On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains

We prove the dynamic programming principle for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. The zeroth-order “coefficient” and the “free” term are only assumed to be measurable. In contrast with previous results established for constant stopping times we allow arbitrary stopping times and randomized ones as well. The main assumption, which will be removed in a subsequent article, is that there exists a sufficiently regular solution of the Isaacs equation.     

A reference case for mean field games models

In this article, we present a reference case of mean field games. This case can be seen as a reference for two main reasons. First, the case is simple enough to allow for explicit resolution: Bellman functions are quadratic, stationary measures are normal and stability can be dealt with explicitly using Hermite polynomials. Second, in spite of its simplicity, the case is rich enough in terms of mathematics to be generalized and to inspire the study of more complex models that may not be as tractable as this one.     

Mayer control problem with probabilistic uncertainty on initial positions

In this paper we introduce and study an optimal control problem in the Mayer's form in the space of probability measures on ${\mathbb{R}}^n$ endowed with the Wasserstein distance. Our aim is to study optimality conditions when the knowledge of the initial state and velocity is subject to some uncertainty, which are modeled by a probability measure on ${\mathbb{R}}^d$ and by a vector-valued measure on ${\mathbb{R}}^d$, respectively. We provide a characterization of the value function of such a problem as unique solution of an Hamilton–Jacobi–Bellman equation in the space of measures in a suitable viscosity sense. Some applications to a pursuit-evasion game with uncertainty in the state space is also discussed, proving the existence of a value for the game.     

A new proof of regularity for¶two-shaded image segmentations

In this paper, we consider minimizing the Mumford-Shah functional over two-valued functions in the plane, which is equivalent to minimizing over characteristic functions. Existence of minimizers is straightforward and we show that any minimizing set is essentially open, has a boundary with finitely many connected components, and each component is C ¹. The relatively quick proof does not rely on quasi-minimal surface or varifold theory, but on uniform estimates on the regularity of the boundary. Received: 4 February 1997 / Revised version: 4 February 1998     

Regularity for nonlinear stochastic games

We establish regularity for functions satisfying a dynamic programming equation, which may arise for example from stochastic games or discretization schemes. Our results can also be utilized in obtaining regularity and existence results for the corresponding partial differential equations.     

A Meyers type regularity result for approximations of second order elliptic operators by P1 finite elements

We prove a Meyers type regularity estimate for approximate solutions of second order elliptic equations obtained by P1 finite elements. The proofs rely on interpolation results for Sobolev spaces on graphs. Estimates for second order elliptic operators on rather general graphs are also obtained.     

A regularity theory for quasi-linear Stochastic PDEs in weighted Sobolev spaces

We study the second-order quasi-linear stochastic partial differential equations (SPDEs) defined on $C^1$-domains. The coefficients are random functions depending on $t,x$ and the unknown solutions. We prove the uniqueness and existence of solutions in appropriate Sobolev spaces, and in addition, we obtain $L_p$ and Hölder estimates of both the solution and its gradient.     

Loss of boundary conditions for fully nonlinear parabolic equations with superquadratic gradient terms

We study whether the solutions of a fully nonlinear, uniformly parabolic equation with superquadratic growth in the gradient satisfy initial and homogeneous boundary conditions in the classical sense, a problem we refer to as the classical Dirichlet problem. Our main results are: the nonexistence of global-in-time solutions of this problem, depending on a specific largeness condition on the initial data, and the existence of local-in-time solutions for initial data $C^1$ up to the boundary. Global existence is know when boundary conditions are understood in the viscosity sense, what is known as the generalized Dirichlet problem. Therefore, our result implies loss of boundary conditions in finite time. Specifically, a solution satisfying homogeneous boundary conditions in the viscosity sense eventually becomes strictly positive at some point of the boundary.     

On the boundedness of solutions for degenerate nonlinear elliptic equations

We establish the boundedness of solutions of Dirichlet Problem for a class of degenerate nonlinear elliptic equations. To prove the result we follow a modification of Moser's method.     

A Class of Hamilton—Jacobi Equations with Unbounded Coefficients in Hilbert Spaces

We establish existence and comparison theorems for a class of Hamilton—Jacobi equations. The class of Hamilton—Jacobi equations includes and is broader than those studied in [8] We apply the existence and uniqueness results to characterizing the value functions associated with the optimal control of systems governed by partial differential equations of parabolic type. Accepted 11 May 2001. Online publication 5 October 2001.     

Partial mean field limits in heterogeneous networks

We investigate systems of interacting stochastic differential equations with two kinds of heterogeneity: one originating from different weights of the linkages, and one concerning their asymptotic relevance when the system becomes large. To capture these effects, we define a partial mean field system, and prove a law of large numbers with explicit bounds on the mean squared error. Furthermore, a large deviation result is established under reasonable assumptions. The theory will be illustrated by several examples: on the one hand, we recover the classical results of chaos propagation for homogeneous systems, and on the other hand, we demonstrate the validity of our assumptions for quite general heterogeneous networks including those arising from preferential attachment random graph models.     

