Structure of extremals of autonomous convex variational problems

In this paper we study the structure of approximate solutions of autonomous variational problems with convex integrands. We are interested in a turnpike property of the extremals which is independent of the length of the interval, for all sufficiently large intervals. To have this property means, roughly speaking, that the approximate solutions of the variational problems are determined mainly by the integrand, and are essentially independent of the choice of interval and endpoint conditions.     

A strong approximation for double subfractional integrals

A Riemann–Stieltjes integral strong approximation to double Stratonovich integrals with respect to odd and even fractional Brownian motions is considered. We prove the convergence in quadratic mean, uniformly on compact time intervals, of the ordinary double integral process obtained by linear interpolation of the odd and even fractional Brownian motions, to the double Stratonovich integral. The deterministic integrands are continuous or are given by bimeasures.     

Principles of verified numerical integration

We describe methods for the numerical calculation of integrals with verified error bounds. The problems range from integration over an interval to integration of parameter-dependent integrands over the whole d-variate space. It is argued, why we use bounds for the integrands in the complex plane as a tool for bounding the error in our own integration software.     

Well-posedness and porosity in optimal control without convexity assumptions

The Tonelli existence theorem in the calculus of variations and its subsequent modifications were established for integrands f which satisfy convexity and growth conditions. In [27] we considered a class of optimal control problems which is identified with the corresponding complete metric space of integrands, say . We did not impose any convexity assumptions. The main result in [27] establishes that for a generic integrand the corresponding optimal control problem is well-posed. In this paper we study the set of all integrands for which the corresponding optimal control problem is well-posed. We show that the complement of this set is not only of the first category but also a -porous set. The main result of the paper is obtained as a realization of a variational principle which can be applied to various classes of optimization problems. Received April 15, 2000 / Accepted October 10, 2000 / Published online December 8, 2000     

Optimal feedback control of bilinear systems

Feedback synthesis of optimal constrained controls for single-input bilinear systems is considered. Quadratic cost functionals (with and without quadratic control penalization) are modified by the inclusion of additional nonnegative state penalizing functions in the respective cost integrands. The latter functions are chosen so as to regularize the problems, in the sense that feedback solutions of particularly simple form are obtained. Finite and infinite time horizon problem formulations are treated, and associated aspects of feedback stabilization of bilinear systems are discussed.     

Integral transform solution of random coupled parabolic partial differential models

Random coupled parabolic partial differential models are solved numerically using random cosine Fourier transform together with non-Gaussian random numerical integration that captures the highly oscillatory behaviour of the involved integrands. Sufficient condition of spectral type imposed on the random matrices of the system is given so that the approximated stochastic process solution and its statistical moments are numerically convergent. Numerical experiments illustrate the results.     

Optimal Solutions of Linear Periodic Control Systems with Convex Integrands

In this work we study the existence and asymptotic behavior of overtaking optimal trajectories for linear control systems with convex integrands. We extend the results obtained by Artstein and Leizarowitz for tracking periodic problems with quadratic integrands [2] and establish the existence and uniqueness of optimal trajectories on an infinite horizon. The asymptotic dynamics of finite time optimizers is examined. Accepted 31 January 1996     

Composite quadratures for functions of dominated variation

We analyze the performance of the closed Newton-Cotes quadratures applied to integrands of low continuity. Order of convergence rates are obtained by dominating with a summable function the total variation of a suitable derivative of the integrand over a sequence of expanding intervals. The analysis given allows any finite number of singularities anywhere in the interval of integration.     

被积函数含有绝对值的积分问题

讨论被积函数中含有绝对值的不定积分、定积分和多重积分等问题.     

Generic existence of Lipschitzian solutions of optimal control problems without convexity assumptions

The Tonelli existence theorem in the calculus of variations and its subsequent modifications were established for integrands f which satisfy convexity and growth conditions. In this paper we consider a large class of optimal control problems which is identified with a complete metric space of integrands without convexity assumptions and show that for a generic integrand the corresponding optimal control problem possesses a unique solution and this solution is Lipschitzian.     

Stochastic integration without tears

Stochastic integration theory is developed by axiomatizing the concept of semi-martingale in terms of a continuity property of integrals of simple functions. Using this approach, stochastic integration for left-continuous integrands, the change of variables formula and properties of the quadratic variation process are established in an elementary way. Submartingale decomposition theorems are introduced at a late stage in order to extend the results to general predictable integrands.     

