Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities

This paper is concerned with the optimal stopping problem for discrete time multiparameter stochastic processes with the index set Nd. The optimal stopping value of a discrete time multiparameter integrable stochastic process whose negative part is uniformly integrable, is lower semicontinuous for the topology of convergence in distribution. The multiparameter version of prophet inequality for the one-parameter optimal stopping problem is formulated and the lower semicontinuity property of the optimal stopping value is applied to the multiparameter prophet inequality.     

Prophet secretary through blind strategies

Mathematical Programming - In the classic prophet inequality, a well-known problem in optimal stopping theory, samples from independent random variables (possibly differently distributed) arrive...     

On the prophet inequality for subadditive processes

A prophet inequality with constant ≤ 3.15 is obtained for subadditive processes. Applications to optimal stopping of sums of independent random variables are given     

Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes

This paper concerns the optimal stopping problem for discrete time multiparameter stochastic processes with the index set Nd. In the classical optimal stopping problems, the comparisons between the expected reward of a player with complete foresight and the expected reward of a player using nonanticipating stop rules, known as prophet inequalities, have been studied by many authors. Ratio comparisons between these values in the case of multiparameter optimal stopping problems are studied by Krengel and Sucheston (1981) [9] and Tanaka (2007, 2006) [14] and [15]. In this paper an additive comparison in the case of finite stage multiparameter optimal stopping problems is given.     

Stability of Parametric Quasivariational Inequality of the Minty Type

In this paper, stability of a parametric quasivariational inequality of the Minty type is studied via various sufficient conditions characterizing upper and lower semicontinuity of the solution sets as well as the approximate solution sets. Sufficient conditions ensuring upper semicontinuity of the approximate solution sets of an optimization problem with quasivariational inequality constraints are also presented.     

From pricing to prophets,and back!

In this work we prove that designing PPMs is equivalent to finding stopping rules for prophets. This extends the connection that any prophet type inequality can be turned into a PPM with the same approximation guarantee (Hajiaghayi et al. 2007; Chawla et al. 2010). Our reduction is robust under multiple settings including matroid feasibility constraints, or different arrival orderings. One fundamental observation implied by this result is that designing PPMs in general is equally hard from an approximation perspective to designing PPMs when the valuations are regular.     

Optimal stopping with random exercise lag

We study optimal stopping with exponentially distributed exercise lag. We formalize the problem first in a general Markovian setting and derive a set of conditions under which the solution exists. In particular, no semicontinuity assumptions of the payoff function are needed. We analyze also some specific classes of lagged optimal stopping problems with one-dimensional diffusion dynamics where the solution can be characterized in closed form. Finally, the results are illustrated with an explicit example.     

A differential variational inequality in the study of contact problems with wear

We start with a mathematical model which describes the sliding contact of a viscoelastic body with a moving foundation. The contact is frictional and the wear of the contact surfaces is taken into account. We prove that this model leads to a differential variational inequality in which the unknowns are the displacement field and the wear function. Then, inspired by this model, we consider a general differential variational inequality in reflexive Banach spaces, governed by four parameters. We prove the unique solvability of the inequality as well as the continuous dependence of its solution with respect to the parameters. The proofs are based on arguments of monotonicity, compactness, convex analysis and lower semicontinuity. Then, we apply these abstract results to the mathematical model of contact for which we deduce the existence of a unique solution as well as the existence of optimal control for an associate optimal control problem. We also present the corresponding mechanical interpretations.     

Continuity of the optimal value function in indefinite quadratic programming

This paper characterizes the continuity property of the optimal value function in a general parametric quadratic programming problem with linear constraints. The lower semicontinuity and upper semicontinuity properties of the optimal value function are studied as well.     

Efficiency in vector quasi-equilibrium problems and applications

In this paper, we give sufficient conditions for the existence of efficient solutions of a generalized vector quasi-equilibrium problem in topological vector spaces. The motivations for introducing this problem come from practical problems in traffic networks and the optimal control theory for discrete-time dynamical systems. The main results of the paper are proven with the help of a strongly monotonic function which can be constructed from the data of the problem under consideration. Some notions of cone-semicontinuity of set-valued maps, weaker than the usual concepts of semicontinuity, are also used in our study. As applications, we obtain existence results in vector quasi-optimization problems, Stampacchia set-valued vector quasi-variational inequality problems and Pareto vector quasi-saddle point problems. All these results are different from the corresponding ones in the literature.     

