ISSN:
2156-8472
eISSN:
2156-8499
Mathematical Control & Related Fields
June 2013 , Volume 3 , Issue 2
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2013, 3(2): 121-142
doi: 10.3934/mcrf.2013.3.121
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Abstract:
Suitable numerical discretizations for boundary control problems of systems of nonlinear hyperbolic partial differential equations are presented. Using a discrete Lyapunov function, exponential decay of the discrete solutions of a system of hyperbolic equations for a family of first--order finite volume schemes is proved. The decay rates are explicitly stated. The theoretical results are accompanied by computational results.
Suitable numerical discretizations for boundary control problems of systems of nonlinear hyperbolic partial differential equations are presented. Using a discrete Lyapunov function, exponential decay of the discrete solutions of a system of hyperbolic equations for a family of first--order finite volume schemes is proved. The decay rates are explicitly stated. The theoretical results are accompanied by computational results.
2013, 3(2): 143-160
doi: 10.3934/mcrf.2013.3.143
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Abstract:
We establish a Lipschitz stability estimate for the inverse problem consisting in the determination of the coefficient $\sigma(t)$, appearing in a Dirichlet initial-boundary value problem for the parabolic equation $\partial_tu-\Delta_x u+\sigma(t)f(x)u=0$, from Neumann boundary data. We extend this result to the same inverse problem when the previous linear parabolic equation is changed to the semi-linear parabolic equation $\partial_tu-\Delta_x u=F(x,t,\sigma(t),u(x,t))$.
We establish a Lipschitz stability estimate for the inverse problem consisting in the determination of the coefficient $\sigma(t)$, appearing in a Dirichlet initial-boundary value problem for the parabolic equation $\partial_tu-\Delta_x u+\sigma(t)f(x)u=0$, from Neumann boundary data. We extend this result to the same inverse problem when the previous linear parabolic equation is changed to the semi-linear parabolic equation $\partial_tu-\Delta_x u=F(x,t,\sigma(t),u(x,t))$.
2013, 3(2): 161-183
doi: 10.3934/mcrf.2013.3.161
+[Abstract](2070)
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Abstract:
In this paper necessary and sufficient conditions of approximate $L^\infty$-controllability at a free time are obtained for the control system $ w_{tt}=w_{xx}-q^2w$, $w_x(0,t)=u(t)$, $x>0$, $t\in(0,T)$, where $q>0$, $T>0$, $u\in L^\infty(0,T)$ is a control. This system is considered in the Sobolev spaces.
In this paper necessary and sufficient conditions of approximate $L^\infty$-controllability at a free time are obtained for the control system $ w_{tt}=w_{xx}-q^2w$, $w_x(0,t)=u(t)$, $x>0$, $t\in(0,T)$, where $q>0$, $T>0$, $u\in L^\infty(0,T)$ is a control. This system is considered in the Sobolev spaces.
2013, 3(2): 185-208
doi: 10.3934/mcrf.2013.3.185
+[Abstract](2842)
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Abstract:
The aim of this paper is to tackle the time optimal controllability of an $(n+1)$-dimensional nonholonomic integrator. In the optimal control problem we consider, the state variables are subject to a bound constraint. We give a full description of the optimal control and optimal trajectories are explicitly obtained. The optimal trajectories we construct, lie in a 2-dimensional plane and they are composed of arcs of circle.
The aim of this paper is to tackle the time optimal controllability of an $(n+1)$-dimensional nonholonomic integrator. In the optimal control problem we consider, the state variables are subject to a bound constraint. We give a full description of the optimal control and optimal trajectories are explicitly obtained. The optimal trajectories we construct, lie in a 2-dimensional plane and they are composed of arcs of circle.
2013, 3(2): 209-231
doi: 10.3934/mcrf.2013.3.209
+[Abstract](1906)
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Abstract:
This work provides an optimal trading rule that allows buying and selling of an asset sequentially over time. The asset price follows a regime switching model involving a geometric Brownian motion and a mean reversion model. The objective is to determine a sequence of trading times to maximize an overall return. The corresponding value functions are characterized by a set of quasi variational inequalities. Closed-form solutions are obtained. The sequence of trading times can be given in terms of various threshold levels. Numerical examples are given to demonstrate the results.
This work provides an optimal trading rule that allows buying and selling of an asset sequentially over time. The asset price follows a regime switching model involving a geometric Brownian motion and a mean reversion model. The objective is to determine a sequence of trading times to maximize an overall return. The corresponding value functions are characterized by a set of quasi variational inequalities. Closed-form solutions are obtained. The sequence of trading times can be given in terms of various threshold levels. Numerical examples are given to demonstrate the results.
2013, 3(2): 233-244
doi: 10.3934/mcrf.2013.3.233
+[Abstract](2494)
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Abstract:
In this paper, we study the relation between the smallest $g$-supersolution of constrained backward stochastic differential equation and viscosity solution of constraint semilinear parabolic PDE, i.e. variation inequalities. And we get an existence result of variation inequalities via constrained BSDE, and prove a uniqueness result with a condition on the constraint. Then we use these results to give a probabilistic interpretation result for reflected BSDE with a discontinuous barrier and other kind of reflected BSDE.
In this paper, we study the relation between the smallest $g$-supersolution of constrained backward stochastic differential equation and viscosity solution of constraint semilinear parabolic PDE, i.e. variation inequalities. And we get an existence result of variation inequalities via constrained BSDE, and prove a uniqueness result with a condition on the constraint. Then we use these results to give a probabilistic interpretation result for reflected BSDE with a discontinuous barrier and other kind of reflected BSDE.
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