Riemann-Stieltjes quasi-martingale integration

Stochastic integration of left continuous integrands with respect to quasimartingales is developed as the pathwise limit of Riemann-Stieltjes sums. The procedure is extended to right continuous integrands.     

Arbitrage possibilities in Bessel processes and their relations to local martingales

Summary We show that, if we allow general admissible integrands as trading strategies, the three dimensional Bessel process, Bes³, admits arbitrage possibilities. This is in contrast with the fact that the inverse process is a local martingale and hence is arbitrage free. This leads to some economic interpretation for the analysis of the property of arbitrage in foreign exchange rates. This notion (relative to general admissible integrands) does depend on the fact, which of the two currencies under consideration is chosen as numéraire. The results rely on a general construction of strictly positive local martingales. The construction is related to the Föllmer measure of a positive super-martingale.Part of this research was supported by the European Community Stimulation Plan for Economic Science contract Number SPES-CT91-0089     

Stochastic Integrals and Evolution Equations with Gaussian Random Fields

The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic integrands. The problem is then to extend the definition to random integrands. An orthogonal decomposition of the chaos space of the random field, combined with the Wick product, leads to the Itô-Skorokhod integral, and provides an efficient tool to study the integral, both analytically and numerically. For a Gaussian process, a natural definition of the integral follows from a canonical correspondence between random processes and a special class of random fields. Also considered are the corresponding linear stochastic evolution equations.     

Second-order epi-derivatives of integral functionals

Epi-derivatives have many applications in optimization as approached through nonsmooth analysis. In particular, second-order epi-derivatives can be used to obtain optimality conditions and carry out sensitivity analysis. Therefore the existence of second-order epi-derivatives for various classes of functions is a topic of considerable interest. A broad class of composite functions on ⁿ called fully amenable functions (which include general penalty functions composed withC ² mappings, possibly under a constraint qualification) are now known to be twice epi-differentiable. Integral functionals appear widely in problems in infinite-dimensional optimization, yet to date, only integral functionals defined by convex integrands have been shown to be twice epi-differentiable, provided that the integrands are twice epi-differentiable. Here it is shown that integral functionals are twice epi-differentiable even without convexity, provided only that their defining integrands are twice epi-differentiable and satisfy a uniform lower boundedness condition. In particular, integral functionals defined by fully amenable integrands are twice epi-differentiable under mild conditions on the behavior of the integrands.This work was supported in part by the National Science Foundation under grant DMS-9200303.     

Itô Formula for Free Stochastic Integrals

The objects under investigation are the stochastic integrals with respect to free Lévy processes. We define such integrals for square-integrable integrands, as well as for a certain general class of bounded integrands. Using the product form of the Itô formula, we prove the full functional Itô formula in this context.     

Solution of a Ball–Murat problem

A necessary and sufficient condition for the W ^{1, p} -quasi-convexity of integrands to imply the lower semicontinuity of the corresponding integral functionals with respect to the weak convergence of sequences in W ^{1, p} is obtained. It is shown that the absence of the Lavrent’ev phenomenon in minimization problems with linear boundary data is sufficient, under a minor technical assumption, for the lower semicontinuity of integral functionals with quasi-convex integrands.     

The Graves condition for variational problems of arbitrary order

The quasiconvexity condition and one of its consequences, theGraves condition, are necessary conditions for strong localminimizers in variational problems that involve multiple integrals.Here, these conditions are generalized to integrands that involvederivatives of arbitrarily high order. The interpretation ofthese conditions as material stability conditions in elasticityand related theories is discussed.     

A Regularization Technique for a Class of Singular Integral Problems

We discuss here a method for the extraction of the singularparts of a variety of problems involving singular integrands.The method is based on the systematic use of a partial fractionidentity; we give here applications to numerical quadratureand to the solution of singular integral equations of variouskinds.     

Lower closure for orientor fields by lower semicontinuity of outer integral functionals

Summary A classical lower semicontinuity result in optimal control theory and the calculus of variations can be extended to outer integral functionals (viz. integral functionals with nonmeasurable integrands). As a consequence, measurability of the Lagrangian does not have to be guaranteed anymore when applying the deparametrization procedure to existence problems in optimal control theory.