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  Subjects -> MATHEMATICS (Total: 909 journals)
    - APPLIED MATHEMATICS (75 journals)
    - GEOMETRY AND TOPOLOGY (20 journals)
    - MATHEMATICS (676 journals)
    - MATHEMATICS (GENERAL) (41 journals)
    - NUMERICAL ANALYSIS (19 journals)
    - PROBABILITIES AND MATH STATISTICS (78 journals)

MATHEMATICS (676 journals)                  1 2 3 4 | Last

Showing 1 - 200 of 538 Journals sorted alphabetically
Abakós     Open Access   (Followers: 4)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 3)
Academic Voices : A Multidisciplinary Journal     Open Access   (Followers: 2)
Accounting Perspectives     Full-text available via subscription   (Followers: 7)
ACM Transactions on Algorithms (TALG)     Hybrid Journal   (Followers: 16)
ACM Transactions on Computational Logic (TOCL)     Hybrid Journal   (Followers: 4)
ACM Transactions on Mathematical Software (TOMS)     Hybrid Journal   (Followers: 6)
ACS Applied Materials & Interfaces     Full-text available via subscription   (Followers: 25)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1)
Acta Mathematica     Hybrid Journal   (Followers: 11)
Acta Mathematica Hungarica     Hybrid Journal   (Followers: 2)
Acta Mathematica Scientia     Full-text available via subscription   (Followers: 5)
Acta Mathematica Sinica, English Series     Hybrid Journal   (Followers: 6)
Acta Mathematica Vietnamica     Hybrid Journal  
Acta Mathematicae Applicatae Sinica, English Series     Hybrid Journal  
Advanced Science Letters     Full-text available via subscription   (Followers: 9)
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 3)
Advances in Calculus of Variations     Hybrid Journal   (Followers: 2)
Advances in Catalysis     Full-text available via subscription   (Followers: 5)
Advances in Complex Systems     Hybrid Journal   (Followers: 7)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 15)
Advances in Decision Sciences     Open Access   (Followers: 5)
Advances in Difference Equations     Open Access   (Followers: 2)
Advances in Fixed Point Theory     Open Access   (Followers: 5)
Advances in Geosciences (ADGEO)     Open Access   (Followers: 11)
Advances in Linear Algebra & Matrix Theory     Open Access   (Followers: 2)
Advances in Materials Sciences     Open Access   (Followers: 16)
Advances in Mathematical Physics     Open Access   (Followers: 5)
Advances in Mathematics     Full-text available via subscription   (Followers: 10)
Advances in Numerical Analysis     Open Access   (Followers: 4)
Advances in Operations Research     Open Access   (Followers: 11)
Advances in Porous Media     Full-text available via subscription   (Followers: 4)
Advances in Pure and Applied Mathematics     Hybrid Journal   (Followers: 6)
Advances in Pure Mathematics     Open Access   (Followers: 4)
Advances in Science and Research (ASR)     Open Access   (Followers: 6)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2)
African Journal of Educational Studies in Mathematics and Sciences     Full-text available via subscription   (Followers: 5)
African Journal of Mathematics and Computer Science Research     Open Access   (Followers: 4)
Afrika Matematika     Hybrid Journal   (Followers: 1)
Air, Soil & Water Research     Open Access   (Followers: 9)
AKSIOMA Journal of Mathematics Education     Open Access   (Followers: 1)
Al-Jabar : Jurnal Pendidikan Matematika     Open Access  
Algebra and Logic     Hybrid Journal   (Followers: 4)
Algebra Colloquium     Hybrid Journal   (Followers: 4)
Algebra Universalis     Hybrid Journal   (Followers: 2)
Algorithmic Operations Research     Full-text available via subscription   (Followers: 5)
Algorithms     Open Access   (Followers: 11)
Algorithms Research     Open Access   (Followers: 1)
American Journal of Computational and Applied Mathematics     Open Access   (Followers: 4)
American Journal of Mathematical Analysis     Open Access  
American Journal of Mathematics     Full-text available via subscription   (Followers: 7)
American Journal of Operations Research     Open Access   (Followers: 5)
American Mathematical Monthly     Full-text available via subscription   (Followers: 6)
An International Journal of Optimization and Control: Theories & Applications     Open Access   (Followers: 7)
Analele Universitatii Ovidius Constanta - Seria Matematica     Open Access   (Followers: 1)
Analysis     Hybrid Journal   (Followers: 2)
Analysis and Applications     Hybrid Journal   (Followers: 1)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 3)
Analysis Mathematica     Full-text available via subscription  
Annales Mathematicae Silesianae     Open Access  
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4)
Annales UMCS, Mathematica     Open Access   (Followers: 1)
Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica     Open Access  
Annali di Matematica Pura ed Applicata     Hybrid Journal   (Followers: 1)
Annals of Combinatorics     Hybrid Journal   (Followers: 3)
Annals of Data Science     Hybrid Journal   (Followers: 11)
Annals of Discrete Mathematics     Full-text available via subscription   (Followers: 6)
Annals of Mathematics     Full-text available via subscription  
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 8)
Annals of Pure and Applied Logic     Open Access   (Followers: 2)
Annals of the Alexandru Ioan Cuza University - Mathematics     Open Access  
Annals of the Institute of Statistical Mathematics     Hybrid Journal   (Followers: 1)
Annals of West University of Timisoara - Mathematics     Open Access  
Annuaire du Collège de France     Open Access   (Followers: 5)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 2)
Applications of Mathematics     Hybrid Journal   (Followers: 1)
Applied Categorical Structures     Hybrid Journal   (Followers: 2)
Applied Computational Intelligence and Soft Computing     Open Access   (Followers: 12)
Applied Mathematics     Open Access   (Followers: 3)
Applied Mathematics     Open Access   (Followers: 5)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 4)
Applied Mathematics - A Journal of Chinese Universities     Hybrid Journal  
Applied Mathematics Letters     Full-text available via subscription   (Followers: 1)
Applied Mathematics Research eXpress     Hybrid Journal   (Followers: 1)
Applied Network Science     Open Access   (Followers: 1)
Applied Numerical Mathematics     Hybrid Journal   (Followers: 5)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 5)
Arab Journal of Mathematical Sciences     Open Access   (Followers: 3)
Arabian Journal of Mathematics     Open Access   (Followers: 2)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 1)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 5)
Archive of Numerical Software     Open Access  
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 4)
Arkiv för Matematik     Hybrid Journal   (Followers: 1)
Arnold Mathematical Journal     Hybrid Journal   (Followers: 1)
Artificial Satellites : The Journal of Space Research Centre of Polish Academy of Sciences     Open Access   (Followers: 21)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asian Journal of Algebra     Open Access   (Followers: 1)
Asian Journal of Current Engineering & Maths     Open Access  
Asian-European Journal of Mathematics     Hybrid Journal   (Followers: 2)
Australian Mathematics Teacher, The     Full-text available via subscription   (Followers: 7)
Australian Primary Mathematics Classroom     Full-text available via subscription   (Followers: 3)
Australian Senior Mathematics Journal     Full-text available via subscription   (Followers: 1)
Automatic Documentation and Mathematical Linguistics     Hybrid Journal   (Followers: 5)
Axioms     Open Access   (Followers: 1)
Baltic International Yearbook of Cognition, Logic and Communication     Open Access  
Basin Research     Hybrid Journal   (Followers: 5)
BIBECHANA     Open Access   (Followers: 2)
BIT Numerical Mathematics     Hybrid Journal  
BoEM - Boletim online de Educação Matemática     Open Access  
Boletim Cearense de Educação e História da Matemática     Open Access  
Boletim de Educação Matemática     Open Access  
Boletín de la Sociedad Matemática Mexicana     Hybrid Journal  
Bollettino dell'Unione Matematica Italiana     Full-text available via subscription   (Followers: 1)
British Journal of Mathematical and Statistical Psychology     Full-text available via subscription   (Followers: 21)
Bruno Pini Mathematical Analysis Seminar     Open Access  
Buletinul Academiei de Stiinte a Republicii Moldova. Matematica     Open Access   (Followers: 11)
Bulletin des Sciences Mathamatiques     Full-text available via subscription   (Followers: 4)
Bulletin of Dnipropetrovsk University. Series : Communications in Mathematical Modeling and Differential Equations Theory     Open Access   (Followers: 1)
Bulletin of Mathematical Sciences     Open Access   (Followers: 1)
Bulletin of the Brazilian Mathematical Society, New Series     Hybrid Journal  
Bulletin of the London Mathematical Society     Hybrid Journal   (Followers: 3)
Bulletin of the Malaysian Mathematical Sciences Society     Hybrid Journal  
Calculus of Variations and Partial Differential Equations     Hybrid Journal  
Canadian Journal of Science, Mathematics and Technology Education     Hybrid Journal   (Followers: 20)
Carpathian Mathematical Publications     Open Access   (Followers: 1)
Catalysis in Industry     Hybrid Journal   (Followers: 1)
CEAS Space Journal     Hybrid Journal   (Followers: 1)
CHANCE     Hybrid Journal   (Followers: 6)
Chaos, Solitons & Fractals     Hybrid Journal   (Followers: 3)
