Subjects -> MATHEMATICS (Total: 1074 journals)
    - APPLIED MATHEMATICS (86 journals)
    - GEOMETRY AND TOPOLOGY (23 journals)
    - MATHEMATICS (793 journals)
    - MATHEMATICS (GENERAL) (43 journals)
    - NUMERICAL ANALYSIS (23 journals)
    - PROBABILITIES AND MATH STATISTICS (106 journals)

MATHEMATICS (793 journals)                  1 2 3 4 | Last

Showing 1 - 200 of 538 Journals sorted alphabetically
Abakós     Open Access   (Followers: 5)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 4)
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: 3)
ACM Transactions on Mathematical Software (TOMS)     Hybrid Journal   (Followers: 6)
ACS Applied Materials & Interfaces     Hybrid Journal   (Followers: 39)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1)
Acta Mathematica     Hybrid Journal   (Followers: 12)
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: 12)
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 4)
Advances in Calculus of Variations     Hybrid Journal   (Followers: 6)
Advances in Catalysis     Full-text available via subscription   (Followers: 5)
Advances in Complex Systems     Hybrid Journal   (Followers: 10)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 23)
Advances in Decision Sciences     Open Access   (Followers: 4)
Advances in Difference Equations     Open Access   (Followers: 3)
Advances in Fixed Point Theory     Open Access   (Followers: 8)
Advances in Geosciences (ADGEO)     Open Access   (Followers: 18)
Advances in Linear Algebra & Matrix Theory     Open Access   (Followers: 11)
Advances in Materials Science     Open Access   (Followers: 19)
Advances in Mathematical Physics     Open Access   (Followers: 8)
Advances in Mathematics     Full-text available via subscription   (Followers: 17)
Advances in Nonlinear Analysis     Open Access   (Followers: 1)
Advances in Numerical Analysis     Open Access   (Followers: 9)
Advances in Operations Research     Open Access   (Followers: 13)
Advances in Porous Media     Full-text available via subscription   (Followers: 5)
Advances in Pure and Applied Mathematics     Hybrid Journal   (Followers: 10)
Advances in Pure Mathematics     Open Access   (Followers: 10)
Advances in Science and Research (ASR)     Open Access   (Followers: 8)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2)
African Journal of Educational Studies in Mathematics and Sciences     Full-text available via subscription   (Followers: 9)
African Journal of Mathematics and Computer Science Research     Open Access   (Followers: 7)
Afrika Matematika     Hybrid Journal   (Followers: 3)
Air, Soil & Water Research     Open Access   (Followers: 13)
AKSIOMA Journal of Mathematics Education     Open Access   (Followers: 3)
Al-Jabar : Jurnal Pendidikan Matematika     Open Access   (Followers: 1)
Al-Qadisiyah Journal for Computer Science and Mathematics     Open Access   (Followers: 1)
AL-Rafidain Journal of Computer Sciences and Mathematics     Open Access   (Followers: 5)
Algebra and Logic     Hybrid Journal   (Followers: 7)
Algebra Colloquium     Hybrid Journal   (Followers: 4)
Algebra Universalis     Hybrid Journal   (Followers: 2)
Algorithmic Operations Research     Open Access   (Followers: 5)
Algorithms     Open Access   (Followers: 12)
Algorithms Research     Open Access   (Followers: 1)
American Journal of Computational and Applied Mathematics     Open Access   (Followers: 10)
American Journal of Mathematical Analysis     Open Access   (Followers: 2)
American Journal of Mathematical and Management Sciences     Hybrid Journal  
American Journal of Mathematics     Full-text available via subscription   (Followers: 7)
American Journal of Operations Research     Open Access   (Followers: 8)
American Mathematical Monthly     Full-text available via subscription   (Followers: 6)
An International Journal of Optimization and Control: Theories & Applications     Open Access   (Followers: 11)
Anadol University Journal of Science and Technology B : Theoritical Sciences     Open Access  