Semicontinuity Results on Parametric Vector Variational Inequalities with Polyhedral Constraint Sets

New results on the lower semicontinuity and upper semicontinuity properties of the Pareto solutions to a parametric vector variational inequality with a polyhedral constraint set are obtained by scalarization approaches.     

Semicontinuity and convergence for vector optimization problems with approximate equilibrium constraints

This paper mainly intends to present some semicontinuity and convergence results for perturbed vector optimization problems with approximate equilibrium constraints. We establish the lower semicontinuity of the efficient solution mapping for the vector optimization problem with perturbations of both the objective function and the constraint set. The constraint set is the set of approximate weak efficient solutions of the vector equilibrium problem. Moreover, upper Painlevé–Kuratowski convergence results of the weak efficient solution mapping are showed. Finally, some applications to the optimization problems with approximate vector variational inequality constraints and the traffic network equilibrium problems are also given. Our main results are different from the ones in the literature.     

Exact inequalities for the maximum of a skew Brownian motion

The maximal inequality for the skew Brownian motion being a generalization of the well-known inequalities for the standard Brownian motion and its module is obtained in the paper. The proof is based on the solution to an optimal stopping problem for which we find the cost function and optimal stopping time.     

Differential Vector Variational Inequalities in Finite-Dimensional Spaces

In this paper, a differential vector variational inequality is introduced and studied in finite-dimensional Euclidean spaces. The existence of a Carathéodory weak solution for the differential vector variational inequality is presented under some suitable conditions. Furthermore, the upper semicontinuity and the lower semicontinuity of the solution sets for the differential variational inequality are established when both the mapping and the constraint set are perturbed by two different parameters.     

First-Order Necessary Optimality Conditions for General Bilevel Programming Problems

In Ref. 1, bilevel programming problems have been investigated using an equivalent formulation by use of the optimal value function of the lower level problem. In this comment, it is shown that Ref. 1 contains two incorrect results: in Proposition 2.1, upper semicontinuity instead of lower semicontinuity has to be used for guaranteeing existence of optimal solutions; in Theorem 5.1, the assumption that the abnormal part of the directional derivative of the optimal value function reduces to zero has to be replaced by the demand that a nonzero abnormal Lagrange multiplier does not exist.     

On the Stability of Generalized Vector Quasivariational Inequality Problems

In this paper, we obtain some stability results for generalized vector quasivariational inequality problems. We prove that the solution set is a closed set and establish the upper semicontinuity property of the solution set for perturbed generalized vector quasivariational inequality problems. These results extend those obtained in Ref. 1. We obtain also the lower semicontinuity property of the solution set for perturbed classical variational inequalities. Several examples are given for the illustration of our results.     

Analysis of nonlinear fractional control systems in Banach spaces

In this paper, we consider the nonlinear control systems of fractional order and its optimal controls in Banach spaces. Using the fractional calculus, Hölder’s inequality, p-mean continuity, weakly singular inequality and Leray-Schauder’s fixed point theorem with compact mapping, the sufficient condition is given for the existence and uniqueness of mild solutions for a broad class of fractional nonlinear infinite dimensional control systems. Utilizing the approximately lower semicontinuity of integral functionals and weakly compactness, we extend the existence result of optimal controls for nonlinear control systems to nonlinear fractional control systems under generally mild conditions. An example is given to illustrate the effectiveness of the results obtained.     

Variational Inequalities for Leavable Bounded-Velocity Control

We study the variational inequality associated with a bounded-velocity control problem when discretionary stopping is allowed. We establish the existence of a strong solution by using the viscosity solution techniques. The optimal policy is shown to exist from the optimality conditions in the variational inequality.     

Variational Inequalities for Leavable Bounded-Velocity Control

We study the variational inequality associated with a bounded-velocity control problem when discretionary stopping is allowed. We establish the existence of a strong solution by using the viscosity solution techniques. The optimal policy is shown to exist from the optimality conditions in the variational inequality.     

The stability of set of generalized Ky Fan’s points

This paper is concerned with a generalized Ky Fan’s inequality. We first give an existence result of generalized Ky Fan’s (weak) efficient points, and then establish a complete metric space. Based on these results, we obtain the sufficient and necessary conditions of upper semicontinuity of efficient solution mapping to a generalized Ky Fan’s inequality. We also obtain the sufficient conditions of lower semicontinuity and continuity of efficient solution mapping to a generalized Ky Fan’s inequality. Our results are new and different from the corresponding ones in the literature.