Applied Mathematics and Optimization最新文献

The main objective of this paper is to demonstrate the uniform large deviation principle (UDLP) for the solutions of two-dimensional stochastic Navier–Stokes equations (SNSE) in the vorticity form when perturbed by two distinct types of noises. We first consider an infinite-dimensional additive noise that is white in time and colored in space and then consider a finite-dimensional Wiener process with linear growth coefficient. In order to obtain the ULDP for 2D SNSE in the vorticity form, where the noise is white in time and colored in space, we utilize the existence and uniqueness result from B. Ferrario et. al., Stochastic Process. Appl., 129 (2019), 1568–1604, and the uniform contraction principle. For the finite-dimensional multiplicative Wiener noise, we first prove the existence of a unique local mild solution to the vorticity equation using a truncation and fixed point arguments. We then establish the global existence of the truncated system by deriving a uniform energy estimate for the local mild solution. By applying stopping time arguments and a version of Skorokhod’s representation theorem, we conclude the global existence and uniqueness of a solution to our model. We employ the weak convergence approach to establish the ULDP for the law of the solutions in two distinct topologies. We prove ULDP in the ({{textrm{C}}([0,T];{textrm{L}}^p({mathbb {T}}^2))}) topology, for (p>2), taking into account the uniformity of the initial conditions contained in bounded subsets of ({{textrm{L}}^p({mathbb {T}}^2)}). Finally, in ({{textrm{C}}([0,T]times {mathbb {T}}^2)}) topology, the uniformity of initial conditions lying in bounded subsets of ({{textrm{C}}({mathbb {T}}^2)}) is considered.

The convexification numerical method with the rigorously established global convergence property is constructed for a problem for the Mean Field Games System of the second order. This is the problem of the retrospective analysis of a game of infinitely many rational players. In addition to traditional initial and terminal conditions, one extra terminal condition is assumed to be known. Carleman estimates and a Carleman Weight Function play the key role. Numerical experiments demonstrate a good performance for complicated functions. Various versions of the convexification have been actively used by this research team for a number of years to numerically solve coefficient inverse problems.

We investigate the convergence, in the small mass limit, of the stationary solutions of a class of stochastic damped wave equations, where the friction coefficient depends on the state and the noisy perturbation is of multiplicative type. We show that the Smoluchowski–Kramers approximation that has been previously shown to be true in any fixed time interval, is still valid in the long time regime. Namely, we prove that the first marginals of any sequence of stationary solutions for the damped wave equation converge to the unique invariant measure of the limiting stochastic quasilinear parabolic equation. The convergence is proved with respect to the Wasserstein distance associated with the (H^{-1}) norm.

In this paper we investigate optimal control problems perturbed by random events. We assume that the control has to be decided prior to observing the outcome of the perturbed state equations. We investigate the use of probability functions in the objective function or constraints to define optimal or feasible controls. We provide an extension of differentiability results for probability functions in infinite dimensions usable in this context. These results are subsequently combined with the optimal control setting to derive a novel Pontryagin’s optimality principle.

In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential equations with jumps are studied to support the research of the control problem. The global integrability properties of their solution processes are studied by introducing a kind of so-called dissipation conditions suitable for the systems involving the mean-field terms and jumps. For the control problem, we conclude a sufficient and necessary condition of open-loop optimal control by the variational approach. Besides, a kind of infinite horizon fully coupled linear mean-field forward-backward stochastic differential equations with jumps is studied by using the method of continuation. Such a research makes the characterization of the open-loop optimal controls more straightforward and complete.

Motivated by the self-pursuit of controlled objects, we consider the exact controllability of a linear mean-field type game-based control system (MF-GBCS, for short) generated by a linear-quadratic (LQ, for short) Nash game. A Gram-type criterion for the general time-varying coefficients case and a Kalman-type criterion for the special time-invariant coefficients case are obtained. At the same time, the equivalence between the exact controllability of this MF-GBCS and the exact observability of a dual system is established. Moreover, an admissible control that can steer the state from any initial vector to any terminal random variable is constructed in closed form.

Dynamic programming equations for mean field control problems with a separable structure are Eikonal type equations on the Wasserstein space. Standard differentiation using linear derivatives yield a direct extension of the classical viscosity theory. We use Fourier representation of the Sobolev norms on the space of measures, together with the standard techniques from the finite dimensional theory to prove a comparison result among semi-continuous sub and super solutions, obtaining a unique characterization of the value function.

We are concerned with a third order in time equation in the presence of viscoelastic effects given by the memory term and with a semi linear source term, posed on a bounded domain (Omega subset mathbb {R}^3 ). Considering three different types of memory in the past history framework, we prove the well-posedness of its solutions as well as the exponential stability of the energy functional. Relaxing some hypotheses on the memory kernel, we improve and extend the results established in the existing literature.

We study the local and global existence and uniqueness of a strict solution for a general class of abstract explicit neutral equations with state-dependent delay. Some examples on explicit partial neutral differential equations with state dependent delay are presented.