Stochastic Differential Games with Multiple Modes and a Small Parameter

Abstract

Two persons stochastic differential games with multiple modes where the system is driven by a wideband noise is considered. The state of the system at time t is given by a pair (x ^ε(t), θ^ε(t)), where θ^ε(t) takes values in S = {1, 2,…, N} and ε is a small parameter. The discrete component θ^ε(t) describes various modes of the system. The continuous component x ^ε(t) is governed by a “controlled process” with drift vector which depends on the discrete component θ^ε (t). Thus, the state of the system, x ^ε(t), switches from one random path to another at random times as the mode θ^ε(t) changes. The discrete component θ^ε (t) is a “controlled Markov chain” with transition rate matrix depending on the continuous component. Both zero-sum and nonzero-sum games will be considered. In a zero-sum game, player I is trying to maximize certain expected payoff over his/her admissible strategies, where as player II is trying to minimize the same over his/her admissible strategies. This kind of game typically occurs in a pursuit-evation problem where an interceptor tries to destroy a specific target. Due to swift manuaring of the evador and the corresponding reaction by the interceptor, the trajectory keep switching rapidly at random times. We will show that the process (x ^ε(t), θ^ε(t)) converges to a process whose evolution is given by a “controlled diffusion process” with switching random paths. We will also establish the existence of randomized δ -optimal strategies for both players.     

Asymptotic limit of initial boundary value problems for conservation laws with relaxational extensions

We study the boundary layer effect in the small relaxation limit to the equilibrium scalar conservation laws in one space dimension for the relaxation system proposed in [6]. First, it is shown that for initial and boundary data satisfying a strict version of the subcharacteristic condition, there exists a unique global (in time) solution, (u^ε, v^ε), to the relaxation system (1.4) for each ε > 0. The spatial total variation of (u^ε, v^ε) is shown to be bounded independently of ε, and consequently, a subsequence of (u^ε, v^ε) converges to a limit (u, v) as ε → 0⁺. Furthermore, u(x, t) is a weak solution to the scalar conservation law (1.5) and v = f(u). Next, we prove that for data that are suitably small perturbations of a nontransonic state, the relaxation limit function satisfies the boundary-entropy condition (2.11). Finally, the weak solutions to (1.5) with the boundary-entropy condition (2.11) is shown to be unique. Consequently, the relaxation limit of solutions to (1.4) is unique, and the whole sequence converges to the unique limit. One consequence of our analysis shows that the boundary layer occurs only in the u-component in the sense that v^ε(0, ·) converges strongly to γ ○ v = f(γ ○ u), the trace of f(u) on the t-axis. © 1998 John Wiley & Sons, Inc.     

A Variational Principle for the Ackerberg-O'Malley Resonance Problem

A new variational principle is proposed for determining the asymptotic expansion of the solution of the Ackerberg-O'Malley resonance problem [Stud. Appl. Math. 49:277–295 (1970)] to any order in ε. The method used yields new higher-order results not permitted by the technique of Grasman and Matkowsky [SIAM J. Appl. Math. 32:588–597 (1977)]. Explicit results using the method are reported to O(ε) and confirmed with asymptotic expansions of the exact solution; the O(1) results agree with those reported in the literature. In the case where the coefficient functions are analytic, an exact solution is presented. It is not difficult to perform the higher-order calculations using the proposed variational approach, in contrast to the current methods in use.     

A singularly perturbed nonlinear traction problem in a periodically perforated domain: a functional analytic approach

We consider a periodically perforated domain obtained by making in a periodic set of holes, each of them of size proportional to ε. Then, we introduce a nonlinear boundary value problem for the Lamé equations in such a periodically perforated domain. The unknown of the problem is a vector‐valued function u, which represents the displacement attained in the equilibrium configuration by the points of a periodic linearly elastic matrix with a hole of size ε contained in each periodic cell. We assume that the traction exerted by the matrix on the boundary of each hole depends (nonlinearly) on the displacement attained by the points of the boundary of the hole. Then, our aim is to describe what happens to the displacement vector function u when ε tends to 0. Under suitable assumptions, we prove the existence of a family of solutions {u(ε, ? )}_{ε ∈ ]0,ε ′ [} with a prescribed limiting behavior when ε approaches 0. Moreover, the family {u(ε, ? )}_{ε ∈ ]0,ε ′ [} is in a sense locally unique and can be continued real analytically for negative values of ε. Copyright © 2013 John Wiley & Sons, Ltd.     