ChemSusChem     Hybrid Journal   (Followers: 7)
Chinese Annals of Mathematics, Series B     Hybrid Journal  
Chinese Journal of Catalysis     Full-text available via subscription   (Followers: 2)
Chinese Journal of Mathematics     Open Access  
Clean Air Journal     Full-text available via subscription   (Followers: 2)
Cogent Mathematics     Open Access   (Followers: 2)
Cognitive Computation     Hybrid Journal   (Followers: 4)
Collectanea Mathematica     Hybrid Journal  
College Mathematics Journal     Full-text available via subscription   (Followers: 3)
COMBINATORICA     Hybrid Journal  
Combustion Theory and Modelling     Hybrid Journal   (Followers: 14)
Commentarii Mathematici Helvetici     Hybrid Journal   (Followers: 1)
Communications in Combinatorics and Optimization     Open Access  
Communications in Contemporary Mathematics     Hybrid Journal  
Communications in Mathematical Physics     Hybrid Journal   (Followers: 1)
Communications On Pure & Applied Mathematics     Hybrid Journal   (Followers: 3)
Complex Analysis and its Synergies     Open Access   (Followers: 2)
Complex Variables and Elliptic Equations: An International Journal     Hybrid Journal  
Complexus     Full-text available via subscription  
Composite Materials Series     Full-text available via subscription   (Followers: 9)
Comptes Rendus Mathematique     Full-text available via subscription   (Followers: 1)
Computational and Applied Mathematics     Hybrid Journal   (Followers: 2)
Computational and Mathematical Methods in Medicine     Open Access   (Followers: 2)
Computational and Mathematical Organization Theory     Hybrid Journal   (Followers: 2)
Computational Complexity     Hybrid Journal   (Followers: 4)
Computational Mathematics and Modeling     Hybrid Journal   (Followers: 8)
Computational Mechanics     Hybrid Journal   (Followers: 4)
Computational Methods and Function Theory     Hybrid Journal  
Computational Optimization and Applications     Hybrid Journal   (Followers: 7)
Computers & Mathematics with Applications     Full-text available via subscription   (Followers: 6)
Concrete Operators     Open Access   (Followers: 4)
Confluentes Mathematici     Hybrid Journal  
Contributions to Game Theory and Management     Open Access  
COSMOS     Hybrid Journal  
Cryptography and Communications     Hybrid Journal   (Followers: 14)
Cuadernos de Investigación y Formación en Educación Matemática     Open Access  
Cubo. A Mathematical Journal     Open Access  
Current Research in Biostatistics     Open Access   (Followers: 9)
Czechoslovak Mathematical Journal     Hybrid Journal   (Followers: 1)
Demographic Research     Open Access   (Followers: 11)
Demonstratio Mathematica     Open Access  
Dependence Modeling     Open Access  
Design Journal : An International Journal for All Aspects of Design     Hybrid Journal   (Followers: 28)
Developments in Clay Science     Full-text available via subscription   (Followers: 1)
Developments in Mineral Processing     Full-text available via subscription   (Followers: 3)
Dhaka University Journal of Science     Open Access  
Differential Equations and Dynamical Systems     Hybrid Journal   (Followers: 3)
Differentsial'nye Uravneniya     Open Access  
Discrete Mathematics     Hybrid Journal   (Followers: 8)
Discrete Mathematics & Theoretical Computer Science     Open Access  
Discrete Mathematics, Algorithms and Applications     Hybrid Journal   (Followers: 2)
Discussiones Mathematicae Graph Theory     Open Access   (Followers: 1)
Diskretnaya Matematika     Full-text available via subscription  
Dnipropetrovsk University Mathematics Bulletin     Open Access  
Doklady Akademii Nauk     Open Access  
Doklady Mathematics     Hybrid Journal  
Duke Mathematical Journal     Full-text available via subscription   (Followers: 1)
Eco Matemático     Open Access  
Edited Series on Advances in Nonlinear Science and Complexity     Full-text available via subscription  
Electronic Journal of Differential Equations     Open Access  
Electronic Journal of Graph Theory and Applications     Open Access   (Followers: 2)
Electronic Notes in Discrete Mathematics     Full-text available via subscription   (Followers: 2)
Elemente der Mathematik     Full-text available via subscription   (Followers: 4)
Energy for Sustainable Development     Hybrid Journal   (Followers: 9)
Enseñanza de las Ciencias : Revista de Investigación y Experiencias Didácticas     Open Access  
Ensino da Matemática em Debate     Open Access  
Entropy     Open Access   (Followers: 5)
ESAIM: Control Optimisation and Calculus of Variations     Full-text available via subscription   (Followers: 1)
European Journal of Combinatorics     Full-text available via subscription   (Followers: 5)
European Journal of Mathematics     Hybrid Journal   (Followers: 1)

