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Comparison principle approach to utility maximization

Peter Imkeller, Victor Nzengang (2015)

Banach Center Publications

We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.

Conjugate-cut loci and injectivity domains on two-spheres of revolution

Bernard Bonnard, Jean-Baptiste Caillau, Gabriel Janin (2013)

ESAIM: Control, Optimisation and Calculus of Variations

In a recent article [B. Bonnard, J.-B. Caillau, R. Sinclair and M. Tanaka, Ann. Inst. Henri Poincaré, Anal. Non Linéaire 26 (2009) 1081–1098], we relate the computation of the conjugate and cut loci of a family of metrics on two-spheres of revolution whose polar form is g = dϕ2 + m(ϕ)dθ2 to the period mapping of the ϕ-variable. One purpose of this article is to use this relation to evaluate the cut and conjugate loci for a family of metrics arising as a deformation of the round sphere and to determine...

Constrained optimization: A general tolerance approach

Tomáš Roubíček (1990)

Aplikace matematiky

To overcome the somewhat artificial difficulties in classical optimization theory concerning the existence and stability of minimizers, a new setting of constrained optimization problems (called problems with tolerance) is proposed using given proximity structures to define the neighbourhoods of sets. The infimum and the so-called minimizing filter are then defined by means of level sets created by these neighbourhoods, which also reflects the engineering approach to constrained optimization problems....

Continuous dependence on function parameters for superlinear Dirichlet problems

Aleksandra Orpel (2005)

Colloquium Mathematicae

We discuss the existence of solutions for a certain generalization of the membrane equation and their continuous dependence on function parameters. We apply variational methods and consider the PDE as the Euler-Lagrange equation for a certain integral functional, which is not necessarily convex and coercive. As a consequence of the duality theory we obtain variational principles for our problem and some numerical results concerning approximation of solutions.

Control for the Sine-Gordon equation

Madalina Petcu, Roger Temam (2004)

ESAIM: Control, Optimisation and Calculus of Variations

In this article we apply the optimal and the robust control theory to the sine-Gordon equation. In our case the control is given by the boundary conditions and we work in a finite time horizon. We present at the beginning the optimal control problem and we derive a necessary condition of optimality and we continue by formulating a robust control problem for which existence and uniqueness of solutions are derived.

Control for the sine-gordon equation

Madalina Petcu, Roger Temam (2010)

ESAIM: Control, Optimisation and Calculus of Variations

In this article we apply the optimal and the robust control theory to the sine-Gordon equation. In our case the control is given by the boundary conditions and we work in a finite time horizon. We present at the beginning the optimal control problem and we derive a necessary condition of optimality and we continue by formulating a robust control problem for which existence and uniqueness of solutions are derived.

Control of the continuity equation with a non local flow

Rinaldo M. Colombo, Michael Herty, Magali Mercier (2011)

ESAIM: Control, Optimisation and Calculus of Variations

This paper focuses on the analytical properties of the solutions to the continuity equation with non local flow. Our driving examples are a supply chain model and an equation for the description of pedestrian flows. To this aim, we prove the well posedness of weak entropy solutions in a class of equations comprising these models. Then, under further regularity conditions, we prove the differentiability of solutions with respect to the initial datum and characterize this derivative. A necessary ...

Control of the continuity equation with a non local flow

Rinaldo M. Colombo, Michael Herty, Magali Mercier (2011)

ESAIM: Control, Optimisation and Calculus of Variations

This paper focuses on the analytical properties of the solutions to the continuity equation with non local flow. Our driving examples are a supply chain model and an equation for the description of pedestrian flows. To this aim, we prove the well posedness of weak entropy solutions in a class of equations comprising these models. Then, under further regularity conditions, we prove the differentiability of solutions with respect to the initial datum and characterize this derivative. A necessary ...

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