Uncertainty quantification for random parabolic equations with nonhomogeneous boundary conditions on a bounded domain via the approximation of the probability density function

This paper deals with the randomized heat equation defined on a general bounded interval [L₁, L₂] and with nonhomogeneous boundary conditions. The solution is a stochastic process that can be related, via changes of variable, with the solution stochastic process of the random heat equation defined on [0,1] with homogeneous boundary conditions. Results in the extant literature establish conditions under which the probability density function of the solution process to the random heat equation on [0,1] with homogeneous boundary conditions can be approximated. Via the changes of variable and the Random Variable Transformation technique, we set mild conditions under which the probability density function of the solution process to the random heat equation on a general bounded interval [L₁, L₂] and with nonhomogeneous boundary conditions can be approximated uniformly or pointwise. Furthermore, we provide sufficient conditions in order that the expectation and the variance of the solution stochastic process can be computed from the proposed approximations of the probability density function. Numerical examples are performed in the case that the initial condition process has a certain Karhunen‐Loève expansion, being Gaussian and non‐Gaussian.     

ΓD‐convergence for a class of quasilinear elliptic equations in thin structures

We study the asymptotic behaviour of the solution of a stationary quasilinear elliptic problem posed in a domain Ω^(ε) of asymptotically degenerating measure, i.e. meas Ω^(ε) → 0 as ε → 0, where ε is the parameter that characterizes the scale of the microstructure. We obtain the convergence of the solution and the homogenized model of the problem is constructed using the notion of convergence in domains of degenerating measure. Proofs are given using the method of local characteristics of the medium Ω^(ε) associated with our problem in a variational form. Copyright © 2005 John Wiley & Sons, Ltd.     

半参数回归模型小波估计的矩相合性

用小波方法,考虑半参数回归模型y_i=X_i~Tβ+g(t_i)+ε_i(1≤i≤n),其中β∈R~d为未知参数,g(t)为[0,1]上未知的Borel可测函数,X_i为R~d上的随机设计,随机误差{ε_i}为鞅差序列,{t_i}为[0,1]上的常数序列.得到参数及非参数的小波估计量的q-阶矩相合性.     

A regularization for discontinuous differential equations with application to state-dependent delay differential equations of neutral type

We consider a regularization for a class of discontinuous differential equations arising in the study of neutral delay differential equations with state dependent delays. For such equations the possible discontinuity in the derivative of the solution at the initial point may propagate along the integration interval giving rise to so-called “breaking points”, where the solution derivative is again discontinuous. Consequently, the problem of continuing the solution in a right neighborhood of a breaking point is equivalent to a Cauchy problem for an ode with a discontinuous right-hand side (see e.g. Bellen et al., 2009 [4]). Therefore a classical solution may cease to exist.The regularization is based on the replacement of the vector-field with its time average over an interval of length ε>0. The regularized solution converges as ε→⁰⁺ to the classical Filippov solution (Filippov, 1964, 1988 [13] and [14]). Several properties of the solutions corresponding to small ε>0 are presented.     

Definability and nondefinability results for certain o‐minimal structures

The main goal of this note is to study for certain o‐minimal structures the following propriety: for each definable C^∞ function g₀: [0, 1] → ? there is a definable C^∞ function g: [–ε, 1] → ?, for some ε > 0, such that g (x) = g₀(x) for all x ∈ [0, 1] (© 2010 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Shotgun assembly of random jigsaw puzzles

