Maximin investment problems for discounted and total wealth

Email: nikolaidokuchaev{at}trentu.ca Received on 27 March 2006. Accepted on 14 September 2007. We study an optimal investment problem for a continuous-timeincomplete market model such that the risk-free rate, the appreciationrates and the volatility of the stocks are all random; theyare not necessarily adapted to the driving Brownian motion,and their distributions are unknown, but they are supposed tobe currently observable. The optimal investment problem is statedin ‘maximin’ setting which leads to maximizationof the minimum of expected utility over all distributions ofparameters. We found that the presence of the non-discountedwealth in the performance criterion (in addition to the discountedwealth) implies an additional condition for the saddle pointof the maximin problem: the saddle point must include the minimumof the possible risk-free return. This is different from thecase when the utility depends on the discounted wealth only.Using this result, the maximin problem is reduced to a linearparabolic equation and minimization over two scalar parameters.It is an important development of the results obtained in Dokuchaev(2002, Dynamic Portfolio Strategies: Quantitative Methods andEmpirical Rules for Incomplete Information. Boston: Kluwer;2006, IMA J. Manage. Math., 17, 257–276).     

Qualitative dynamics, root-loci and asymptotic structure of universal adaptive stabilizers

A problem of universal adaptive stabilization in Rⁿ is approachedin a qualitative manner to relate the form of the trajectoriesin the extended state space Rⁿ⁺¹ to the root locus of the associatedfixed-parameter linear system. Relationships are derived betweenthe values of the limit gain and the initial conditions. Numericalstudies are used to illustrate and support these ideas by computationof generic trajectories and attempted computation of certainnon-generic possibilities. The implications of the study formore general dynamic situations are outlined. These authors are also with the Department of Mathematics,University of Exeter, EX4 4QE.     

Time optimal control of retarded parabolic systems

Email: skrakowi{at}usk.pk.edu.pl Received on June 15, 2005; Accepted on July 12, 2006 In this paper, the time-optimal control problem for parabolicsystems in which time lags appear in the integral form bothin the state equation and in the Neumann boundary conditionis presented. The particular properties of the optimal controlare discussed.     

Optimality conditions for n x n infinite-order parabolic coupled systems with control constraints and general performance index

W. Kotarski Institute of Informatics, Silesian University, Bedzinska 60, 41-200 Sosnowiec, Poland Email: bahaa_gm{at}hotmail.com Email: kotarski{at}gate.math.us.edu.pl Received on March 14, 2006; Accepted on December 20, 2006 A distributed control problem for n x n parabolic coupled systemsinvolving operators with infinite order is considered. The performanceindex is more general than the quadratic one and has an integralform. Constraints on controls are imposed. Making use of theDubovitskii–Milyutin theorem, the necessary and sufficientconditions of optimality are derived for the Dirichlet problem.Yet, the problem considered here is more general than the problemsin El-Saify & Bahaa (2002, Optimal control for n x n hyperbolicsystems involving operators of infinite order. Math. Slovaca,52, 409–424), El-Zahaby (2002, Optimal control of systemsgoverned by infinite order operators. Proceeding (Abstracts)of the International Conference of Mathematics (Trends and Developments)of the Egyptian Mathematical Society, Cairo, Egypt, 28–31December 2002. J. Egypt. Math. Soc. (submitted)), Gali &El-Saify (1983, Control of system governed by infinite orderequation of hyperbolic type. Proceeding of the InternationalConference on Functional-Differential Systems and Related Topics,vol. III. Poland, pp. 99–103), Gali et al. (1983, Distributedcontrol of a system governed by Dirichlet and Neumann problemsfor elliptic equations of infinite order. Proceeding of theInternational Conference on Functional-Differential Systemsand Related Topics, vol. III. Poland, pp. 83–87) and Kotarskiet al. (200b, Optimal control problem for a hyperbolic systemwith mixed control-state constraints involving operator of infiniteorder. Int. J. Pure Appl. Math., 1, 241–254).     

The Convergence of Operator Approximations at Turning Points

Present address: Department of Mathematics, University of Reading, Reading RG6 2AX. We consider the convergence of solution curves of approximationsto parameter-dependent operator equations of the form G(, x)= 0. Provided G_x(, x) remains non-singular this problem is cateredfor by a simple extension to standard theory. In this paper,however, attention is concentrated on solution curves throughcertain singular points (⁰, x⁰), and the main result is thatconvergence depends on consistency and stability results forthe linear eigenvalue problem G_x(⁰, x⁰)0 = 0.     

