Partial Differential Equations Commons^™

Ergodic Switching Control For Markov-Feller Processes Ii, Jose L. Menaldi, Maurice Robin

Mathematics Faculty Research Publications

This is the continuation of Part I [14], where we considered control problems with long term average (or ergodic) cost for Markov switching processes (zt , nt ), nt being a discrete component with values in a finite set N . The control acts only on this discrete component and consists of immediate switching actions. We solve the ergodic problem in several situations extending previous works, mainly when zt is a reflected diffusion with or without jumps and when the set of control values is strictly smaller than N . In this Part II, we conclude our theoretical analysis with …

Ergodic Switching Control For Markov-Feller Processes I, Jose L. Menaldi, Maurice Robin

Mathematics Faculty Research Publications

We consider control problems with long term average (or ergodic) cost for Markov switching processes (zt, nt ), nt being a discrete component with values in a finite set N . The control acts only on this discrete component and consists of immediate switching actions. We solve the ergodic problem in several situations extending previous works, mainly when zt is a reflected diffusion with or without jumps and when the set of control values is strictly smaller than N .

The Gelfand Problem For The Infinity Laplacian, Fernando Charro, Byungjae Son, Peiyong Wang

Mathematics Faculty Research Publications

We study the asymptotic behavior as p → ∞ of the Gelfand problem

−Δ_pu = λe^u in Ω ⊂ Rⁿ, u = 0 on ∂Ω.

Under an appropriate rescaling on u and λ, we prove uniform convergence of solutions of the Gelfand problem to solutions of

min{|∇_u|−Λe^u, −Δ_∞u} = 0 in Ω, u = 0 on ∂Ω.

We discuss existence, non-existence, and multiplicity of solutions of the limit problem in terms of Λ.

Asymptotic Mean-Value Formulas For Solutions Of General Second-Order Elliptic Equations, Pablo Blanc, Fernando Charro, Juan J. Manfredi, Julio D. Rossi

Mathematics Faculty Research Publications

We obtain asymptotic mean-value formulas for solutions of second-order elliptic equations. Our approach is very flexible and allows us to consider several families of operators obtained as an infimum, a supremum, or a combination of both infimum and supremum, of linear operators. The families of equations that we consider include well-known operators such as Pucci, Issacs, and k-Hessian operators.

Stochastic Differential Equations With Jumps, Jose L. Menaldi

Mathematics Faculty Research Publications

Part I Stochastic Processes with Jumps Chapters: Probability Spaces, Semigroup Theory - Part II Stochastic Differential Equations with Jumps Chapters: Stochastic Calculus, Stochastic Differential Equations - Part III Reflected SDE with Jumps Chapters: Stochastic Differential Equations II, Stochastic Differential Equations III.

Comment: This is last version from 2014-01-07. *This Initial version 15/May/2008 was corrected and augmented to produce the others 5 volumes.

Neumann Boundary Control Of Hyperbolic Equations With Pointwise State Constraints, Boris S. Mordukhovich, Jean-Pierre Raymond

Mathematics Research Reports

We consider optimal control problems for hyperbolic systems with controls in Neumann boundary conditions with pointwise (hard) constraints on control and state functions. Focusing on hyperbolic dynamics governed by the multidimensional wave equation with a nonlinear term, we derive new necessary optimality conditions in the pointwise form of the Pontryagin Maximum Principle for the state-constrained problem under consideration. Our approach is based on modern methods of variational analysis that allows us to obtain refined necessary optimality conditions with no convexity assumptions on integrands in the minimizing cost functional.

On Optimal Ergodic Control Of Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin

Mathematics Faculty Research Publications

Our purpose is to study an optimal ergodic control problem where the state of the system is given by a diffusion process with jumps in the whole space. The corresponding dynamic programming (or Hamilton-Jacobi-Bellman) equation is a quasi-linear integro-differential equation of second order. A key result is to prove the existence and uniqueness of an invariant density function for a jump diffusion, whose lower order coefficients are only locally bounded and Borel measurable. Based on this invariant probability, existence and uniqueness (up to an additive constant) of solutions to the ergodic HJB equation is established.