共查询到20条相似文献,搜索用时 62 毫秒
1.
当底空间紧时, 初始函数为连续函数的Lax-Oleinik型粘性解是局部半凹的,所以是相应的Hamilton-Jacobi\ (以下简称为H-J) 演化方程(简称为接触H-J方程)的粘性解.当底空间非紧时, 对于H-J方程和接触H-J方程, 其Lax-Oleinik型解的下确界未必能取到.文章将探讨在非紧空间上, 折现H-J方程粘性解有限性的条件, 并给出了在此假设下粘性解的表达式. 相似文献
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Oana-Silvia Serea 《Journal of Mathematical Analysis and Applications》2007,336(1):664-682
We study partial differential inequalities (PDI) of the type where NK(⋅) is the normal cone to the set K. We prove existence of a constant such that the PDI of Hamilton-Jacobi type has a unique (global) Lipschitz viscosity solution. We provide a formula to calculate this constant. Moreover, we define a subset of K such that any two solutions of the previous PDI which coincide on will coincide on K. Our paper generalizes results of the case without boundary conditions for convex Hamiltonians obtained by L.C. Evans and A. Fathi. 相似文献
3.
Takashi Adachi 《Journal of Mathematical Analysis and Applications》2011,380(1):264-288
In this paper we study the problem of utility indifference pricing in a constrained financial market, using a utility function defined over the positive real line. We present a convex risk measure −v(•:y) satisfying q(x,F)=x+v(F:u0(x)), where u0(x) is the maximal expected utility of a small investor with the initial wealth x, and q(x,F) is a utility indifference buy price for a European contingent claim with a discounted payoff F. We provide a dynamic programming equation associated with the risk measure (−v), and characterize v as a viscosity solution of this equation. 相似文献
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I. Chryssochoos 《Journal of Mathematical Analysis and Applications》2003,287(1):118-140
Dynamic programming identifies the value function of continuous time optimal control with a solution to the Hamilton-Jacobi equation, appropriately defined. This relationship in turn leads to sufficient conditions of global optimality, which have been widely used to confirm the optimality of putative minimisers. In continuous time optimal control, the dynamic programming methodology has been used for problems with state space a vector space. However there are many problems of interest in which it is necessary to regard the state space as a manifold. This paper extends dynamic programming to cover problems in which the state space is a general finite-dimensional C∞ manifold. It shows that, also in a manifold setting, we can characterise the value function of a free time optimal control problem as a unique lower semicontinuous, lower bounded, generalised solution of the Hamilton-Jacobi equation. The application of these results is illustrated by the investigation of minimum time controllers for a rigid pendulum. 相似文献
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We study a quasi-variational inequality system with unbounded solutions. It represents the Bellman equation associated with an optimal switching control problem with state constraints arising from production engineering. We show that the optimal cost is the unique viscosity solution of the system.This work was supported by the National Research Council of Argentina, Grant No. PID-BID 213. 相似文献
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This paper deals with the optimal transportation for generalized Lagrangian L = L(x, u, t), and considers the following cost function: c(x, y) = inf x(0)=x x(1)=y u∈U∫_0~1 L(x(s), u(x(s), s), s)ds, where U is a control set, and x satisfies the ordinary equation x(s) = f(x(s), u(x(s), s)).It is proved that under the condition that the initial measure μ0 is absolutely continuous w.r.t. the Lebesgue measure, the Monge problem has a solution, and the optimal transport map just walks along the characteristic curves of the corresponding Hamilton-Jacobi equation:V_t(t, x) + sup u∈UV_x(t, x), f(x, u(x(t), t), t)-L(x(t), u(x(t), t), t) = 0,V(0, x) = Φ0(x). 相似文献
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Pierpaolo Soravia 《偏微分方程通讯》2013,38(9-10):1493-1514
We introduce a new formulation of Dirichlet problem for a class of first order, nonlinear equations containing the minimum time problem, whose solution is expected to be discontinuous. We prove existence, uniqueness and representation formulas for the solution in the sense of viscosity solutions. Our method relies on a new way of prescribing the boundary condition, the use of recent ideas of Barron-Jensen [8] and Barles [5] , and the derivation of a "backwards" dynamic programming principle. We use the same ideas to prove uniqueness for the usual Dicchlet type formulation, following Ishii [13] and Bales-Perthame [6], under additional regularity conditions on the domain. 相似文献
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Yousong Luo 《Journal of Global Optimization》2008,40(1-3):155-160
We prove uniqueness of the viscosity solutions of the Dirichlet problem of the spectral equation where is the vector whose components are eigenvalues of a matrix associated with the unknown function u. 相似文献
10.
