applications of our results for existence of solutions of systems of vector quasi-variational inclusions are given to prove the existence of solutions of systems of Minty type and Stampacchia type generalized implicit quasi-variational inequalities. The results of this paper can be seen as extensions and generalizations of several known results in the literature.     

分数布朗运动驱动下z一致连续的BSDE解的存在性与唯一性

本文研究一类由分数布朗运动驱动的一维倒向随机微分方程解的存在性与唯一性问题,在假设其生成元满足关于y Lipschitz连续,但关于z一致连续的条件下,通过应用分数布朗运动的Tanaka公式以及拟条件期望在一定条件下满足的单调性质,得到倒向随机微分方程的解的一个不等式估计,应用Gronwall不等式得到了一个关于这类方程的解的存在性与唯一性结果,推广了一些经典结果以及生成元满足一致Lipschitz条件下的由分数布朗运动驱动的倒向随机微分方程解的结果.     

Strong Solutions of Semilinear Parabolic Equations with Measure Data and Generalized Backward Stochastic Differential Equations

We prove that under natural assumptions on the data strong solutions in Sobolev spaces of semilinear parabolic equations in divergence form involving measure on the right-hand side may be represented by solutions of some generalized backward stochastic differential equations. As an application we provide stochastic representation of strong solutions of the obstacle problem by means of solutions of some reflected backward stochastic differential equations. To prove the latter result we use a stochastic homographic approximation for solutions of the reflected backward equation. The approximation may be viewed as a stochastic analogue of the homographic approximation for solutions to the obstacle problem.     

The <Emphasis Type="Italic">p</Emphasis>-step iterative algorithm for a system of generalized mixed quasi-variational inclusions with (<Emphasis Type="Italic">H</Emphasis>,η)-monotone operators

In this paper, we introduce and study a new system of generalized mixed quasi-variational inclusions with (H,η)-monotone operators which contains variational inequalities, variational inclusions, systems of variational inequalities and systems of variational inclusions in the literature as special cases. By using the resolvent technique for the (H,η)-monotone operators, we prove the existence of solutions and the convergence of some new p-step iterative algorithms for this system of generalized mixed quasi-variational inclusions and its special cases. The results in this paper unifies, extends and improves some known results in the literature.