Stochastic optimal multi-modes switching with a viscosity solution approach

We consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary (_gij(t,x)≥0$g_{ij}(t,x)\ge 0$). We show existence of the optimal strategy, via a verification theorem. Finally, when the state of the system is a Markov process, we show that the vector of value functions of the optimal problem is the unique viscosity solution to the system of m$m$ variational partial differential inequalities with inter-connected obstacles.     

Existence of non-spurious solutions to discrete Dirichlet problems with lower and upper solutions

This paper investigates the solvability of discrete Dirichlet boundary value problems by the lower and upper solution method. Here, the second-order difference equation with a nonlinear right hand side f$f$ is studied and f(t,u,v)$f(t,u,v)$ can have a superlinear growth both in u$u$ and in v$v$. Moreover, the growth conditions on f$f$ are one-sided. We compute a priori bounds on solutions to the discrete problem and then obtain the existence of at least one solution. It is shown that solutions of the discrete problem will converge to solutions of ordinary differential equations.     

Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments

Let F$F$ be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail distribution of the maxima of the random walk generated by F$F$. The expansion is based on an expansion for the right Wiener–Hopf factor which we derive first. An application to ruin probabilities is developed.     

On structural stability and robustness to bounded rationality

In this paper, we study the model M$M$, a parameterized class of “general games” together with an associated abstract rationality function. We prove that model M$M$ is structurally stable and robust to ?$?$-equilibria for “almost all” parameter values.     

A note on Schweizer–Smital chaos

In this paper, we consider a continuous map f:X→X$f:X\to X$, where X$X$ is a compact metric space, and prove that for any positive integer N$N$, f$f$ is Schweizer–Smital chaotic if and only if f^N$f^N$ is too.     

The natural Banach space for version independent risk measures

Risk measures, or coherent measures of risk, are often considered on the space L^∞$L^{\infty }$, and important theorems on risk measures build on that space. Other risk measures, among them the most important risk measure–the Average Value-at-Risk–are well defined on the larger space L¹$L^1$ and this seems to be the natural domain space for this risk measure. Spectral risk measures constitute a further class of risk measures of central importance, and they are often considered on some L^p$L^p$ space. But in many situations this is possibly unnatural, because any L^p$L^p$ with p>_p0$p>p_0$, say, is suitable to define the spectral risk measure as well. In addition to that, risk measures have also been considered on Orlicz and Zygmund spaces. So it remains for discussion and clarification, what the natural domain to consider a risk measure is?     

Multiplicity of sign-changing solutions for some four-point boundary value problem

In this paper we obtain using Leray–Schauder degree theory some multiplicity results for sign-changing solutions of a four-point boundary value problem. We assume the existence of a pair of strict lower and upper solutions and some additional conditions on the nonlinear term f$f$.     

On topological entropy of commuting tree maps

Let T$T$ be a tree with s$s$ ends and f,g$f,g$ be continuous maps from T$T$ to T$T$ with f°g=g°f$f°g=g°f$. In this note we show that if there exists a positive integer m≥2$m\ge 2$ such that gcd(m,l)=1$gcd(m,l)=1$ for any 2≤l≤s$2\le l\le s$ and f,g$f,g$ share a periodic point which is a km$km$-periodic point of f$f$ for some positive integer k$k$, then the topological entropy of f°g$f°g$ is positive.     

The hitting time for a Cox risk process

This paper investigates the hitting time of a Cox risk process. The relationship between the hitting time of the Cox risk process and the classical risk process is established and an explicit expression of the Laplace–Stieltjes transform of the hitting time is derived by the probability method. Similarly, we derive the explicit expression of the Laplace–Stieltjes transform of the last exit time. Further, we study the situation when the intensity process is an n$n$-state Markov process.     

Determination of the body force of a two-dimensional isotropic elastic body

Let Ω$\Omega$ represent a two-dimensional isotropic elastic body. We consider the problem of determining the body force F$F$ whose form φ(t)(_f1(x),_f2(x))$\phi \left(t\right)(f_1\left(x\right),f_2\left(x\right))$ with φ$\phi$ be given inexactly. The problem is nonlinear and ill-posed. Using the Fourier transform, the methods of Tikhonov’s regularization and truncated integration, we construct a regularized solution from the data given inexactly and explicitly derive the error estimate.