Conservation laws for Camassa–Holm equation, Dullin–Gottwald–Holm equation and generalized Dullin–Gottwald–Holm equation

In this paper we construct the conservation laws for the Camassa–Holm equation, the Dullin–Gottwald–Holm equation (DGH) and the generalized Dullin–Gottwald–Holm equation (generalized DGH). The variational derivative approach is used to derive the conservation laws. Only first order multipliers are considered. Two multipliers are obtained for the Camassa–Holm equation. For the DGH and generalized DGH equations the variational derivative approach yields two multipliers; thus two conserved vectors are obtained.     

Regular Solutions of First-Order Hamilton–Jacobi Equations for Boundary Control Problems and Applications to Economics

This is the first of two papers regarding a family of linear convex control problems in Hilbert spaces and the related Hamilton–Jacobi–Bellman equations. The framework is motivated by an application to boundary control of a PDE modeling investments with vintage capital. Existence and uniqueness of a strong solution (namely, the limit of classic solutions of approximating equations, introduced by Barbu and Da Prato) is investigated. Moreover, such a solution is proved to be C¹ in the space variable.     

Generalized z-Distributions and Related Stochastic Processes

The class of generalized z–distributions is defined and their properties are investigated. Ornstein–Uhlenbeck–type and self–similar generalized z–processes are constructed and described. Esscher transforms of the generalized z–processes and the mixed generalized z–processes are characterized. Finally, construction and some properties of generalized z–diffusions are also discussed.     

On Ginzburg's Bivariant Chern Classes, II

For a morphism whose target variety is nonsingular, the Chern–Schwartz–MacPherson class homomorphism followed by capping with the pullback of the Segre class of the target variety is called the Ginzburg–Chern class. In this paper, using the Verdier–Riemann–Roch for Chern Class, we show that the correspondence assigning to a bivariant constructible function on any morphism with nonsingular target variety the Ginzburg–Chern class of it is the unique Grothendieck transformation satisfying the 'normalization condition' that for morphisms to a point it becomes the Chern–Schwartz–MacPherson class homomorphism, except for that the bivariant homology pullback is considered only for a smooth morphism.     

Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control

Semilinear parabolic differential equations are solved in a mild sense in an infinite-dimensional Hilbert space. Applications to stochastic optimal control problems are studied by solving the associated Hamilton–Jacobi–Bellman equation. These results are applied to some controlled stochastic partial differential equations.     

Studying Baskakov–Durrmeyer operators and quasi-interpolants via special functions

We prove that the kernels of the Baskakov–Durrmeyer and the Szász–Mirakjan–Durrmeyer operators are completely monotonic functions. We establish a Bernstein type inequality for these operators and apply the results to the quasi-interpolants recently introduced by Abel. For the Baskakov–Durrmeyer quasi-interpolants, we give a representation as linear combinations of the original Baskakov–Durrmeyer operators and prove an estimate of Jackson–Favard type and a direct theorem in terms of an appropriate K-functional.     

Dynamic Robust Output Min–Max Control for Discrete Uncertain Systems

Min–max control is a robust control, which guarantees stability in the presence of matched uncertainties. The basic min–max control is a static state feedback law. Recently, the applicability conditions of discrete static min–max control through the output have been derived. In this paper, the results for output static min–max control are further extended to a class of output dynamic min–max controllers, and a general parametrization of all such controllers is derived. The dynamic output min–max control is shown to exist in many circumstances under which the output static min–max control does not exist, and usually allows for broader bounds on uncertainties. Another family of robust output min–max controllers, constructed from an asymptotic observer which is insensitive to uncertainties and a state min–max control, is derived. The latter is shown to be a particular case of the dynamic min–max control when the nominal system has no zeros at the origin. In the case where the insensitive observer exists, it is shown that the observer-controller has the same stability properties as those of the full state feedback min–max control.     

Calculus of variations with fractional derivatives and fractional integrals

We prove the Euler–Lagrange fractional equations and the sufficient optimality conditions for problems of the calculus of variations with functionals containing both fractional derivatives and fractional integrals in the sense of Riemann–Liouville.     

Two-Step High Order Starting Values for Implicit Runge–Kutta Methods

In this article a simple form of expressing and studying the order conditions to be satisfied by starting algorithms for Runge–Kutta methods, which use information from the two previous steps is presented. In particular, starting algorithms of highest order for Runge–Kutta–Gauss methods up to seven stages are derived. Some numerical experiments with Hamiltonian systems to compare the behaviour of the new starting algorithms with other existing ones are presented.     

Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach

In this paper we formulate a continuous-time mean–variance portfolio selection model with multiple risky assets and one liability in an incomplete market. The risky assets’ prices are governed by geometric Brownian motions while the liability evolves according to a Brownian motion with drift. The correlations between the risky assets and the liability are considered. The objective is to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. We derive explicitly the optimal dynamic strategy and the mean–variance efficient frontier in closed forms by using the general stochastic linear-quadratic (LQ) control technique. Several special cases are discussed and a numerical example is also given.     

