Non-differentiable embedding of Lagrangian systems and partial differential equations

We develop the non-differentiable embedding theory of differential operators and Lagrangian systems using a new operator on non-differentiable functions. We then construct the corresponding calculus of variations and we derive the associated non-differentiable Euler-Lagrange equation, and apply this formalism to the study of PDEs. First, we extend the characteristics method to the non-differentiable case. We prove that non-differentiable characteristics for the Navier-Stokes equation correspond to extremals of an explicit non-differentiable Lagrangian system. Second, we prove that the solutions of the Schrödinger equation are non-differentiable extremals of the Newton?s Lagrangian.     

Quantum derivatives and the Schrödinger equation

We define a scale derivative for non-differentiable functions. It is constructed via quantum derivatives which take into account non-differentiability and the existence of a minimal resolution for mean representation. This justify heuristic computations made by Nottale in scale-relativity. In particular, the Schrödinger equation is derived via the scale-relativity principle and Newton’s fundamental equation of dynamics.     

Necessary and sufficient conditions for the fractional calculus of variations with Caputo derivatives

We prove optimality conditions for different variational functionals containing left and right Caputo fractional derivatives. A sufficient condition of minimization under an appropriate convexity assumption is given. An Euler–Lagrange equation for functionals where the lower and upper bounds of the integral are distinct of the bounds of the Caputo derivative is also proved. Then, the fractional isoperimetric problem is formulated with an integral constraint also containing Caputo derivatives. Normal and abnormal extremals are considered.     

Symmetries in the stochastic calculus of variations

Summary. Given a stochastic action integral we define a notion of invariance of this action under a family of one parameter space-time transformations and a notion of prolonged transformations which extend the existing analogs in classical calculus of variations. We prove that a family of prolonged transformations leaves the action integral invariant if and only if it leaves invariant the heat equation associated to it as well as the structure of the extremals. We then prove a stochastic version of Noether theorem: to each family of transformations leaving the action invariant (or symmetries) we can associate a function which gives a martingale when taken along a process minimizing the action under endpoint constraints. Received: 29 June 1996 / In revised form: 19 July 1996     

Fractional variational calculus with classical and combined Caputo derivatives

We give a proper fractional extension of the classical calculus of variations by considering variational functionals with a Lagrangian depending on a combined Caputo fractional derivative and the classical derivative. Euler-Lagrange equations to the basic and isoperimetric problems as well as transversality conditions are proved.     

Functional Itô calculus,path-dependence and the computation of Greeks

Dupire’s functional Itô calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce a measure of path-dependence of functionals within the functional Itô calculus framework. Namely, we consider the Lie bracket of the space and time functional derivatives, which we use to classify functionals accordingly to their degree of path-dependence. We then revisit the problem of efficient numerical computation of Greeks for path-dependent derivatives using integration by parts techniques. Special attention is paid to path-dependent functionals with zero Lie bracket, called locally weakly path-dependent functionals in our classification. Hence, we derive the weighted-expectation formulas for their Greeks. In the more general case of fully path-dependent functionals, we show that, equipped with the functional Itô calculus, we are able to analyze the effect of the Lie bracket on the computation of Greeks. Moreover, we are also able to consider the more general dynamics of path-dependent volatility. These were not achieved using Malliavin calculus.     

Existence of singular extremals and singular functionals in reachable spaces

Given a linear, infinite dimensional control system with point target and "full" control we show that singular extremals for the minimum norm problem exist except in certain exceptional cases ("singular" means "not satisfying Pontryagin's maximum principle"). Existence of singular extremals implies existence of certain functionals (also called singular) in the space of reachable states. Received March 5, 2001; accepted April 10, 2001.     

Energy Minimization Problem in Two-Level Dissipative Quantum Control: Meridian Case

We analyze the energy-minimizing problem for a two-level dissipative quantum system described by the Kossakowsky–Lindblad equation. According to the Pontryagin maximum principle (PMP), minimizers can be selected among normal and abnormal extremals whose dynamics are classified according to the values of the dissipation parameters. Our aim is to improve our previous analysis from [5] concerning 2D solutions in the case where the Hamiltonian dynamics are integrable.     

Planar Manhattan Locally Minimal and Critical Networks

One-dimensional branching extremals of Lagrangian-type functionals are considered. Such extremals appear as solutions to the classical Steiner problem on a shortest network, i.e., a connected system of paths that has the smallest total length among all the networks spanning a given finite set of terminal points in the plane. In the present paper, the Manhattan-length functional is investigated, with Lagrangian equal to the sum of the absolute values of projections of the velocity vector onto the coordinate axes. Such functionals are useful in problems arising in electronics, robotics, chip design, etc. In this case, in contrast to the case of the Steiner problem, local minimality does not imply extremality (however, each extreme network is locally minimal). A criterion of extremality is presented, which shows that the extremality with respect to the Manhattan-length functional is a global topological property of networks. Bibliography: 95 titles.     