Quasilinear Elliptic Equations and Inequalities with Rapidly Growing Coefficients

Let us consider the boundary value problem where R^N is a bounded domain with smooth boundary (for example,such that certain Sobolev imbedding theorems hold). Let :RR, (s)=A(s²)s Then, if (s) = |s|^p–1s, p > 1, problem (1) is fairlywell understood and a great variety of existence results areavailable. These results are usually obtained using variationalmethods, monotone operator methods or fixed point and degreetheory arguments in the Sobolev space . If, on the other hand, we assume that is an oddnondecreasing function such that (0)=0, (t)>0, t>0, and is right continuous, then a Sobolev space setting for the problem is not appropriateand very general results are rather sparse. The first generalexistence results using the theory of monotone operators inOrlicz–Sobolev spaces were obtained in [5] and in [9,10]. Other recent work that puts the problem into this frameworkis contained in [2] and [8]. It is in the spirit of these latter papers that we pursue thestudy of problem (1) and we assume that F:xRR is a Carathéodoryfunction that satisfies certain growth conditions to be specifiedlater. We note here that the problems to be studied, when formulatedas operator equations, lead to the use of the topological degreefor multivalued maps (cf. [4, 16]). We shall see that a natural way of formulating the boundaryvalue problem will be a variational inequality formulation ofthe problem in a suitable Orlicz–Sobolev space. In orderto do this we shall have need of some facts about Orlicz–Sobolevspaces which we shall give now.     

An LMI-based approach for robust stabilization of time delay systems containing saturating actuators

Email: elhaous_fati{at}yahoo.fr Corresponding author. Email: elh_tissir{at}yahoo.fr Received on September 8, 2005; Accepted on July 24, 2006 This paper deals with the problem of robust stabilization foruncertain systems with input saturation and time delay in thestate. The parameter uncertainties are time-varying and unknownbut are norm bounded. Sufficient conditions obtained via a linearmatrix inequality formulation are stated to guarantee the localstabilization. The method of synthesis consists in determiningsimultaneously a state feedback control law and an associateddomain of safe admissible states for which the stability ofthe closed-loop system is guaranteed when control saturationseffectively occur. Numerical examples are used to demonstratethe effectiveness of the proposed design technique.     

Gaussian factor models futures and forward prices

Email: hyndman{at}mathstat.concordia.ca Received on 31 July 2006. Accepted on 19 March 2007. We completely characterize the futures price and forward priceof a risky asset (commodity) paying a stochastic dividend yield(convenience yield). The asset (commodity) price is modelledas an exponential affine function of a Gaussian factors process,while the interest rate and dividend yield are affine functionsof the factors process. The characterization we provide is basedon the method of stochastic flows. We believe this method leadsto simpler and more clear-cut derivations of the futures priceand forward price formulae than alternative methods. Hedginga long-term forward contract with shorter term futures contractsand bonds is also examined.     

Intertwining Maps from Certain Group Algebras

In [17, 18, 19], we began to investigate the continuity propertiesof homomorphisms from (non-abelian) group algebras. Alreadyin [19], we worked with general intertwining maps [3, 12]. Thesemaps not only provide a unified approach to both homomorphismsand derivations, but also have some significance in their ownright in connection with the cohomology comparison problem [4]. The present paper is a continuation of [17, 18, 19]; this timewe focus on groups which are connected or factorizable in thesense of [26]. In [26], G. A. Willis showed that if G is a connectedor factorizable, locally compact group, then every derivationfrom L¹(G) into a Banach L¹(G)-module is automatically continuous.For general intertwining maps from L¹(G), this conclusion isfalse: if G is connected and, for some nN, has an infinite numberof inequivalent, n-dimensional, irreducible unitary representations,then there is a discontinuous homomorphism from L¹(G into aBanach algebra by [18, Theorem 2.2] (provided that the continuumhypothesis is assumed). Hence, for an arbitrary intertwiningmap from L¹(G), the best we can reasonably hope for is a resultasserting the continuity of on a ‘large’, preferablydense subspace of L¹(G). Even if the target space of is a Banachmodule (which implies that the continuity ideal I() of is closed),it is not a priori evident that is automatically continuous:the proofs of the automatic continuity theorems in [26] relyon the fact that we can always confine ourselves to restrictionsto L¹(G) of derivations from M(G) [25, Lemmas 3.1 and 3.4].It is not clear if this strategy still works for an arbitraryintertwining map from L¹(G) into a Banach L¹(G)-module.     