        1 2 3 4 | Last

Journal Cover Applied Mathematics & Optimization
  [SJR: 0.955]   [H-I: 33]   [4 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1432-0606 - ISSN (Online) 0095-4616
   Published by Springer-Verlag Homepage  [2355 journals]
  • Feedback Boundary Stabilization to Trajectories for 3D Navier–Stokes
           Equations
    • Authors: Sérgio S. Rodrigues
      Abstract: Abstract Given a nonstationary trajectory of the Navier–Stokes system, a finite-dimensional feedback boundary control stabilizing locally the system to the given trajectory is derived. Moreover the control is supported in a given open subset of the boundary of the domain containing the fluid. In a first step a controller (feedback operator) is derived which stabilizes the linear Oseen–Stokes system “around the given trajectory” to zero; for that a corollary of a suitable truncated boundary observability inequality, the regularizing property for the system, and some standard techniques of the optimal control theory are used. Then it is shown that the same controller also stabilizes, locally, the Navier–Stokes system to the given trajectory.
      PubDate: 2018-01-06
      DOI: 10.1007/s00245-017-9474-5
       
  • Relaxation for Optimal Design Problems with Non-standard Growth
    • Authors: Ana Cristina Barroso; Elvira Zappale
      Abstract: Abstract In this paper we investigate the possibility of obtaining a measure representation for functionals arising in the context of optimal design problems under non-standard growth conditions and perimeter penalization. Applications to modelling of strings are also provided.
      PubDate: 2018-01-05
      DOI: 10.1007/s00245-017-9473-6
       
  • Optimal Control of the Multiphase Stefan Problem
    • Authors: Ugur G. Abdulla; Bruno Poggi
      Abstract: Abstract We consider the inverse multiphase Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundaries. Optimal control framework is pursued, where boundary heat flux is the control, and the optimality criteria consist of the minimization of the \(L_2\) -norm declination of the trace of the solution to the Stefan problem from the temperature measurement on the fixed right boundary. The state vector solves multiphase Stefan problem in a weak formulation, which is equivalent to Neumann problem for the quasilinear parabolic PDE with discontinuous coefficient. Full discretization through finite differences is implemented and discrete optimal control problem is introduced. We prove well-posedness in a Sobolev space framework and convergence of discrete optimal control problems to the original problem both with respect to the cost functional and control. Along the way, the convergence of the method of finite differences for the weak solution of the multiphase Stefan problem is proved. The proof is based on achieving a uniform \(L_{\infty }\) bound, and \(W_2^{1,1}\) -energy estimate for the discrete multiphase Stefan problem.
      PubDate: 2018-01-03
      DOI: 10.1007/s00245-017-9472-7
       
