Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information

We consider a class of regular–singular stochastic differential games arising in the optimal investment and dividend problem of an insurer under model uncertainty. The information available to the two players is asymmetric partial information and the control variable of each player consists of two components: regular control and singular control. We establish the necessary and sufficient optimality conditions for the saddle point of the zero-sum game. Then, as an application, these conditions are applied to an optimal investment and dividend problem of an insurer under model uncertainty. Furthermore, we generalize our results to the nonzero-sum regular–singular game with asymmetric information, and then the Nash equilibrium point is characterized.     

Necessary conditions for optimality of singular controls in systems governed by partial differential equations

In this paper, we present a method to obtain necessary conditions for optimality of singular controls in systems governed by partial differential equations (distributed-parameter systems). The method is based on the one developed earlier by the author for singular control problems described by ordinary differential equations. As applications, we consider conditions for optimality of singular controls in a Darboux-Goursat system and in control systems that describe chemical processes.This research was supported in part by the National Science Foundation under Grant No. NSF-MCS-80-02337 at the University of Michigan.The author wishes to express his deep gratitude to Professor L. Cesari for his valuable guidance and constant encouragement during the preparation of this paper.     

STABILITY OF TIME VARYING SINGULAR DIFFERENTIAL SYSTEMS WITH DELAY

In this paper, stability of time varying singular differential systems with delay is considered. Based on variation formula and Gronwall-Bellman integral inequality, we obtain the exponential estimation of the solution and the sufficient conditions under which the considered system is stable and exponentially asymptotically stable. These results will be very useful to further research on Roust stability and control design of uncertain singular control systems with delay.     

一类带停时的最优控制策略研究

利用随机分析的知识及最优控制理论,讨论了一类带停时随机控制的折扣费用模型,将原模型中费用结构中的R-S积分的被积函数同上1推广为满足某些条件的一般函数,推广后的模型更具一般性.针对不同参数,证明了最佳控制的存在性,并刻划了不同初始状态下,最优控制策略的结构及最佳费用函数的形式.     

一类四阶奇异边值问题对称正解的最优存在性

本文研究了一类四阶奇异边值问题.通过建立一个特定的锥,利用Leggett-Williams不动点定理,从而在一定的条件下得到一类四阶奇异边值问题对称正解的最优存在性,推广了奇异边值问题对称正解的最优存在性的结果.     

Singular mean-field control games

This article studies singular mean field control problems and singular mean field two-players stochastic differential games. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium are obtained. Under some assumptions the optimality conditions for singular mean-field control are reduced to a reflected Skorohod problem, whose solution is proved to exist uniquely. Motivations are given as optimal harvesting of stochastic mean-field systems, optimal irreversible investments under uncertainty and mean-field singular investment games. In particular, a simple singular mean-field investment game is studied, where the Nash equilibrium exists but is not unique.     

带可变参数四阶奇异边值问题正解的存在性

本文研究了带有一个可变参数的四阶奇异边值问题,利用Banach空间的不动点理论,在非常弱的条件下,获得了带可变参数四阶奇异边值问题存在正解的结果.     

On necessary and sufficient conditions for near-optimal singular stochastic controls

In this paper we discuss the necessary and sufficient conditions for near-optimal singular stochastic controls for the systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on Ekeland’s variational principle and some delicate estimates of the state and adjoint processes. It is well known that optimal singular controls may fail to exist even in simple cases. This justifies the use of near-optimal singular controls, which exist under minimal conditions and are sufficient in most practical cases. Moreover, since there are many near-optimal singular controls, it is possible to choose suitable ones, that are convenient for implementation. This result is a generalization of Zhou’s stochastic maximum principle for near-optimality to singular control problem.     

关于耗散波动方程精确能控性的奇异极限的一个注记

本文在比文献［１］更一般的几何控制条件下，分析了具齐次Ｄｉｒｉｃｈｌｅｔ边界条件的耗散波动方程精确能控性的奇异摄动问题．结论是由这类波动方程的精确能控性可得到热传导方程的精确零能控性．     

On a class of singular Sturm–Liouville periodic boundary value problems

Keeping in mind the singular model for the periodic oscillations of the axis of a satellite in the plane of the elliptic orbit around its center of mass, we give sufficient conditions for the solvability of a class of singular Sturm–Liouville equations with periodic boundary value conditions. To this end, under a suitable change of variables, we present a new existence result for problems defined in the real half-line.     