Infinite horizon quadratic control of linear singularly perturbed systems with small state delays: an asymptotic solution of Riccati-type equations

Email: valery{at}techunix.technion.ac.il Received on January 31, 2006; Accepted on October 5, 2006 An infinite horizon linear-quadratic optimal control problemfor a singularly perturbed system with multiple point-wise anddistributed small delays in the state variable is considered.The set of Riccati-type equations, associated with this problemby the control optimality conditions, is studied. Since thesystem in the control problem is singularly perturbed, the equationsof this set are also perturbed by a small parameter of the singularperturbations. The zero-order asymptotic solution to this setof equations is constructed and justified. Based on this asymptoticsolution, parameter-free sufficient conditions for the existenceand uniqueness of solution to the original optimal control problemare established.     

Optimal control problems of parabolic equations with an infinite number of variables and with equality constraints

Email: bahaa_gm{at}hotmail.com Received on December 6, 2005; Accepted on December 7, 2006 Optimal control problems of systems governed by parabolic equationswith an infinite number of variables and with additional equalityconstraints are considered. The extremum principle, as wellas sufficient condition of optimality, is formulated for theNeumann problem by using certain extensions of Dubovitskii–Milyutinmethod.     

Estimates of the region of attraction of continuous-time cascade systems

Xiao-Song Yang Department of Mathematics, Huazhong University of Science and Technology Wuhan, Hubei 430074, People's Republic of China Huimin Li Departments of Mathematics and Control and Engineering, Huazhong University of Science and Technology Wuhan, Hubei 430074, People's Republic of China Corresponding author. Email: yangxs{at}cqupt.edu.cn Received on May 1, 2006; Accepted on October 6, 2006 In this paper, we first present some new sufficient conditionsfor global asymptotic stability of continuous-time cascade systems.Then, we give some detailed results on the region of attractionof continuous-time cascade systems. Some examples are presentedto illustrate these results.     

Robust H{infty} dynamic output feedback control for 2D linear parameter-varying systems

James Lam Department of Mechanical Engineering, The University of Hong Kong, Pokfulam Road, Hong Kong Changhong Wang Space Control and Inertial Technology Research Center, Harbin Institute of Technology, Harbin 150001, People's Republic of China Corresponding author. Email: ligangwu{at}hit.edu.cn Email: james.lam{at}hku.hk Email: cwang{at}hit.edu.cn Received on June 28, 2006; Accepted on October 1, 2007 This paper is concerned with the problem of robust dynamicoutput feedback control for 2D discrete-time linear parameter-varyingsystems. Given a Fornasini–Marchesini local state-spacesystem with linear varying parameters, our attention is focussedon the design of full-order dynamic output feedback controller,which guarantees the closed-loop system to be asymptoticallystable and has a prescribed disturbance attenuation performance.A sufficient condition for the existence of a desired robustoutput feedback controller is established in terms of parameterizedlinear matrix inequalities, and the corresponding controllersynthesis is cast into a convex optimization problem which canbe efficiently handled by using standard numerical software.A numerical example is provided to illustrate the effectivenessof the proposed design method.     

Beardon's Diophantine Equations and Non-Free Mobius Groups

Let µ be a real number. The Möbius group G_µis the matrix group generated by It is known that G_µ is free if |µ| 2 (see [1])or if µ is transcendental (see [3, 8]). Moreover, thereis a set of irrational algebraic numbers µ which is densein (–2, 2) and for which G_µ is non-free [2, p. 528].We may assume that µ > 0, and in this paper we considerrational µ in (0, 2). The following problem is difficult. Let G^nf denote the set of all rational numbers µ in (0,2) for which G_µ is non-free. In 1969 Lyndon and Ullman[8] proved that G^nf contains the elements of the forms p/(p²+ 1) and 1/(p + 1), where p = 1, 2, ..., and that if µ₀ G^nf, then µ₀/p G^nf for p = 1, 2, .... In 1993 Beardon[2] studied problem (P) by means of the words of the form A^rB^s A^t and A^r B^s A^t B^u A^v, and he obtained a sufficient conditionfor solvability of (P), included implicitly in [2, pp. 530–531],by means of the following Diophantine equations: 1991 Mathematics SubjectClassification 20E05, 20H20, 11D09.     