  • Differential Stability of a Class of Convex Optimal Control Problems
    • Authors: D. T. V. An; J.-C. Yao; N. D. Yen
      Abstract: Abstract A parametric constrained convex optimal control problem, where the initial state is perturbed and the linear state equation contains a noise, is considered in this paper. Formulas for computing the subdifferential and the singular subdifferential of the optimal value function at a given parameter are obtained by means of some recent results on differential stability in mathematical programming. The computation procedures and illustrative examples are presented.
      PubDate: 2018-01-03
      DOI: 10.1007/s00245-017-9475-4
       
  • Optimal Control of High-Order Elliptic Obstacle Problem
    • Authors: Radouen Ghanem; Ibtissam Nouri
      Pages: 465 - 500
      Abstract: Abstract We consider an optimal control problem for the obstacle problem with an elliptic polyharmonic obstacle problem of order 2m, where the obstacle function is assumed to be the control. We use a Moreau–Yosida approximate technique to introduce a family of problems governed by variational equations. Then, we prove optimal solutions existence and give an approximate optimality system and convergence results by passing to the limit in this system.
      PubDate: 2017-12-01
      DOI: 10.1007/s00245-016-9358-0
      Issue No: Vol. 76, No. 3 (2017)
       
  • An Iterated Projection Approach to Variational Problems Under Generalized
           Convexity Constraints
    • Authors: Guillaume Carlier; Xavier Dupuis
      Pages: 565 - 592
      Abstract: Abstract The principal-agent problem in economics leads to variational problems subject to global constraints of b-convexity on the admissible functions, capturing the so-called incentive-compatibility constraints. Typical examples are minimization problems subject to a convexity constraint. In a recent pathbreaking article, Figalli et al. (J Econ Theory 146(2):454–478, 2011) identified conditions which ensure convexity of the principal-agent problem and thus raised hope on the development of numerical methods. We consider special instances of projections problems over b-convex functions and show how they can be solved numerically using Dykstra’s iterated projection algorithm to handle the b-convexity constraint in the framework of (Figalli et al. in J Econ Theory 146(2):454–478, 2011). Our method also turns out to be simple for convex envelope computations.
      PubDate: 2017-12-01
      DOI: 10.1007/s00245-016-9361-5
      Issue No: Vol. 76, No. 3 (2017)
       
  • Completely Mixed Strategies for Two Structured Classes of Semi-Markov
           Games, Principal Pivot Transform and Its Generalizations
    • Authors: P. Mondal; S. K. Neogy; S. Sinha; D. Ghorui
      Pages: 593 - 619
      Abstract: Abstract In this article, we revisit the applications of principal pivot transform and its generalization for a rectangular matrix (in the context of vertical linear complementarity problem) to solve some structured classes of zero-sum two-person discounted semi-Markov games with finitely many states and actions. The single controller semi-Markov games have been formulated as a linear complementarity problem and solved using a stepwise principal pivoting algorithm. We provide a sufficient condition for such games to be completely mixed. The concept of switching controller semi-Markov games is introduced and we prove the ordered field property and the existence of stationary optimal strategies for such games. Moreover, such games are formulated as a vertical linear complementarity problem and have been solved using a stepwise generalized principal pivoting algorithm. Sufficient conditions are also given for such games to be completely mixed. For both these classes of games, some properties analogous to completely mixed matrix games, are established.
      PubDate: 2017-12-01
      DOI: 10.1007/s00245-016-9362-4
      Issue No: Vol. 76, No. 3 (2017)
       
  • On the Moore–Gibson–Thompson Equation and Its Relation to
           Linear Viscoelasticity
    • Authors: Filippo Dell’Oro; Vittorino Pata
      Pages: 641 - 655
      Abstract: Abstract We discuss the parallel between the third-order Moore–Gibson–Thompson equation $$\begin{aligned} {\partial _{ttt}} u + \alpha {\partial _{tt}}u-\beta \Delta {\partial _t} u - \gamma \Delta u =0 \end{aligned}$$ depending on the parameters \(\alpha ,\beta ,\gamma >0,\) and the equation of linear viscoelasticity $$\begin{aligned} \partial _{tt}u(t) - \kappa (0)\Delta u(t) - \int _{0}^\infty \kappa ^{\prime }(s)\Delta u(t-s)\,\mathrm{d}s=0 \end{aligned}$$ for the particular choice of the exponential kernel $$\begin{aligned} \kappa (s) = a \mathrm{e}^{-b s} + c \end{aligned}$$ with \(a,b,c>0\) . In particular, the latter model is shown to exhibit a preservation of regularity for a certain class of initial data, which is unexpected in presence of a general memory kernel \(\kappa \) .
      PubDate: 2017-12-01
      DOI: 10.1007/s00245-016-9365-1
      Issue No: Vol. 76, No. 3 (2017)
       