Analele Universitatii Ovidius Constanta - Seria Matematica     Open Access  
Analysis and Applications     Hybrid Journal   (Followers: 1)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 6)
Analysis Mathematica     Full-text available via subscription  
Analysis. International mathematical journal of analysis and its applications     Hybrid Journal   (Followers: 5)
Annales Mathematicae Silesianae     Open Access   (Followers: 2)
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4)
Annales Universitatis Mariae Curie-Sklodowska, sectio A – 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: 4)
Annals of Data Science     Hybrid Journal   (Followers: 13)
Annals of Discrete Mathematics     Full-text available via subscription   (Followers: 7)
Annals of Mathematics     Full-text available via subscription   (Followers: 2)
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 14)
Annals of PDE     Hybrid Journal  
Annals of Pure and Applied Logic     Open Access   (Followers: 4)
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  
Annals of West University of Timisoara - Mathematics and Computer Science     Open Access   (Followers: 2)
Annuaire du Collège de France     Open Access   (Followers: 6)
ANZIAM Journal     Open Access   (Followers: 1)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 3)
Applications of Mathematics     Hybrid Journal   (Followers: 3)
Applied Categorical Structures     Hybrid Journal   (Followers: 4)
Applied Computational Intelligence and Soft Computing     Open Access   (Followers: 14)
Applied Mathematics     Open Access   (Followers: 4)
Applied Mathematics     Open Access   (Followers: 8)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 10)
Applied Mathematics - A Journal of Chinese Universities     Hybrid Journal   (Followers: 1)
Applied Mathematics and Nonlinear Sciences     Open Access  
Applied Mathematics Letters     Full-text available via subscription   (Followers: 4)
Applied Mathematics Research eXpress     Hybrid Journal   (Followers: 1)
Applied Network Science     Open Access   (Followers: 3)
Applied Numerical Mathematics     Hybrid Journal   (Followers: 5)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 6)
Arab Journal of Mathematical Sciences     Open Access   (Followers: 4)
Arabian Journal of Mathematics     Open Access   (Followers: 2)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 3)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 6)
Archive of Numerical Software     Open Access  
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 6)
Arkiv för Matematik     Hybrid Journal   (Followers: 1)
Armenian Journal of Mathematics     Open Access   (Followers: 1)
Arnold Mathematical Journal     Hybrid Journal   (Followers: 1)
Artificial Satellites     Open Access   (Followers: 25)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asian Journal of Algebra     Open Access   (Followers: 1)
Asian Research Journal of Mathematics     Open Access   (Followers: 1)
Asian-European Journal of Mathematics     Hybrid Journal   (Followers: 3)
Australian Mathematics Teacher, The     Full-text available via subscription   (Followers: 7)
Australian Primary Mathematics Classroom     Full-text available via subscription   (Followers: 5)
Australian Senior Mathematics Journal     Full-text available via subscription   (Followers: 2)
Automatic Documentation and Mathematical Linguistics     Hybrid Journal   (Followers: 5)
Axioms     Open Access   (Followers: 1)
Baltic International Yearbook of Cognition, Logic and Communication     Open Access   (Followers: 2)
Basin Research     Hybrid Journal   (Followers: 5)
BIBECHANA     Open Access   (Followers: 2)
Biomath     Open Access  
BIT Numerical Mathematics     Hybrid Journal   (Followers: 1)
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: 2)
British Journal of Mathematical and Statistical Psychology     Full-text available via subscription   (Followers: 19)
Bruno Pini Mathematical Analysis Seminar     Open Access  
Buletinul Academiei de Stiinte a Republicii Moldova. Matematica     Open Access   (Followers: 13)