Simpler Polynomial Solutions in Control and Filtering

Kuera's completely algebraic method is used to derive a polynomialsolution with only one Diophantine equation for least-squaresdeterministic control in discrete-time. The same method is used,again involving only one Diophantine equation, to derive themultivariable discrete-time Wiener filter. This paper was presented at the IMA Symposium on Control Theory,Somerville College,Oxford, September 1986.     

Estimation and decomposition of cost efficiency in the health care food service sector: an extended stochastic frontier approach

K. M. Matawie School of Computing and Mathematics, University of Western Sydney, Locked Bag 1797, Penrith South DC NSW 1797, Australia Email: a.assaf{at}uws.edu.au Corresponding author. Email: k.matawie{at}uws.edu.au Received on 11 February 2007. Accepted on 14 September 2007. This paper introduces and implements an extended stochasticfrontier model to estimate and decompose cost efficiency (CE)in the health care foodservice sector. The interesting featureof this model is that it allows differentiation between thethree different types of efficiency: technical efficiency (TE),allocative efficiency (AE) and their associated CE. A completeillustration of these efficiencies is presented using a cross-sectionalsample of 101 hospital foodservice operations. Results showedthat the model and all its parameter coefficients were plausible,significant and satisfy all theoretical requirements. It wasalso clear that the average efficiency scores were lower forTE (80%) than AE (88%), indicating that TE is the main sourceof CE and requires further attention.     

Geometric Approximation Of The Fibre Of The Freudenthal Suspension

Let Rat_k(CPⁿ) denote the space of based holomorphic maps ofdegree k from the Riemannian sphere S² to the complex projectivespace CPⁿ. The basepoint condition we assume is that f()=[1,..., 1]. Such holomorphic maps are given by rational functions: Rat_k(CPⁿ) ={(p₀(z), ..., p_n(z)):each p_i(z) is a monic, degree-kpolynomial and such that there are no roots common to all p_i(z)}.(1.1) The study of the topology of Rat_k(CPⁿ) originated in [10]. Later,the stable homotopy type of Rat_k(CPⁿ) was described in [3] interms of configuration spaces and Artin's braid groups. LetW(S²ⁿ) denote the homotopy theoretic fibre of the Freudenthalsuspension E:S²ⁿ S²ⁿ⁺¹. Then we have the following sequenceof fibrations: ²S²ⁿ⁺¹ W(S²ⁿ)S²ⁿ S²ⁿ⁺¹. A theorem in [10] tellsus that the inclusion Rat_k(CPⁿ) ²_kCP^{n 2}S²ⁿ⁺¹ is a homotopy equivalenceup to dimension k(2n–1). Thus if we form the direct limitRat(CPⁿ)= lim_k Rat_k(CPⁿ), we have, in particular, that Rat(CPⁿ)is homotopy equivalent to ²S²ⁿ⁺¹. If we take the results of [3] and [10] into account, we naturallyencounter the following problem: how to construct spaces X_k(CPⁿ),which are natural generalizations of Rat_k(CPⁿ), so that X(CPⁿ)approximates W(S²ⁿ). Moreover, we study the stable homotopytype of X_k(CPⁿ). The purpose of this paper is to give an answer to this problem.The results are stated after the following definition. 1991Mathematics Subject Classification 55P35.     

Necessary conditions for infinite-horizon Volterra optimal control problems with time delay

Email: csfvega{at}dm.uba.ar Received on August 17, 2006; Accepted on September 8, 2007 Necessary conditions are proved for optimal control problemsinvolving an infinite horizon and terminal conditions at infinitywhose states are governed by Volterra integral equations withnon-linear time delay.     

Optimal control for the thermistor problem with a current limiting device

Email: cimatti{at}dm.unipi.it Received on September 26, 2005; Accepted on August 2, 2006 The problem of finding in the thermistor problem the optimaldifference of applied potential in order to minimize a suitablecost functional involving the temperature is studied. We findthe optimal system in the elementary case of constant electricconductivity. In addition, a theorem of existence of the optimalsolution is given in the general case of conductivities dependingon the temperature.