  • Wellposedness and Decay Rates for the Cauchy Problem of the
           Moore–Gibson–Thompson Equation Arising in High Intensity Ultrasound
    • Authors: M. Pellicer; B. Said-Houari
      Abstract: Abstract In this paper, we study the Moore–Gibson–Thompson equation in \(\mathbb {R}^N\) , which is a third order in time equation that arises in viscous thermally relaxing fluids and also in viscoelastic materials (then under the name of standard linear viscoelastic model). First, we use some Lyapunov functionals in the Fourier space to show that, under certain assumptions on some parameters in the equation, a norm related to the solution decays with a rate \((1+t)^{-N/4}\) . Since the decay of the previous norm does not give the decay rate of the solution itself then, in the second part of the paper, we show an explicit representation of the solution in the frequency domain by analyzing the eigenvalues of the Fourier image of the solution and writing the solution accordingly. We use this eigenvalues expansion method to give the decay rate of the solution (and also of its derivatives), which results in \((1+t)^{1-N/4}\) for \(N=1,2\) and \((1+t)^{1/2-N/4}\) when \(N\ge 3\) .
      PubDate: 2017-12-30
      DOI: 10.1007/s00245-017-9471-8
       
  • Pullback Dynamics of Non-autonomous Timoshenko Systems
    • Authors: To Fu Ma; Rodrigo Nunes Monteiro; Ana Claudia Pereira
      Abstract: Abstract This paper is concerned with the Timoshenko system, a recognized model for vibrations of thin prismatic beams. The corresponding autonomous system has been widely studied. However, there are only a few works dedicated to its non-autonomous counterpart. Here, we investigate the long-time dynamics of Timoshenko systems involving a nonlinear foundation and subjected to perturbations of time-dependent external forces. The main result establishes the existence of a pullback exponential attractor, which as a consequence, implies the existence of a minimal pullback attractor with finite fractal dimension. The upper-semicontinuity of attractors, as the non-autonomous forces tend to zero, is also studied.
      PubDate: 2017-12-28
      DOI: 10.1007/s00245-017-9469-2
       
  • Large Deviations for the Dynamic $$\Phi ^{2n}_d$$ Φ d 2 n Model
    • Authors: Sandra Cerrai; Arnaud Debussche
      Abstract: Abstract We are dealing with the validity of a large deviation principle for a class of reaction–diffusion equations with polynomial non-linearity, perturbed by a Gaussian random forcing. We are here interested in the regime where both the strength of the noise and its correlation are vanishing, on a length scale \(\epsilon \) and \(\delta (\epsilon )\) , respectively, with \(0<\epsilon ,\delta (\epsilon )\ll 1\) . We prove that, under the assumption that \(\epsilon \) and \(\delta (\epsilon )\) satisfy a suitable scaling limit, a large deviation principle holds in the space of continuous trajectories with values both in the space of square-integrable functions and in Sobolev spaces of negative exponent. Our result is valid, without any restriction on the degree of the polynomial nor on the space dimension.
      PubDate: 2017-12-26
      DOI: 10.1007/s00245-017-9459-4
       
  • Recurrence and Ergodicity for A Class of Regime-Switching Jump Diffusions
    • Authors: Xiaoshan Chen; Zhen-Qing Chen; Ky Tran; George Yin
      Abstract: Abstract This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying processes feature in the switching process depends on the jump diffusions. In this paper, conditions for recurrence and positive recurrence are derived. Ergodicity is examined in detail. Existence of invariant probability measures is proved.
      PubDate: 2017-12-26
      DOI: 10.1007/s00245-017-9470-9
       