Maximum Principle for General Controlled Systems Driven by Fractional Brownian Motions

We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter H>1/2). This maximum principle specifies a system of equations that the optimal control must satisfy (necessary condition for the optimal control). This system of equations consists of a backward stochastic differential equation driven by both fractional Brownian motions and the corresponding underlying standard Brownian motions. In addition to this backward equation, the maximum principle also involves the Malliavin derivatives. Our approach is to use conditioning and Malliavin calculus. To arrive at our maximum principle we need to develop some new results of stochastic analysis of the controlled systems driven by fractional Brownian motions via fractional calculus. Our approach of conditioning and Malliavin calculus is also applied to classical system driven by standard Brownian motions while the controller has only partial information. As a straightforward consequence, the classical maximum principle is also deduced in this more natural and simpler way.     

A recurrence formula with respect to the Cameron–Storvick type theorem of the 𝒯-transform

ABSTRACT

In this paper, we define a transform which has the kernel in its definition and a concept of derivative for functionals on Wiener space. We then establish some results and formulas for the transforms of functionals on Wiener space. We also establish the Cameron–Storvick type theorem for the transform. Finally, we obtain the recurrence formula for the transforms to evaluate formulas involving the multi-dimensional derivative.     

Deformations of functionals and bifurcations of extremals

We study homology characteristics of critical values and extremals of Lipschitz functionals defined on bounded closed convex subsets of a reflexive space that are invariant under deformations. Sufficient conditions for the existence of a bifurcation point of a multivalued potential operator (the switch principle for the typical number of an extremal) are established.     

The gonality of smooth curves with plane models

The Hausdorff measure with fractional index is used in order to define a functional on measurable sets of the plane. A fractal set, constructed using the well-known Von Koch set, is involved in the definition. This functional is proved to arise as the limit of a sequence of classical functionals defined on sets of finite perimeter. Thus it is shown that a natural extension of the ordinary functionals of the calculus of variations leads both to fractal sets and to the fractional Hausdorff measure.     

奇数维可压缩液晶流方程解的逐点估计

首先, 本文利用标准的能量估计方法得到高维(3 维及以上) 的液晶流方程组小初值经典解的整体存在性. 然后, 本文运用Green 函数方法, 得到奇数维情形(3 维及以上) 该解的逐点估计. 该结果表明, 密度ρ和动量m同Navier-Stokes 方程组一样满足一般Huygens 原理, 而单位向量场d则没有这种现象, 其有着与热方程的解类似的时空估计.     

Maximum principle for the optimal control of a hyperbolic equation in one space dimension,part 1: Theory

A maximum principle is developed for a class of problems involving the optimal control of a damped-parameter system governed by a linear hyperbolic equation in one space dimension that is not necessarily separable. A convex index of performance is formulated, which consists of functionals of the state variable, its first- and second-order space derivatives, its first-order time derivative, and a penalty functional involving the open-loop control force. The solution of the optimal control problem is shown to be unique. The adjoint operator is determined, and a maximum principle relating the control function to the adjoint variable is stated. The proof of the maximum principle is given with the help of convexity arguments. The maximum principle can be used to compute the optimal control function and is particularly suitable for problems involving the active control of structural elements for vibration suppression.     

Quantum Lévy Laplacian and associated heat equation

As a non-commutative extension of the Lévy Laplacian for entire functions on a nuclear space, we define the quantum Lévy Laplacian acting on white noise operators. We solve a heat type equation associated with the quantum Lévy Laplacian and study its relation to the classical Lévy heat equation. The solution to the quantum Lévy heat equation is obtained also from a normal-ordered white noise differential equation involving the quadratic quantum white noise.     

Transformation of Quadratic Forms to Perfect Squares for Broken Extremals

In this paper we study a quadratic form which corresponds to an extremal with piecewise continuous control in variational problems. This form, compared with the classical one, has some new terms connected with the set of all points of discontinuity of the control. Its positive definiteness is a sufficient optimality condition for broken extremals. We show that if there exists a solution to corresponding Riccati equation satisfying some jump condition at each point of the set , then the quadratic form can be transformed to a perfect square, just as in the classical case. As a result we obtain sufficient conditions for positive definiteness of the quadratic form in terms of the Riccati equation and hence, sufficient optimality conditions for broken extremals.     

Variational problems for Hölderian functions with free terminal point

We develop the new variational calculus introduced in 2011 by J. Cresson and I. Greff, where the classical derivative is substituted by a new complex operator called the scale derivative. In this paper, we consider several nondifferentiable variational problems with free terminal point with and without constraints of first and higher‐order type. Copyright © 2014 John Wiley & Sons, Ltd.     

Singular Normal Extremals and Conjugate Points for Bolza Functionals

In this paper, we study the problem of the optimal control for Bolza functionals by investigating extremals containing singular arcs. We use the Moore–Penrose generalized inverse, which allows one to determine normality criteria and sufficient conditions for the nonexistence of conjugate points.     

Determination of Lagrangians from Equations of Motion and Commutator Brackets

The question as to whether a given set of equations, which govern the dynamical evolution of a system, determine a Lagrangian is considered. This problem, which has come to be known as the inverse problem of the calculus of variations, is reviewed and theorems which contain systems of partial differential equations which determine a type of self-adjointness are developed. It is shown that, given a reasonable form for the classical correspondence, the usual quantum commutator brackets can be expressed in terms of classical quantities which satisfy a particular form of these equations.