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: 3)
Bulletin of Mathematical Sciences     Open Access   (Followers: 1)
Bulletin of Symbolic Logic     Full-text available via subscription   (Followers: 2)
Bulletin of the Australian Mathematical Society     Full-text available via subscription   (Followers: 2)
Bulletin of the Brazilian Mathematical Society, New Series     Hybrid Journal  
Bulletin of the Iranian Mathematical Society     Hybrid Journal  
Bulletin of the London Mathematical Society     Hybrid Journal   (Followers: 3)
Bulletin of the Malaysian Mathematical Sciences Society     Hybrid Journal  
Cadernos do IME : Série Matemática     Open Access   (Followers: 1)
Calculus of Variations and Partial Differential Equations     Hybrid Journal  
Canadian Journal of Mathematics / Journal canadien de mathématiques     Hybrid Journal  
Canadian Journal of Science, Mathematics and Technology Education     Hybrid Journal   (Followers: 22)
Canadian Mathematical Bulletin     Hybrid Journal  
Carpathian Mathematical Publications     Open Access   (Followers: 1)
Catalysis in Industry     Hybrid Journal   (Followers: 1)
CEAS Space Journal     Hybrid Journal   (Followers: 2)
CHANCE     Hybrid Journal   (Followers: 5)
Chaos, Solitons & Fractals     Hybrid Journal   (Followers: 3)
Chaos, Solitons & Fractals : X     Open Access  
ChemSusChem     Hybrid Journal   (Followers: 8)
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  
Ciencia     Open Access   (Followers: 1)
Clean Air Journal     Full-text available via subscription   (Followers: 1)
Cogent Mathematics     Open Access   (Followers: 2)
Cognitive Computation     Hybrid Journal   (Followers: 3)
Collectanea Mathematica     Hybrid Journal  
College Mathematics Journal     Hybrid Journal   (Followers: 4)
COMBINATORICA     Hybrid Journal  
Combinatorics, Probability and Computing     Hybrid Journal   (Followers: 4)
Combustion Theory and Modelling     Hybrid Journal   (Followers: 15)
Commentarii Mathematici Helvetici     Hybrid Journal  
Communications in Advanced Mathematical Sciences     Open Access  
Communications in Combinatorics and Optimization     Open Access  
Communications in Contemporary Mathematics     Hybrid Journal  
Communications in Mathematical Physics     Hybrid Journal   (Followers: 4)
Communications On Pure & Applied Mathematics     Hybrid Journal   (Followers: 4)
Complex Analysis and its Synergies     Open Access   (Followers: 3)
Complex Variables and Elliptic Equations: An International Journal     Hybrid Journal  
Composite Materials Series     Full-text available via subscription   (Followers: 9)
Compositio Mathematica     Full-text available via subscription  
Comptes Rendus Mathematique     Full-text available via subscription  
Computational and Applied Mathematics     Hybrid Journal   (Followers: 4)
Computational and Mathematical Methods     Hybrid Journal  
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: 9)
Computational Mechanics     Hybrid Journal   (Followers: 5)
Computational Methods and Function Theory     Hybrid Journal  
Computational Optimization and Applications     Hybrid Journal   (Followers: 9)
Computers & Mathematics with Applications     Full-text available via subscription   (Followers: 11)
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: 13)
Cuadernos de Investigación y Formación en Educación Matemática     Open Access  
Cubo. A Mathematical Journal     Open Access  
Current Research in Biostatistics     Open Access   (Followers: 8)
Czechoslovak Mathematical Journal     Hybrid Journal   (Followers: 1)
Demographic Research     Open Access   (Followers: 15)
Demonstratio Mathematica     Open Access  
Dependence Modeling     Open Access  
Design Journal : An International Journal for All Aspects of Design     Hybrid Journal   (Followers: 31)
Desimal : Jurnal Matematika     Open Access   (Followers: 1)
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: 4)
Differentsial'nye Uravneniya     Open Access  

