On the Global-in-Time Existence of a Generalized Solution to a Free-Boundary Problem

A problem with free (unknown) boundary for a one-dimensional diffusion-convection equation is considered. The unknown boundary is found from an additional condition on the free boundary. By the extension of the variables, the problem in an unknown domain is reduced to an initial boundary-value problem for a strictly parabolic equation with unknown coefficients in a known domain. These coefficients are found from an additional boundary condition that enables the construction of a nonlinear operator whose fixed points determine a solution of the original problem.

     

Iterative method for solving an inverse coefficient problem for a hyperbolic equation

For a hyperbolic equation, we consider an inverse coefficient problem in which the unknown coefficient occurs in both the equation and the initial condition. The solution values on a given curve serve as additional information for determining the unknown coefficient. We suggest an iterative method for solving the inverse problem based on reduction to a nonlinear operator equation for the unknown coefficient and prove the uniform convergence of the iterations to a function that is a solution of the inverse problem.     

Numerical Solution of Inverse Problems for a Hyperbolic Equation with a Small Parameter Multiplying the Highest Derivative

We consider two inverse problems for a hyperbolic equation with a small parameter multiplying the highest derivative. The inverse problems are reduced to systems of linear Volterra integral equations of the second kind for the unknown functions. These systems are used to prove the existence and uniqueness of the solution of the inverse problems and numerically solve them. The applicability of the methods developed here to the approximate solution of the problem on an unknown source in the heat equation is studied numerically.     

Dirichlet problem for a third-order equation of mixed type in a rectangular domain

For a third-order differential equation of parabolic-hyperbolic type, we suggest a method for studying the first boundary value problem by solving an inverse problem for a second-order equation of mixed type with unknown right-hand side. We obtain a uniqueness criterion for the solution of the inverse problem. The solution of the inverse problem and the Dirichlet problem for the original equation is constructed in the form of the sum of a Fourier series.     

On a modification of the extremal shift method for a second-order differential equation in a Hilbert space

A problem of tracking a solution of a second-order differential equation in a Hilbert space by a solution of another equation is considered. It is assumed that the first (reference) equation is subject to the action of an unknown control, which is unbounded in time. In the case when the current states of both equations are observed with small errors, a solution algorithm stable with respect to informational noises and computational inaccuracies is designed. The algorithm is based on N.N. Krasovskii’s extremal shift method known in the theory of guaranteed control.     

Control Problem for a Nonlinear Distributed Equation

For a distributed second-order differential equation, we consider the problem of constructing a control law ensuring that the solution of this equation tracks the solution of a standard equation subjected to an unknown disturbance. A control design algorithm based on constructions of feedback control theory is proposed. The algorithm is stable under information noise and computational errors.     

On a nonlocal problem for a degenerating parabolic-hyperbolic equation

For an equation of mixed type in a rectangular domain, we use spectral analysis to establish a uniqueness criterion for the solution of a problem with a nonlocal condition relating the values of the unknown solution that belong to different types of the considered equation. We prove the stability of the solution with respect to the nonlocal condition.     

Inverse problem of simultaneously determining the right-hand side and the coefficient of a lower order derivative for a parabolic equation on the plane

We obtain existence and uniqueness theorems for the solution of the inverse problem of simultaneously determining the right-hand side and the coefficient of a lower-order derivative in a parabolic equation under an integral observation condition. We give explicit estimates for the maximum absolute value of the unknown right-hand side and the unknown coefficient of the equation with constants expressed via the input data of the problem. We present a nontrivial example of an inverse problem to which our theorems apply.     

Generalized differential equation arising in the solution of the inverse scattering problem in a layered medium

We consider a nonclassical ordinary differential equation containing not only an unknown function but also an unknown coefficient depending on the unknown function. We show that if the desired solution is assumed to have bounded variation and be a.e. constant on the interval where the equation is considered, then the problem of finding the solution and the unknown coefficient does not have a unique solution in terms of the classical derivative. We prove that if the derivative is understood as a distribution, than this problem has a unique solution. These results are used to show that the acoustic impedance and the damping factor in the inverse scattering problem in a layered dissipative medium can be determined simultaneously.     

An inverse problem for a parabolic equation in a free-boundary domain degenerating at the initial time moment

We consider an inverse problem for a one-dimensional parabolic equation with unknown time-dependent major coefficient in a domain whose unknown boundary weakly degenerates at the initial time moment. The conditions for existence and uniqueness of the classical solution of the problem are established.     