Existence results for degenerate elliptic equations with critical cone Sobolev exponents

In this paper, we study the existence result for degenerate elliptic equations with singular potential and critical cone sobolev exponents on singular manifolds. With the help of the variational method and the theory of genus, we obtain several results under different conditions.     

Bifurcation of solutions of singular Fredholm boundary value problems

We obtain conditions for the bifurcation of solutions of linear singular Fredholm boundary value problems with a small parameter under the assumption that the unperturbed singular differential system can be reduced to central canonical form. Using the Vishik-Lyusternik method and the technique of Moore-Penrose pseudoinverse matrices, we suggest an algorithm for finding a family of linearly independent solutions of such boundary value problems for the general case in which the number of boundary conditions specified by a linear vector functional does not coincide with the number of unknowns in the singular differential system.     

EXISTENCE RESULTS FOR DEGENERATE ELLIPTIC EQUATIONS WITH CRITICAL CONE SOBOLEV EXPONENTS

In this paper, we study the existence result for degenerate elliptic equations with singular potential and critical cone sobolev exponents on singular manifolds. With the help of the variational method and the theory of genus, we obtain several results under different conditions.     

Geometry of neighborhoods of singular trajectories in problems with multidimensional control

It is shown that the order of a singular trajectory in problems with multidimensional control is described by a flag of linear subspaces in the control space. In terms of this flag, we construct necessary conditions for the junction of a nonsingular trajectory with a singular one in affine control systems. We also give examples of multidimensional problems in which the optimal control has the form of an irrational winding of a torus that is passed in finite time.     

On certain classes of curve singulariries with reduced tangent cone

We study a class of rational curves with an ordinary singular point, which was introduced in [GO]. We find some conditions under which the tangent cone is reduced and we show that the tangent cone is not always reduced. We construct another class of rational curves with an ordinary singular point satisfying the condition required in [GO] and whose tangent cone is always reduced.     

On the Solution of a Singular Cauchy Problem for a First-Order Differential Equation Unsolved with Respect to the Derivative of an Unknown Function

For a first-order ordinary differential equation, we establish conditions under which a singular Cauchy problem has a unique continuously differentiable solution with required asymptotic behavior.     

Complete foliations of space forms by hypersurfaces

We study foliations of space forms by complete hypersurfaces, under some mild conditions on its higher order mean curvatures. In particular, in Euclidean space we obtain a Bernstein-type theorem for graphs whose mean and scalar curvature do not change sign but may otherwise be nonconstant. We also establish the nonexistence of foliations of the standard sphere whose leaves are complete and have constant scalar curvature, thus extending a theorem of Barbosa, Kenmotsu and Oshikiri. For the more general case of r-minimal foliations of the Euclidean space, possibly with a singular set, we are able to invoke a theorem of Ferus to give conditions under which the non- singular leaves are foliated by hyperplanes.     

小参数常微分方程守恒型差分格式的一致收敛性

本文考虑自共轭常微分方程奇异摄动边值问题,构造一族带拟合因子的差分格式,给出差分格式解一致收敛于微分方程解的充分条件,由此提出几个具体格式,在条件较弱的情况下,给出较高的一致收敛阶。     

Singular sets and dynamic properties of bilinear control systems

The paper deals with qualitative methods of investigation of dynamic systems with control. Classification of singular sets of two-dimensional bilinear control systems is proposed. Constructive criteria of the presence of different kinds of singular sets in the phase portrait are obtained. The dependence of dynamic properties of systems such as oscillation, stability, instability, and controllability on the types of singular sets is investigated. Analytical conditions under which analysis of the above properties is relatively simple are obtained. __________ Translated from Fundamentalnaya i Prikladnaya Matematika, Vol. 11, No. 8, pp. 105–117, 2005.     

一类带奇异系数椭圆方程解的存在性

本文运用变分方法及Hardy不等式讨论了一类带奇异系数的临界椭圆方程，证明了在一定条件下方程解的存在性。