  • Linear Stochastic Differential Equations Driven by Gauss-Volterra
           Processes and Related Linear-Quadratic Control Problems
    • Authors: T. E. Duncan; B. Maslowski; B. Pasik-Duncan
      Abstract: Abstract A stochastic linear-quadratic control problem is formulated and solved for some stochastic equations in an infinite dimensional Hilbert space for both finite and infinite time horizons. The equations are bilinear in the state and the noise process where the noise is a scalar Gauss-Volterra process. The Gauss-Volterra noise processes are obtained from the integral of a Brownian motion with a suitable kernel function. These noise processes include fractional Brownian motions with the Hurst parameter \(H \in (\frac{1}{2},1)\) , Liouville fractional Brownian motions with \(H \in (\frac{1}{2},1)\) , and some multifractional Brownian motions. The family of admissible controls for the quadratic costs is a family of linear feedback controls. This restriction on the family of controls allows for a feasible implementation of the optimal controls. The bilinear equations have drift terms that are linear evolution operators. These equations can model stochastic partial differential equations of parabolic and hyperbolic types and two families of examples are given.
      PubDate: 2017-12-22
      DOI: 10.1007/s00245-017-9468-3
       
  • Optimal Cash Management Problem for Compound Poisson Processes with
           Two-Sided Jumps
    • Authors: Pablo Azcue; Nora Muler
      Abstract: Abstract This paper presents a continuous time cash management problem where the uncontrolled money stock follows a compound poisson process with two-sided jumps and negative drift. The main goal is to minimize the total expected discounted sum of the opportunity cost of holding cash and the adjustment cost coming from deposits and withdrawals. This adjustment cost can have a proportional and a fixed component. In this paper it is assumed that the controlled money stock cannot be negative. We show that the optimal value function is an a.e. strong solution of the corresponding Hamilton–Jacobi–Bellman equation and that it can be characterized as the largest a.e. strong supersolution. We prove that the optimal policy has an impulse multi-band structure with multiple trigger-target pairs. We present examples where the optimal value function is not differentiable and an example where the optimal impulse policy has more that one band.
      PubDate: 2017-12-21
      DOI: 10.1007/s00245-017-9467-4
       
  • Nonlinear Nonhomogeneous Boundary Value Problems with Competition
           Phenomena
    • Authors: Nikolaos S. Papageorgiou; Vicenţiu D. Rădulescu; Dušan D. Repovš
      Abstract: Abstract We consider a nonlinear boundary value problem driven by a nonhomogeneous differential operator. The problem exhibits competing nonlinearities with a superlinear (convex) contribution coming from the reaction term and a sublinear (concave) contribution coming from the parametric boundary (source) term. We show that for all small parameter values \(\lambda >0\) , the problem has at least five nontrivial smooth solutions, four of constant sign and one nodal. We also produce extremal constant sign solutions and determine their monotonicity and continuity properties as the parameter \(\lambda >0\) varies. In the semilinear case we produce a sixth nontrivial solution but without any sign information. Our approach uses variational methods together with truncation and perturbation techniques, and Morse theory.
      PubDate: 2017-12-13
      DOI: 10.1007/s00245-017-9465-6
       
  • An Optimal Control Problem for the Steady Nonhomogeneous Asymmetric Fluids
    • Authors: Exequiel Mallea-Zepeda; Elva Ortega-Torres; Élder J. Villamizar-Roa
      Abstract: Abstract We study an optimal boundary control problem for the two-dimensional stationary micropolar fluids system with variable density. We control the system by considering boundary controls, for the velocity vector and angular velocity of rotation of particles, on parts of the boundary of the flow domain. On the remaining part of the boundary, we consider mixed boundary conditions for the vector velocity (Dirichlet and Navier conditions) and Dirichlet boundary conditions for the angular velocity. We analyze the existence of a weak solution obtaining the fluid density as a scalar function in terms of the stream function. We prove the existence of an optimal solution and, by using the Lagrange multipliers theorem, we state first-order optimality conditions. We also derive, through a penalty method, some optimality conditions satisfied by the optimal controls.
      PubDate: 2017-12-13
      DOI: 10.1007/s00245-017-9466-5
       
  • Linear Quadratic Optimal Control Problems for Mean-Field Backward
           Stochastic Differential Equations
    • Authors: Xun Li; Jingrui Sun; Jie Xiong
      Abstract: Abstract This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field forward–backward stochastic differential equation with constraint, is obtained by a variational method. By decoupling the optimality system, two coupled Riccati equations and an MF-BSDE are derived. It turns out that the coupled two Riccati equations are uniquely solvable. Then a complete and explicit representation is obtained for the optimal control.
      PubDate: 2017-12-07
      DOI: 10.1007/s00245-017-9464-7
       