We consider the shotgun assembly problem for a random jigsaw puzzle, introduced by Mossel and Ross (2015). Their model consists of a puzzle—an n×n grid, where each vertex is viewed as a center of a piece. Each of the four edges adjacent to a vertex is assigned one of q colors (corresponding to “jigs,” or cut shapes) uniformly at random. Unique assembly refers to there being only one puzzle (the original one) that is consistent with the collection of individual pieces. We show that for any ε>0, if q ≥ n^1+ε, then unique assembly holds with high probability. The proof uses an algorithm that assembles the puzzle in time n^Θ(1/ε).22     

Rawlins' problem for half-plane diffraction: its generalized eigenfunctions with real wave numbers

This paper deals with a famous diffraction problem for a single half-plane Σ: x>0, y=0 as an obstacle and for some time-harmonic plane incident wave field. Rawlins in 1975 was the first to solve the mixed (Dirichlet/Neumann) boundary value problem for the scalar Helmholtz equation. He also was the first to solve the equivalent pair of coupled Wiener–Hopf equations explicitly by factoring their discontinuous 2×2 Fourier matrix symbol in 1980. Although for real wave numbers k the usual factorization procedure fails it will serve as the basis: Following the lines given by Ali Mehmeti in his habilitation thesis [1] for the (Dirichlet/Dirichlet) boundary value problem we combine the idea of integral path deforming along the branch cuts of the characteristic square root √(ξ²−k²) given in Meister's book [13] with the modern Wiener–Hopf method solution derived by Speck [24] explicitly in a H^1+ε, ε⩾0, Sobolev space setting. The symmetry of the intermediate spaces H^s, H^-s, ∣s∣<1 2, which is due to generalized factorization, plays a key role in deforming the Fourier integral paths in order to get Laplace transform representations of the generalized eigenfunctions of the problem. As a remarkable fact 0<ε<¼ must hold here. © 1997 by B. G. Teubner Stuttgart–John Wiley & Sons Ltd.     

On a backward problem for fractional diffusion equation with Riemann-Liouville derivative

In the present paper, we study the initial inverse problem (backward problem) for a two-dimensional fractional differential equation with Riemann-Liouville derivative. Our model is considered in the random noise of the given data. We show that our problem is not well-posed in the sense of Hadamard. A truncated method is used to construct an approximate function for the solution (called the regularized solution). Furthermore, the error estimate of the regularized solution in L² and H^τ norms is considered and illustrated by numerical example.     

On the Number of Records in an iid Discrete Sequence

The problem of the rate of growth of the number of record values and weak record values in an iid sequence of integer valued random variables is attacked as a perturbation of the case for continuous random variables. Conditions in terms of either the underlying probability mass function or the hazard function of the underlying distribution are given for the rate of growth of the number of records to be log(n) almost surely. The record problem has been considered by Gouet et al.(2001) [Adv. Appl. Prob. 33, 473-864] and by Vervaat(1973) [Stochastic processes Appl. 1, 317-334]. The results for records overlap those found in the former paper. The methods here are more elementary, and the results on weak records are not mentioned there. This paper improves on what may be derived from results in Vervaat. (1973) [Stochastic Processes Appl. 1, 317-334] An erratum to this article can be found at     

The random planar graph process

We consider the following variant of the classical random graph process introduced by Erd?s and Rényi. Starting with an empty graph on n vertices, choose the next edge uniformly at random among all edges not yet considered, but only insert it if the graph remains planar. We show that for all ε > 0, with high probability, θ(n²) edges have to be tested before the number of edges in the graph reaches (1 + ε)n. At this point, the graph is connected with high probability and contains a linear number of induced copies of any fixed connected planar graph, the first property being in contrast and the second one in accordance with the uniform random planar graph model. © 2007 Wiley Periodicals, Inc. Random Struct. Alg., 2008     

Multidimensional Oscillations for Non-linear Hyperbolic Mixed Problem: The Justified Non-linear Geometric Optics Method

The mixed-Neumann problem for the non-linear wave equation □u−a(u)(∣∂_tu)∣²−∣∇u∣² = f_ε(z) is studied. The function f_ε(z) = ∑_k∈Kf_k(z,ε⁻¹ϕ_k(z),ε), ε∈[0,1], K is finite, f_k(z,θ_k,ε) are 2π-periodic with respect to θ_k. The existence of solution u_ε on a domain z = (t,x,y)∈[0,T]×ℝ₊×ℝ^d, d = 1 or 2, is proved when ε is sufficiently small; T does not depend on ε. By the non-linear geometric optics method the asymptotic (with respect to ε→0) solution ũ _ε is constructed. The estimation for the rest ε²r_ε = u_ε−ũ_ε is derived and the limit r_ε, ε→0, is studied.     