Recovering a source term in the time-fractional Burgers equation by an energy boundary functional equation

An inverse source problem for the recovery of an unknown space–time dependent source term of a time-fractional Burgers equation is solved in the paper. By using the prescribed boundary data, a sequence of boundary functions is derived, which together with the zero element constitute a linear space. An energy boundary functional equation is derived in the linear space, of which the time-dependent energy is preserved for each energy boundary function. The iterative algorithm used to recover the unknown source with energy boundary functions as the bases is developed, which is robust and convergent fast.     

Coefficient inverse problem for a parabolic equation in a domain with free boundary

We establish conditions for the local existence and uniqueness of a solution of an inverse problem for a parabolic equation with unknown minor coefficients in a domain with free boundary.     

An iterative procedure for determining an unknown spacewise-dependent coefficient in a parabolic equation

An inverse problem for the determination of an unknown spacewise-dependent coefficient in a parabolic equation is considered. The problem is reformulated as a nonclassical parabolic equation along with the initial and boundary conditions. The iterative fixed point projection method is applied to solve the reformulated problem. The comparison analysis of proposed method with a least square method and some numerical examples are presented.     

Adaptive control of a continuous-time portfolio and consumption model

In this paper, an adaptive control problem is formulated and solved using Merton's stochastic differential equation for the wealth in a portfolio selection and consumption model. Since the asset prices are assumed to satisfy a log normal distribution, it suffices to consider two assets. It is assumed that the drift parameter for the price of the risky asset is unknown. A recursive family of estimators for this unknown parameter is defined and is shown to converge almost surely to the true value of the parameter. The controls in the equation for the wealth are obtained from the optimal controls where the estimates of the unknown parameter are substituted for the unknown parameter.This research was partially supported by NSF Grant No. ECS-84-03286-A01.The authors wish to thank P. Varaiya for some useful comments on this paper.     

Integral-Functional Equation Arising in the Study of an Inverse Problem for a Quasilinear Hyperbolic Equation

A problem with data on the characteristics is considered for a quasilinear hyperbolic equation. The inverse problem of determining two unknown coefficients of the equation from some additional information about the solution is posed. One of the unknown coefficients depends on the independent variable, and the other, on the solution of the equation. Uniqueness theorems are proved for the solution of the inverse problem. The proof is based on the derivation of the integro-functional equation and the analysis of the uniqueness of its solution.     

An identification problem for a linear integrodifferential equation occurring in heat flow

A linear integrodifferential equation describing the heat flow in a material with memory is considered. This equation contains a pair of time-dependent convolution kernels that are unknown. Such kernels are recovered by using an overdetermined set of data. A local existence theorem for small times and the continuous dependence of the solutions on the data are shown.     

On a Modification of the Dynamic Regularization Method

Differential Equations - A regularizing algorithm is presented for solving the problem of dynamic reconstruction of an unknown input in a nonlinear vector differential equation. The algorithm is...     

Excitation of a wave field in a triangular domain with impedance boundary conditions

The Helmholtz equation in a closed domain that is an equilateral triangle with inhomogeneous impedance boundary conditions is considered. A functional equation in which the unknown function is the Fourier-image of a wave field on the boundary of the domain is constructed. This functional equation is solved for the case of homogeneous boundary conditions (the problem on eigenvalues), as well as for the case of inhomogeneous boundary conditions in the absence of the resonance. Bibliography: 4 titles. Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 250, 1998, pp. 300–318. Translated by A. V. Shanin.     

Parameter estimation for a price series model by solving a linear SDE with a Poisson component

A model of a series of price increments with jumps is constructed based on a linear stochastic differential equation with a Poisson component. Some estimates of unknown parameters of the model and SDE are obtained by using the method of moments. A statistical simulation algorithm for solving an SDE with a Poisson component in general form is proposed. Results of numerical experiments are given.     

Inverse problem of finding the coefficient of a lower derivative in a parabolic equation on the plane

We study the existence and uniqueness of the solution of the inverse problem of finding an unknown coefficient b(x) multiplying the lower derivative in the nondivergence parabolic equation on the plane. The integral of the solution with respect to time with some given weight function is given as additional information. The coefficients of the equation depend on the time variable as well as the space variable.