Displaying similar documents to “Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control”

The value function representing Hamilton–Jacobi equation with hamiltonian depending on value of solution

A. Misztela (2014)

ESAIM: Control, Optimisation and Calculus of Variations

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In the paper we investigate the regularity of the value function representing Hamilton–Jacobi equation: − + ( − ) = 0 with a final condition: () = (). Hamilton–Jacobi equation, in which the Hamiltonian depends on the value of solution , is represented by the value function with more complicated structure than the value function in Bolza problem. This function is described with the use of some class of Mayer problems related to the optimal control theory...

Nash equilibria for a model of traffic flow with several groups of drivers

Alberto Bressan, Ke Han (2012)

ESAIM: Control, Optimisation and Calculus of Variations

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Traffic flow is modeled by a conservation law describing the density of cars. It is assumed that each driver chooses his own departure time in order to minimize the sum of a departure and an arrival cost. There are groups of drivers, The -th group consists of drivers, sharing the same departure and arrival costs (), (). For any given population sizes ,, , we prove the existence of a Nash equilibrium solution,...

Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections

Romuald Elie, Idris Kharroubi (2014)

ESAIM: Probability and Statistics

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This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a minimal solution for these so-called constrained BSDEs with jumps a penalization procedure. This new type of BSDE offers a nice and practical unifying framework to the notions of constrained BSDEs presented in [S. Peng and M. Xu, (2007)] and BSDEs with...

Homogenization of quasilinear optimal control problems involving a thick multilevel junction of type 3 : 2 : 1

Tiziana Durante, Taras A. Mel’nyk (2012)

ESAIM: Control, Optimisation and Calculus of Variations

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We consider quasilinear optimal control problems involving a thick two-level junction which consists of the junction body and a large number of thin cylinders with the cross-section of order 𝒪( ). The thin cylinders are divided into two levels depending on the geometrical characteristics, the quasilinear boundary conditions and controls given on their lateral surfaces and bases respectively. In addition, the quasilinear boundary...

Pointwise constrained radially increasing minimizers in the quasi-scalar calculus of variations

Luís Balsa Bicho, António Ornelas (2014)

ESAIM: Control, Optimisation and Calculus of Variations

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We prove of vector minimizers () =  (||) to multiple integrals ∫ ((), |()|)  on a  ⊂ ℝ, among the Sobolev functions (·) in + (, ℝ), using a  : ℝ×ℝ → [0,∞] with (·) and . Besides such basic hypotheses, (·,·) is assumed to satisfy also...

Strong stabilization of controlled vibrating systems

Jean-François Couchouron (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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This paper deals with feedback stabilization of second order equations of the form ytt + A 0 y + u (t) B 0 y (t) = 0, t ∈ [0, +∞[, where A ...

Strong stabilization of controlled vibrating systems

Jean-François Couchouron (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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This paper deals with feedback stabilization of second order equations of the form + + = 0, ∈ [0, +∞[, where is a densely defined positive selfadjoint linear operator on a real Hilbert space with compact inverse and is a linear map in diagonal form. It is proved here that the classical sufficient ad-condition of Jurdjevic-Quinn and Ball-Slemrod with the feedback control = ⟨, ...

Minimising convex combinations of low eigenvalues

Mette Iversen, Dario Mazzoleni (2014)

ESAIM: Control, Optimisation and Calculus of Variations

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We consider the variational problem         inf{ () +  () + (1 −  − ) () | Ω open in ℝ, || ≤ 1}, for  ∈ [0, 1],  +  ≤ 1, where () is the th eigenvalue of the Dirichlet Laplacian acting in () and || is the Lebesgue measure of . We investigate for which values of every minimiser is connected.

Trivial Cases for the Kantorovitch Problem

Serge Dubuc, Issa Kagabo, Patrice Marcotte (2010)

RAIRO - Operations Research

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Let and be two compact spaces endowed with respective measures and satisfying the condition . Let be a continuous function on the product space . The mass transfer problem consists in determining a measure on whose marginals coincide with and , and such that the total cost be minimized. We first show that if the cost function is decomposable, i.e., can be represented as the sum of two continuous functions defined on and , respectively, then every feasible measure is optimal....

Means in complete manifolds: uniqueness and approximation

Marc Arnaudon, Laurent Miclo (2014)

ESAIM: Probability and Statistics

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Let be a complete Riemannian manifold,  ∈ ℕ and  ≥ 1. We prove that almost everywhere on  = ( ,, ) ∈  for Lebesgue measure in , the measure μ ( x ) = N ∑ k = 1 N x k μ ( x ) = 1 N ∑ k = 1 N δ x k has a unique–mean (). As a consequence, if  = ( ,, ) is a -valued random variable with absolutely continuous law, then almost surely (()) has a unique –mean. In particular if ( ...

Quasiconvex relaxation of multidimensional control problems with integrands f(t, ξ, v)

Marcus Wagner (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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We prove a general relaxation theorem for multidimensional control problems of Dieudonné-Rashevsky type with nonconvex integrands (, , ) in presence of a convex control restriction. The relaxed problem, wherein the integrand has been replaced by its lower semicontinuous quasiconvex envelope with respect to the gradient variable, possesses the same finite minimal value as the original problem, and admits a global minimizer. As an application, we provide existence theorems for the image...

Hydrodynamic limit of a d-dimensional exclusion process with conductances

Fábio Júlio Valentim (2012)

Annales de l'I.H.P. Probabilités et statistiques

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Fix a polynomial of the form () = + ∑2≤≤    =1 with (1) gt; 0. We prove that the evolution, on the diffusive scale, of the empirical density of exclusion processes on 𝕋 d , with conductances given by special class of functions, is described by the unique weak solution of the non-linear parabolic partial differential equation = ∑    ...

Hereditary properties of words

József Balogh, Béla Bollobás (2010)

RAIRO - Theoretical Informatics and Applications

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Let be a hereditary property of words, , an infinite class of finite words such that every subword (block) of a word belonging to is also in . Extending the classical Morse-Hedlund theorem, we show that either contains at least words of length for every  or, for some , it contains at most words of length for every . More importantly, we prove the following quantitative extension of this result: if has words of length then, for every , it contains at most ⌈( + 1)/2⌉⌈( + 1)/2⌈...

Variational approximation of a functional of Mumford–Shah type in codimension higher than one

Francesco Ghiraldin (2014)

ESAIM: Control, Optimisation and Calculus of Variations

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In this paper we consider a new kind of Mumford–Shah functional () for maps : ℝ → ℝ with  ≥ . The most important novelty is that the energy features a singular set of codimension greater than one, defined through the theory of distributional jacobians. After recalling the basic definitions and some well established results, we prove an approximation property for the energy ()  −convergence, in the same spirit of the work by Ambrosio and Tortorelli [L....