  • On Long Term Investment Optimality
    • Authors: Anatolii A. Puhalskii
      Abstract: Abstract We study the problem of optimal long term investment with a view to beat a benchmark for a diffusion model of asset prices. Two kinds of objectives are considered. One criterion concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate of the probability that a portfolio exceeds the benchmark or to maximise the decay rate that the portfolio falls short. The other criterion concerns the growth rate of an expected risk-sensitised utility of wealth which has to be either minimised, for a risk-averse investor, or maximised, for a risk-seeking investor. It is assumed that the mean returns and volatilities of the securities are affected by an economic factor, possibly, in a nonlinear fashion. The economic factor and the benchmark are modelled with general Itô differential equations. The results identify asymptotically optimal portfolios and produce the decay, or growth, rates. The proportions of wealth invested in the individual securities are time-homogeneous functions of the economic factor. Furthermore, a uniform treatment is given to the out—and under—performance probability optimisation as well as to the risk-averse and risk-seeking portfolio optimisation. It is shown that there exists a portfolio that optimises the decay rates of both the outperformance probability and the underperformance probability. While earlier research on the subject has relied, for the most part, on the techniques of stochastic optimal control and dynamic programming, in this contribution the quantities of interest are studied directly by employing the methods of the large deviation theory. The key to the analysis is to recognise the setup in question as a case of coupled diffusions with time scale separation, with the economic factor representing “the fast motion”.
      PubDate: 2017-12-04
      DOI: 10.1007/s00245-017-9457-6
       
  • Predictive Control of Discrete Time Stochastic Nonlinear State Space
           Dynamical Systems: A Particle Nonparametric Approach
    • Authors: Jean-Pierre Vila; Jean-Pierre Gauchi
      Abstract: Abstract This paper presents the main principles of a stochastic nonlinear model predictive control (NMPC) novel approach for imperfectly observed discrete time systems described by time varying nonlinear non-Gaussian state space models with unknown parameters. A convergent particle estimator of the conditional expectation of a chosen cost function on a given receding control horizon is built, leading to an almost sure (a.s.) epi-convergent estimator of the NMPC cost-to-go criterion. The estimator of the expected cost function relies upon simulations and on a recently developed nonparametric convergent particle estimator of a multi-step ahead conditional probability density function (pdf) of the state variables. The theory of stochastic epi-convergence is applied to the estimated cost-to-go criterion to prove the almost sure convergence of the optimal solutions of the approximated NMPC problem to their true counterparts, when both simulation and particle numbers grow to infinity.
      PubDate: 2017-12-01
      DOI: 10.1007/s00245-017-9462-9
       
  • On the Controller-Stopper Problems with Controlled Jumps
    • Authors: Erhan Bayraktar; Jiaqi Li
      Abstract: Abstract We analyze the continuous time zero-sum and cooperative controller-stopper games of Karatzas and Sudderth (Ann Probab 29(3):1111–1127, 2001), Karatzas and Zamfirescu (Ann Probab 36(4):1495–1527, 2008) and Karatzas and Zamfirescu (Appl Math Optim 53(2):163–184, 2006) when the volatility of the state process is controlled as in Bayraktar and Huang (SIAM J Control Optim 51(2):1263–1297, 2013) but additionally when the state process has controlled jumps. We perform this analysis by first resolving the stochastic target problems [of Soner and Touzi (SIAM J Control Optim 41(2):404–424, 2002; J Eur Math Soc 4(3):201–236, 2002)] with a cooperative or a non-cooperative stopper and then embedding the original problem into the latter set-up. Unlike in Bayraktar and Huang (SIAM J Control Optim 51(2):1263–1297, 2013) our analysis relies crucially on the Stochastic Perron method of Bayraktar and Sîrbu (SIAM J Control Optim 51(6):4274–4294, 2013) but not the dynamic programming principle, which is difficult to prove directly for games.
      PubDate: 2017-12-01
      DOI: 10.1007/s00245-017-9463-8
       
 
 
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