        1 2 3 4 | Last

Similar Journals
Journal Cover
Applied Mathematics & Optimization
Journal Prestige (SJR): 0.886
Citation Impact (citeScore): 1
Number of Followers: 10  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1432-0606 - ISSN (Online) 0095-4616
Published by Springer-Verlag Homepage  [2570 journals]
  • Weak Sharpness and Finite Convergence for Solutions of Nonsmooth
           Variational Inequalities in Hilbert Spaces
    • Abstract: Abstract This paper deals with the study of weak sharp solutions for nonsmooth variational inequalities and finite convergence property of the proximal point method. We present several characterizations for weak sharpness of the solutions set of nonsmooth variational inequalities without using the gap functions. We show that under weak sharpness of the solutions set, the sequence generated by proximal point methods terminates after a finite number of iterations. We also give an upper bound for the number of iterations for which the sequence generated by the exact proximal point methods terminates.
      PubDate: 2020-02-18
       
  • Well Posedness and Control in a NonLocal SIR Model
    • Abstract: Abstract SIR models, also with age structure, can be used to describe the evolution of an infectious disease. A vaccination campaign influences this dynamics immunizing part of the susceptible individuals, essentially turning them into recovered individuals. We assume that vaccinations are dosed at prescribed times or ages which introduce discontinuities in the evolution of the S and R populations. It is then natural to seek the “best” vaccination strategies in terms of costs and/or effectiveness. This paper provides the basic well posedness and stability results on the SIR model with vaccination campaigns, thus ensuring the existence of optimal dosing strategies.
      PubDate: 2020-02-04
       
  • Existence and Uniqueness of Solutions for Abstract Neutral Differential
           Equations with State-Dependent Delay
    • Abstract: We study the existence and uniqueness of mild and strict solutions for abstract neutral differential equations with state-dependent delay. Some examples related to partial neutral differential equations are presented.
      PubDate: 2020-02-01
       
  • ( p , 2)-Equations with a Crossing Nonlinearity and Concave Terms
    • Abstract: Abstract We consider a parametric Dirichlet problem driven by the sum of a p-Laplacian (\(p>2\)) and a Laplacian (a (p, 2)-equation). The reaction consists of an asymmetric \((p-1)\)-linear term which is resonant as \(x \rightarrow - \infty \), plus a concave term. However, in this case the concave term enters with a negative sign. Using variational tools together with suitable truncation techniques and Morse theory (critical groups), we show that when the parameter is small the problem has at least three nontrivial smooth solutions.
      PubDate: 2020-02-01
       
  • Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost
    • Abstract: Abstract Zero-sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics, we completely characterize all possible saddle point strategies in the class of stationary Markov controls. In addition, we also establish existence-uniqueness result for the value function of the Hamilton–Jacobi–Isaacs equation.
      PubDate: 2020-02-01
       
  • Differential Stability of a Class of Convex Optimal Control Problems
    • 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: 2020-02-01
       
  • Viscous Fluid–Thin Elastic Plate Interaction: Asymptotic Analysis with
           Respect to the Rigidity and Density of the Plate
    • Abstract: Abstract A two-dimensional time dependent model of an interaction between a thin elastic plate and a Newtonian viscous fluid described by the non-steady Stokes equations is considered. It depends on a small parameter \(\varepsilon \) that is the ratio of the thicknesses of the plate and the fluid layer. The Young’s modulus of the plate and its density may be great or small parameters equal to some powers (positive or negative) of \(\varepsilon \) while the density and the viscosity of the fluid are supposed to be of order one. An asymptotic expansion is constructed and justified for various magnitudes of the rigidity and density of the plate. The limit problems are studied in all these cases. They are Stokes equations with some special coupled or uncoupled boundary conditions modeling the interaction with the plate. The estimates of the difference between the exact solution and a truncated asymptotic expansion are established. These estimates justify the asymptotic approximations.
      PubDate: 2020-02-01
       
  • Differential Sensitivity Analysis of Variational Inequalities with Locally
           Lipschitz Continuous Solution Operators
    • Abstract: Abstract This paper is concerned with the differential sensitivity analysis of variational inequalities in Banach spaces whose solution operators satisfy a generalized Lipschitz condition. We prove a sufficient criterion for the directional differentiability of the solution map that turns out to be also necessary for elliptic variational inequalities in Hilbert spaces (even in the presence of asymmetric bilinear forms, nonlinear operators and nonconvex functionals). Our method of proof is fully elementary. Moreover, our technique allows us to also study those cases where the variational inequality at hand is not uniquely solvable and where directional differentiability can only be obtained w.r.t. the weak or the weak-star topology of the underlying space. As tangible examples, we consider a variational inequality arising in elastoplasticity, the projection onto prox-regular sets, and a bang–bang optimal control problem.
      PubDate: 2020-02-01
       