Shipei HU 《数学年刊B辑(英文版)》2020,41(5):793-820
The author investigates the nonlinear parabolic variational inequality derived from the mixed stochastic control problem on finite horizon. Supposing that some sufficiently smooth conditions hold, by the dynamic programming principle, the author builds the Hamilton-Jacobi-Bellman(HJB for short) variational inequality for the value function.The author also proves that the value function is the unique viscosity solution of the HJB variational inequality and gives an application to the quasi-variat... 相似文献
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In this paper, an iterative algorithm is constructed to solve the minimum Frobenius norm residual problem: min over bisymmetric matrices. By this algorithm, for any initial bisymmetric matrix X0, a solution X* can be obtained in finite iteration steps in the absence of roundoff errors, and the solution with least norm can be obtained by choosing a special kind of initial matrix. Furthermore, in the solution set of the above problem, the unique optimal approximation solution to a given matrix in the Frobenius norm can be derived by finding the least norm bisymmetric solution of a new corresponding minimum Frobenius norm problem. Given numerical examples show that the iterative algorithm is quite effective in actual computation. 相似文献
12.
Rafal Goebel 《Transactions of the American Mathematical Society》2005,357(6):2187-2203
Value functions for convex optimal control problems on infinite time intervals are studied in the framework of duality. Hamilton-Jacobi characterizations and the conjugacy of primal and dual value functions are of main interest. Close ties between the uniqueness of convex solutions to a Hamilton-Jacobi equation, the uniqueness of such solutions to a dual Hamilton-Jacobi equation, and the conjugacy of primal and dual value functions are displayed. Simultaneous approximation of primal and dual infinite horizon problems with a pair of dual problems on finite horizon, for which the value functions are conjugate, leads to sufficient conditions on the conjugacy of the infinite time horizon value functions. Consequently, uniqueness results for the Hamilton-Jacobi equation are established. Little regularity is assumed on the cost functions in the control problems, correspondingly, the Hamiltonians need not display any strict convexity and may have several saddle points.
13.
Said Hamadène 《Stochastics An International Journal of Probability and Stochastic Processes》2016,88(4):632-649
In this paper, we establish a new existence and uniqueness result of a continuous viscosity solution for integro-partial differential equation (IPDE in short). The novelty is that we relax the so-called monotonicity assumption on the driver which is classically assumed in the literature of viscosity solutions of equation with non-local terms. Our method strongly relies on the link between IPDEs and backward stochastic differential equations with jumps for which we already know that the solution exists and is unique for general drivers. In the second part of the paper, we deal with the IPDE with obstacle and we obtain similar results. 相似文献
14.
Using the upper and lower solution techniques and Hopf's maximum principle, the sufficient conditions for the existence of blow-up positive solution and global positive solution are obtained for a class of quasilinear parabolic equations subject to Neumann boundary conditions. An upper bound for the ‘blow-up time’, an upper estimate of the ‘blow-up rate’, and an upper estimate of the global solution are also specified. 相似文献
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We consider an optimal impulse control problem on reinsurance, dividend and reinvestment of an insurance company. To close reality, we add fixed and proportional transaction costs to this problem. The value of the company is associated with expected present value of net dividends pay out minus the net reinvestment capitals until ruin time. We focus on non-cheap proportional reinsurance. We prove that the value function is a unique solution to associated Hamilton–Jacobi–Bellman equation, and establish the regularity property of the viscosity solution under a weak assumption. We solve the non-uniformly elliptic equation associated with the impulse control problem. Finally, we derive the value function and the optimal strategy of the control problem. 相似文献
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This paper presents a new boundary integral method for the solution of Laplace’s equation on both bounded and unbounded multiply connected regions, with either the Dirichlet boundary condition or the Neumann boundary condition. The method is based on two uniquely solvable Fredholm integral equations of the second kind with the generalized Neumann kernel. Numerical results are presented to illustrate the efficiency of the proposed method. 相似文献
19.
Zhixiong Chen 《Journal of Differential Equations》2003,193(2):396-423
We prove nonlinear stability of planar shock for general Hamilton-Jacobi equations with finite speed perturbation. Here we use energy estimates. It is shown that the solution connecting a weak shock is asymptotically stable under small perturbations. 相似文献
20.
Kenji Maruo 《Journal of Mathematical Analysis and Applications》2008,345(2):743-753
We prove the existence of non-radially symmetric solutions for semilinear degenerate elliptic equations with radially symmetric coefficients in the plane. We adapt the viscosity solution for the weak solution. The key arguments consist of the analysis of the structure of 2π-periodic solutions for the associated Laplace-Beltrami operator and construction of super- and sub-solutions which have the prescribed asymptotic structures. 相似文献