Backward stochastic Volterra integral equations—Representation of adapted solutions

For backward stochastic Volterra integral equations (BSVIEs, for short), under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist. However, satisfactory regularity of the solutions is difficult to obtain in general. Inspired by the decoupling idea of forward–backward stochastic differential equations, in this paper, for a class of BSVIEs, a representation of adapted M-solutions is established by means of the so-called representation partial differential equations and (forward) stochastic differential equations. Well-posedness of the representation partial differential equations are also proved in certain sense.     

On the sufficient condition for regularity of a boundary point for singular parabolic equations with non‐standard growth

We investigate the continuity of solutions for general nonlinear parabolic equations with non‐standard growth near a nonsmooth boundary of a cylindrical domain. We prove a sufficient condition for regularity of a boundary point.     

Absolute continuity of the law for the two dimensional stochastic Navier–Stokes equations

We consider the two dimensional Navier–Stokes equations in vorticity form with a stochastic forcing term given by a gaussian noise, white in time and colored in space. First, we prove existence and uniqueness of a weak (in the Walsh sense) solution process $\xi$ and we show that, if the initial vorticity ${\xi }_0$ is continuous in space, then there exists a space–time continuous version of the solution. In addition we show that the solution $\xi (t,x)$ (evaluated at fixed points in time and space) is locally differentiable in the Malliavin calculus sense and that its image law is absolutely continuous with respect to the Lebesgue measure on $\mathbb{R}$.     

Optimal control for two-dimensional stochastic second grade fluids

This article deals with a stochastic control problem for certain fluids of non-Newtonian type. More precisely, the state equation is given by the two-dimensional stochastic second grade fluids perturbed by a multiplicative white noise. The control acts through an external stochastic force and we search for a control that minimizes a cost functional. We show that the Gâteaux derivative of the control to state map is a stochastic process being the unique solution of the stochastic linearized state equation. The well-posedness of the corresponding stochastic backward adjoint equation is also established, allowing to derive the first order optimality condition.     

Regularity results and optimal control problems for the perturbation of boussinesq equations of the ocean

We study in this article a method which computes the variability of current, density and pressure in an oceanic domain. The equations are of Navier-Stokes type for the velocity and pressure, of transport-diffusion type for the density. They are linearized around a given mean circulation and modified by the Boussinesq approximation: density variations are neglected except in the terms of gravity acceleration. The existence and uniqueness of a solution are proved for two sets of equations: first the three-dimensional problem and then the two-dimensional cyclic problem derived by assuming a sinusoidal x-dependence for the perturbation of mean flow. The latter corresponds to a modelization of tropical instability waves which are illustrated by the El Nino phenomenon.

The value of the pressure p on the surface of ocean is of great interest for physical interpretation. To define that quantity, it is necessary to have the regularity p ? H ¹. We have proved that the perturbation (u,ρ,p) of mean circulation is such that: u ? L ²(0T,H ²), ρ ? L ²(0,T H ²) and p ? L ² L ²(0,T H ¹), provided the perturbation of the windstress is sufficiently regular and satisfies compatibility relations. It is proved by means of an extension method, with even-odd reflection. We then develop a problem of control. The observation is the Variability of pressure on the surface of ocean. The control is the variability of windstress f, which acts as to forcing of the perturbation. We prove the existence and uniqueness of an optimal control, which is characterized by a set of equations including the direct problem and the adjoint problem. These results are valid for the three-dimensional problem and the two-dimensional cyclic problem.     

Singular evolution integro-differential equations with kernels defined on bounded intervals

We study linear singular first-order integro-differential Cauchy problems in Banach spaces. The adjective “singular” means here that the integro-differential equation is not in normal form neither can it be reduced to such a form. We generalize some existence and uniqueness theorems proved in [5] Favini, A, Lorenzi, A and Tanabe, H. 2002. Singular integro-differential equations of parabolic type. Advances in Differential Equations, 7: 769–798.  [Google Scholar] for kernels defined on the entire half-line R ₊ to the case of kernels defined on bounded intervals removing the strict assumption that the kernel should be Laplace-transformable.

Particular attention is paid to single out the optimal regularity properties of solutions as well as to point out several explicit applications relative to singular partial integro-differential equations of parabolic and hyperbolic type.     

Existence and global attractiveness of a square‐mean ‐pseudo almost automorphic solution for some stochastic evolution equation driven by Lévy noise

In this work, we introduce the concept of μ‐pseudo almost automorphic processes in distribution. We use the μ‐ergodic process to define the spaces of μ‐pseudo almost automorphic processes in the square mean sense. We establish many interesting results on the functional space of such processes like a composition theorem. Under some appropriate assumptions, we establish the existence, the uniqueness and the stability of the square‐mean μ‐pseudo almost automorphic solutions in distribution to a class of abstract stochastic evolution equations driven by Lévy noise. We provide an example to illustrate our results.