  • Phase Field Approach to Optimal Packing Problems and Related Cheeger
           Clusters
    • Abstract: Abstract This paper stems from the idea of adopting a new approach to solve some classical optimal packing problems for balls. In fact, we attack this kind of problems (which are of discrete nature) by means of shape optimization techniques, applied to suitable \(\Gamma \)-converging sequences of energies associated to Cheeger type problems. More precisely, in a first step we prove that different optimal packing problems are limits of sequences of optimal clusters associated to the minimization of energies involving suitable (generalized) Cheeger constants. In a second step, we propose an efficient phase field approach based on a multiphase \(\Gamma \)-convergence result of Modica–Mortola type, in order to compute those generalized Cheeger constants, their optimal clusters and, as a consequence of the asymptotic result, optimal packings. Numerical experiments are carried over in two and three space dimensions. Our continuous shape optimization approach to solve discrete packing problems circumvents the NP-hard character of these ones, and efficiently leads to configurations close to the global minima.
      PubDate: 2020-02-01
       
  • Cournot Games with Limited Demand: From Multiple Equilibria to Stochastic
           Equilibrium
    • Abstract: Abstract We construct Cournot games with limited demand, resulting into capped sales volumes according to the respective production shares of the players. We show that such games admit three distinct equilibrium regimes, including an intermediate regime that allows for a range of possible equilibria. When information on demand is modeled by a delayed diffusion process, we also show that this intermediate regime collapses to a single equilibrium while the other regimes approximate the deterministic setting as the delay tends to zero. Moreover, as the delay approaches zero, the unique equilibrium achieved in the stochastic case provides a way to select a natural equilibrium within the range observed in the no lag setting. Numerical illustrations are presented when demand is modeled by an Ornstein–Uhlenbeck process and price is an affine function of output.
      PubDate: 2020-02-01
       
  • Optimized Uniform Decay Estimate of the Solution to Petrovsky Equation
           with Memory
    • Abstract: Abstract In this paper, we investigate uniform decay estimate of the solution to the Petrovsky equation with memory $$\begin{aligned} u_{tt}+\Delta ^2u-\int _ 0^t g(t-s)\Delta ^2u(s)ds=0 \end{aligned}$$with initial conditions and boundary conditions, where g is a memory kernel function. The related energy has been shown to decay exponentially or polynomially as \(t\rightarrow +\infty \) by the theorem established under the assumption \(g'(t)\leqslant -k g^{1+\frac{1}{p}}(t)\) with \(p\in (2,\infty )\) and \(k>0\) in the reference(J Funct Anal 254(5):1342–1372, 2008). Using the ideas introduced by by Lasiecka and Wang (Springer INdAM Series 10, Chapter, vol 14, pp 271–303, 2014), we prove the optimized uniform general decay result under the assumption \(g'(t)+H(g(t))\le 0\), where the function \(H(\cdot )\in C^1({\mathbb {R}}^1)\) is positive, increasing and convex with \(H(0)=0\), which is introduced for the first time by Alabau-Boussouira and Cannarsa (C R Acad Sci Paris Ser I 347:867–872, 2009) and studied systematically by Lasiecka and Wang (Springer INdAM Series 10, Chapter, vol 14, pp 271–303, 2014). The exponential decay result and polynomial decay result in the reference (J Funct Anal 254(5):1342–1372, 2008) are the special cases of this paper by choosing special \(H(\cdot )\).
      PubDate: 2020-01-29
       