Marcinkiewicz–Zygmund inequalities

We study a generalization of the classical Marcinkiewicz–Zygmund inequalities. We relate this problem to the sampling sequences in the Paley–Wiener space and by using this analogy we give sharp necessary and sufficient computable conditions for a family of points to satisfy the Marcinkiewicz–Zygmund inequalities.     

Hall–Littlewood functions and the Rogers–Ramanujan identities

We prove an identity for Hall–Littlewood symmetric functions labelled by the Lie algebra A₂. Through specialization this yields a simple proof of the A₂ Rogers–Ramanujan identities of Andrews, Schilling and the author.     

Guaranteed Output Feedback Control for Uncertain Systems under Control and State Constraints

This paper deals with output feedback control of uncertain nonlinear dynamic systems in the presence of state and control constraints. We provide necessary and sufficient conditions for the guaranteed viability property defined by the existence of a Lipschitz closed-loop that maintains exactly the state of the system in a given closed domain of constraints despite some bounded disturbances acting both on the dynamics and on the output. Using the notion of Lipschitz kernel of a closed set-valued map, we obtain some equivalent geometric and Hamilton–Jacobi–Isaac conditions for the guaranteed viability property. We derive an algorithm to build a guaranteed viable output feedback.     

Composite generalized Laguerre–Legendre pseudospectral method for Fokker–Planck equation in an infinite channel

In this paper, we propose a composite generalized Laguerre–Legendre pseudospectral method for the Fokker–Planck equation in an infinite channel, which behaves like a parabolic equation in one direction, and behaves like a hyperbolic equation in other direction. We establish some approximation results on the composite generalized Laguerre–Legendre–Gauss–Radau interpolation, with which the convergence of proposed composite scheme follows. An efficient implementation is provided. Numerical results show the spectral accuracy in space of this approach and coincide well with theoretical analysis. The approximation results and techniques developed in this paper are also very appropriate for many other problems on multiple-dimensional unbounded domains, which are not of standard types.     

A Generalized Rational Interpolation Problem and the Solution of the Welch–Berlekamp Key Equation

We show that an algorithm designed to solve the Welch–Berlekamp key equation may also be used to solve a more general problem, which can be regarded as a finite analogue of a generalized rational interpolation problem. As a consequence, we show that a single algorithm exists which can solve both Berlekamp's classical key equation (usually solved by the Berlekamp–Massey algorithm) and the Welch–Berlekamp key equation which arise in the decoding of Reed–Solomon codes.     

Set-Valued Kurzweil–Henstock–Pettis Integral

It is shown that the obvious generalization of the Pettis integral of a multifunction obtained by replacing the Lebesgue integrability of the support functions by the Kurzweil–Henstock integrability, produces an integral which can be described – in case of multifunctions with (weakly) compact convex values – in terms of the Pettis set-valued integral.Mathematics Subject Classifications (2000) Primary: 28B20; secondary: 26A39, 28B05, 46G10, 54C60.     

Analysis of the Computational Singular Perturbation Reduction Method for Chemical Kinetics

This article is concerned with the asymptotic accuracy of the Computational Singular Perturbation (CSP) method developed by Lam and Goussis [The CSP method for simplifying kinetics, Int. J. Chem. Kin. 26 (1994) 461–486] to reduce the dimensionality of a system of chemical kinetics equations. The method, which is generally applicable to multiple-time scale problems arising in a broad array of scientific disciplines, exploits the presence of disparate time scales to model the dynamics by an evolution equation on a lower-dimensional slow manifold. In this article it is shown that the successive applications of the CSP algorithm generate, order by order, the asymptotic expansion of a slow manifold. The results are illustrated on the Michaelis–Menten–Henri equations of enzyme kinetics.     

Limit Theorem for Controlled Backward SDEs and Homogenization of Hamilton–Jacobi–Bellman Equations

We prove a convergence theorem for a family of value functions associated with stochastic control problems whose cost functions are defined by backward stochastic differential equations. The limit function is characterized as a viscosity solution to a fully nonlinear partial differential equation of second order. The key assumption we use in our approach is shown to be a necessary and sufficient assumption for the homogenizability of the control problem. The results generalize partially homogenization problems for Hamilton–Jacobi–Bellman equations treated recently by Alvarez and Bardi by viscosity solution methods. In contrast to their approach, we use mainly probabilistic arguments, and discuss a stochastic control interpretation for the limit equation.     

Integrable Structure Behind the WDVV Equations

An integrable structure behind the Witten–Dijkgraaf–Verlinde–Verlinde (WDVV) equations is identified with the reduction of the Riemann–Hilbert problem for the homogeneous loop group . The reduction requires the dressing matrices to be fixed points of an order-two loop group automorphism resulting in a subhierarchy of the hierarchy containing only odd-symmetry flows. The model has Virasoro symmetry; imposing Virasoro constraints ensures the homogeneity property of the Darboux–Egoroff structure. Dressing matrices of the reduced model provide solutions of the WDVV equations.     

Hypersurfaces with Prescribed Affine Gauss–Kronecker Curvature

We extend a procedure for solving particular fourth order PDEs by splitting them into two linked second order Monge–Ampère equations. We use this for the global study of Blaschke hypersurfaces with prescribed Gauss–Kronecker curvature.