Long repetitive patterns in random sequences

Summary Appearances of long repetitive sequences such as 00...0 or 1010...101 in random sequences are studied. The expected length of the longest repetitive run of any specified type in a random binary sequence of length n is shown to tend to the binary logarithm of n plus a periodic function of log n. Necessary and sufficient conditions are derived to ensure that with probability 1 an infinite random sequence should contain repetitive runs of specified lengths in given initial segments. Finally, the number of long repetitive runs of a specified kind that occur in a random sequence is studied. These results are derived from simple expressions for the generating functions for the probabilities of occurrences of various repetitive runs. These generating functions are rational, and lead to sharp asymptotic estimates for the probabilities.     

Multiplicity of fixed points and growth of ε-neighborhoods of orbits

We study the relationship between the multiplicity of a fixed point of a function g, and the dependence on ε of the length of ε-neighborhood of any orbit of g, tending to the fixed point. The relationship between these two notions was discovered in Elezovi?, ?ubrini? and ?upanovi? (2007) [5] in the differentiable case, and related to the box dimension of the orbit.Here, we generalize these results to non-differentiable cases introducing a new notion of critical Minkowski order. We study the space of functions having a development in a Chebyshev scale and use multiplicity with respect to this space of functions. With the new definition, we recover the relationship between multiplicity of fixed points and the dependence on ε of the length of ε-neighborhoods of orbits in non-differentiable cases.Applications include in particular Poincaré maps near homoclinic loops and hyperbolic 2-cycles, and Abelian integrals. This is a new approach to estimate the cyclicity, by computing the length of the ε-neighborhood of one orbit of the Poincaré map (for example numerically), and by comparing it to the appropriate scale.     

Analyzing linear mergers

Mergers are functions that transform k (possibly dependent) random sources (distributions) into a single random source, in a way that ensures that if one of the input sources has min‐entropy rate δ then the output has min‐entropy rate close to δ. Mergers have proven to be a very useful tool in explicit constructions of extractors and condensers, and are also interesting objects in their own right. In this work we give a refined analysis of the merger constructed by [Raz, STOC'05] (based on [Lu, Reingold, Vadhan, and Wigderson, STOC'03 pp. 602–611, 2003]). Our analysis uses min‐entropy instead of Shannon's entropy to derive tighter results than the ones obtained in [Raz STOC'05]. We show that for every constant r and k it is possible to construct a merger that takes as input k strings of length n bits each, and outputs a string of length n/r bits, such that if one of the input sources has min‐entropy b, the output will be close to having min‐entropy b/(r + 1). This merger uses a constant number of additional uniform bits. One advantage of our analysis is that b (the min‐entropy of the “good” source) can be as small as a constant (this constant depends on r and k), while in the analysis given in [Raz STOC'05], b is required to be linear in n. © 2007 Wiley Periodicals, Inc. Random Struct. Alg., 2008     

Expansion properties of random Cayley graphs and vertex transitive graphs via matrix martingales

The Alon–Roichman theorem states that for every ε> 0 there is a constant c(ε), such that the Cayley graph of a finite group G with respect to c(ε)log ∣G∣ elements of G, chosen independently and uniformly at random, has expected second largest eigenvalue less than ε. In particular, such a graph is an expander with high probability. Landau and Russell, and independently Loh and Schulman, improved the bounds of the theorem. Following Landau and Russell we give a new proof of the result, improving the bounds even further. When considered for a general group G, our bounds are in a sense best possible. We also give a generalization of the Alon–Roichman theorem to random coset graphs. Our proof uses a Hoeffding‐type result for operator valued random variables, which we believe can be of independent interest. © 2007 Wiley Periodicals, Inc. Random Struct. Alg., 2008