  • Normalized Solutions of Nonautonomous Kirchhoff Equations: Sub- and
           Super-critical Cases
    • Abstract: Abstract In this paper, we establish the existence of normalized solutions to the following Kirchhoff-type equation $$\begin{aligned} \left\{ \begin{array}{ll} -\left( a+b\int _{{\mathbb {R}}^3} \nabla u ^2{\mathrm {d}}x\right) \Delta u-\lambda u=K(x)f(u), &{} x\in {\mathbb {R}}^3; \\ u\in H^1({\mathbb {R}}^3), \end{array} \right. \end{aligned}$$where \(a, b> 0\), \(\lambda \) is unknown and appears as a Lagrange multiplier, \(K\in {\mathcal {C}}({\mathbb {R}}^3, {\mathbb {R}}^+)\) with \(0<\lim _{ y \rightarrow \infty }K(y)\le \inf _{{\mathbb {R}}^3} K\), and \(f\in {\mathcal {C}}({\mathbb {R}},{\mathbb {R}})\) satisfies general \(L^2\)-supercritical or \(L^2\)-subcritical conditions. We introduce some new analytical techniques in order to exclude the vanishing and the dichotomy cases of minimizing sequences due to the presence of the potential K and the lack of the homogeneity of the nonlinearity f. This paper extends to the nonautonomous case previous results on prescribed \(L^2\)-norm solutions of Kirchhoff problems.
      PubDate: 2020-01-29
       
  • Weak Closed-Loop Solvability of Stochastic Linear Quadratic Optimal
           Control Problems of Markovian Regime Switching System
    • Abstract: Abstract In this paper, we investigate open-loop and weak closed-loop solvabilities of stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching system. Interestingly, these two solvabilities are equivalent on [0, T). We first provide an alternative characterization of the open-loop solvability of LQ problem using a perturbation approach. Then, we study the weak closed-loop solvability of LQ problem of Markovian regime switching system, and establish the equivalent relationship between open-loop and weak closed-loop solvabilities. Finally, we present an example to shed on light on finding weak closed-loop optimal strategies within the framework of Markovian regime switching system.
      PubDate: 2020-01-28
       
  • Asymptotic Optimality of a First-Order Approximate Strategy for an
           Exponential Utility Maximization Problem with a Small Coefficient of
           Wealth-Dependent Risk Aversion
    • Abstract: Abstract In Delong [8] we investigate an exponential utility maximization problem for an insurer who faces a stream of non-hedgeable claims. We assume that the insurer’s risk aversion coefficient consists of a constant risk aversion and a small amount of wealth-dependent risk aversion. We apply perturbation theory and expand the equilibrium value function of the optimization problem on the parameter \(\epsilon \) controlling the degree of the insurer’s risk aversion depending on wealth. We derive a candidate for the first-order approximation to the equilibrium investment strategy. In this paper we formally show that the zeroth-order investment strategy \(\pi _0^*\) postulated by Delong (Math Methods Oper Res 89:73–113, 2019) performs better than any strategy \(\pi _0\) when we compare the asymptotic expansions of the objective functions up to order \({\mathcal {O}}(1)\) as \(\epsilon \rightarrow 0\), and the first-order investment strategy \(\pi _0^*+\pi _1^*\epsilon \) postulated by Delong (Math Methods Oper Res 89:73–113, 2019) is the equilibrium strategy in the class of strategies \(\pi ^*_0+\pi _1\epsilon \) when we compare the asymptotic expansions of the objective functions up to order \({\mathcal {O}}(\epsilon ^2)\) as \(\epsilon \rightarrow 0\), where \(\epsilon \) denotes the parameter controlling the degree of the insurer’s risk aversion depending on wealth.
      PubDate: 2020-01-25
       
  • Mean–Variance Portfolio Selection Under Volterra Heston Model
    • Abstract: Abstract Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean–variance (MV) portfolio selection under the Volterra Heston model. Due to the non-Markovian and non-semimartingale nature of the model, classic stochastic optimal control frameworks are not directly applicable to the associated optimization problem. By constructing an auxiliary stochastic process, we obtain the optimal investment strategy, which depends on the solution to a Riccati–Volterra equation. The MV efficient frontier is shown to maintain a quadratic curve. Numerical studies show that both roughness and volatility of volatility materially affect the optimal strategy.
      PubDate: 2020-01-24
       
  • Bias of Homotopic Gradient Descent for the Hinge Loss
    • Abstract: Abstract Gradient descent is a simple and widely used optimization method for machine learning. For homogeneous linear classifiers applied to separable data, gradient descent has been shown to converge to the maximal-margin (or equivalently, the minimal-norm) solution for various smooth loss functions. The previous theory does not, however, apply to the non-smooth hinge loss which is widely used in practice. Here, we study the convergence of a homotopic variant of gradient descent applied to the hinge loss and provide explicit convergence rates to the maximal-margin solution for linearly separable data.
      PubDate: 2020-01-23
       
  • Small-Time Solvability of a Flow of Forward–Backward Stochastic
           Differential Equations
    • Abstract: Abstract Motivated from time-inconsistent stochastic control problems, we introduce a new type of coupled forward–backward stochastic systems, namely, flows of forward–backward stochastic differential equations. They are coupled systems consisting of a single forward SDE and a continuum of BSDEs, which are defined on different time-intervals. We formulate a notion of equilibrium solutions in a general framework and prove small-time well-posedness of the equations. We also consider discretized flows and show that their equilibrium solutions approximate the original one, together with an estimate of the convergence rate.
      PubDate: 2020-01-20
       
  • Optimal Control of Multiphase Free Boundary Problems for Nonlinear
           Parabolic Equations
    • Abstract: Abstract We consider the optimal control of singular nonlinear partial differential equation which is the distributional formulation of the multiphase Stefan type free boundary problem for the general second order parabolic equation. Boundary heat flux is the control parameter, and the optimality criteria consist of the minimization of the \(L_2\)-norm difference of the trace of the solution to the PDE problem at the final moment from the given measurement. Sequence of finite-dimensional optimal control problems is introduced through finite differences. We establish existence of the optimal control and prove the convergence of the sequence of discrete optimal control problems to the original problem both with respect to functional and control. Proofs rely on establishing a uniform \(L_{\infty }\) bound, and \(W_2^{1,1}\)-energy estimate fo the discrete nonlinear PDE problem with discontinuous coefficient.
      PubDate: 2020-01-20
       
  • The Stochastic Viscous Cahn–Hilliard Equation: Well-Posedness,
           Regularity and Vanishing Viscosity Limit
    • Abstract: Abstract Well-posedness is proved for the stochastic viscous Cahn–Hilliard equation with homogeneous Neumann boundary conditions and Wiener multiplicative noise. The double-well potential is allowed to have any growth at infinity (in particular, also super-polynomial) provided that it is everywhere defined on the real line. A vanishing viscosity argument is carried out and the convergence of the solutions to the ones of the pure Cahn–Hilliard equation is shown. Some refined regularity results are also deduced for both the viscous and the non-viscous case.
      PubDate: 2020-01-14
       
  • A Mean Field Games Approach to Cluster Analysis
    • Abstract: Abstract In this paper, we develop a Mean Field Games approach to Cluster Analysis. We consider a finite mixture model, given by a convex combination of probability density functions, to describe the given data set. We interpret a data point as an agent of one of the populations represented by the components of the mixture model, and we introduce a corresponding optimal control problem. In this way, we obtain a multi-population Mean Field Games system which characterizes the parameters of the finite mixture model. Our method can be interpreted as a continuous version of the classical Expectation–Maximization algorithm.
      PubDate: 2020-01-10
       
 
JournalTOCs
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
Email: journaltocs@hw.ac.uk
Tel: +00 44 (0)131 4513762
 


Your IP address: 18.232.125.29
 
Home (Search)
API
About JournalTOCs
News (blog, publications)
JournalTOCs on Twitter   JournalTOCs on Facebook

JournalTOCs © 2009-