Necessary and sufficient conditions of risk‐sensitive optimal control and differential games for stochastic differential delayed equations

In this paper, we consider risk‐sensitive optimal control and differential games for stochastic differential delayed equations driven by Brownian motion. The problems are related to robust stochastic optimization with delay due to the inherent feature of the risk‐sensitive objective functional. For both problems, by using the logarithmic transformation of the associated risk‐neutral problem, the necessary and sufficient conditions for the risk‐sensitive maximum principle are obtained. We show that these conditions are characterized in terms of the variational inequality and the coupled anticipated backward stochastic differential equations (ABSDEs). The coupled ABSDEs consist of the first‐order adjoint equation and an additional scalar ABSDE, where the latter is induced due to the nonsmooth nonlinear transformation of the adjoint process of the associated risk‐neutral problem. For applications, we consider the risk‐sensitive linear‐quadratic control and game problems with delay, and the optimal consumption and production game, for which we obtain explicit optimal solutions.     

Numerical solution of hybrid fuzzy differential equation IVPs by a characterization theorem

In this paper, we study hybrid fuzzy differential equation initial value problems (IVPs). We consider the problem of finding their numerical solutions by using a recent characterization theorem of Bede for fuzzy differential equations. We prove a corollary to Bede’s characterization theorem and give a characterization theorem for hybrid fuzzy differential equation IVPs. Then we prove that any suitable numerical method for ODEs can be applied piecewise to numerically solve hybrid fuzzy differential equation IVPs. Numerical examples are provided which connect the new results with previous findings.     

Non‐Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under Partial Information

In this paper, we study a new type of differential game problems of backward stochastic differential delay equations under partial information. A class of time‐advanced stochastic differential equations (ASDEs) is introduced as the adjoint process via duality relation. By means of ASDEs, we suggest the necessary and sufficient conditions called maximum principle for an equilibrium point of non‐zero sum games. As an application, an economic problem is putted into our framework to illustrate the theoretical results. In terms of the maximum principle and some auxiliary filtering results, an equilibrium point is obtained.     

Impulsive boundary value problem for nonlinear differential equations of fractional order

In this paper, we prove the existence and uniqueness of solutions for the boundary value problem of nonlinear impulsive differential equations of fractional order q∈(1,2]. Our results are based on Altman’s fixed point theorem and Leray-Schauder’s fixed point theorem.     

A partial information non-zero sum differential game of backward stochastic differential equations with applications

This paper is concerned with a new kind of non-zero sum differential game of backward stochastic differential equations (BSDEs). It is required that the control is adapted to a sub-filtration of the filtration generated by the underlying Brownian motion. We establish a necessary condition in the form of maximum principle with Pontryagin’s type for open-loop Nash equilibrium point of this type of partial information game, and then give a verification theorem which is a sufficient condition for Nash equilibrium point. The theoretical results are applied to study a partial information linear-quadratic (LQ) game and a partial information financial problem.     

Adaptive dynamic surface-based differential games for a class of pure-feedback nonlinear systems with output constraints

ABSTRACT

This paper investigates the zero-sum differential game problem for a class of uncertain nonlinear pure-feedback systems with output constraints and unknown external disturbances. A barrier Lyapunov function is introduced to tackle the output constraints. By constructing an affine variable at each dynamic surface control design step rather than utilising the mean-value theorem, the tracking control problem for pure-feedback systems can be transformed into an equivalent zero-sum differential game problem for affine systems. Then, the solution of associated Hamilton–Jacobi–Isaacs equation can be obtained online by using the adaptive dynamic programming technique. Finally, the whole control scheme that is composed of a feedforward dynamic surface controller and a feedback differential game control strategy guarantees the stability of the closed-loop system, and the tracking error is remained in a bounded compact set. The simulation results demonstrate the effectiveness of the proposed control scheme.     

线性时变二次微分对策Nash策略的小波分析法(Ⅰ)——小波逼近解

基于小波多尺度逼近特性，提出了一种求解线性时变系统中微分对策Nash策略的新方法，该法避免求解耦合Riccati微分方程，而只需求解代解方程，适合于计算机求解。     

Maximum principle for the stochastic optimal control problem with delay and application

In this paper, we consider an optimal control problem for the stochastic system described by stochastic differential equations with delay. We obtain the maximum principle for the optimal control of this problem by virtue of the duality method and the anticipated backward stochastic differential equations. Our results can be applied to a production and consumption choice problem. The explicit optimal consumption rate is obtained.     

Stochastic differential games and inverse optimal control and stopper policies

In this paper, we consider a two-player stochastic differential game problem over an infinite time horizon where the players invoke controller and stopper strategies on a nonlinear stochastic differential game problem driven by Brownian motion. The optimal strategies for the two players are given explicitly by exploiting connections between stochastic Lyapunov stability theory and stochastic Hamilton–Jacobi–Isaacs theory. In particular, we show that asymptotic stability in probability of the differential game problem is guaranteed by means of a Lyapunov function which can clearly be seen to be the solution to the steady-state form of the stochastic Hamilton–Jacobi–Isaacs equation, and hence, guaranteeing both stochastic stability and optimality of the closed-loop control and stopper policies. In addition, we develop optimal feedback controller and stopper policies for affine nonlinear systems using an inverse optimality framework tailored to the stochastic differential game problem. These results are then used to provide extensions of the linear feedback controller and stopper policies obtained in the literature to nonlinear feedback controllers and stoppers that minimise and maximise general polynomial and multilinear performance criteria.     

带Poisson跳的线性二次随机微分博弈及其在鲁棒控制中的应用

研究了一类带Poisson跳扩散过程的线性二次随机微分博弈,包括非零和博弈的Nash均衡策略与零和博弈的鞍点均衡策略问题．利用微分博弈的最大值原理,得到Nash均衡策略的存在条件等价于两个交叉耦合的矩阵Riccati方程存在解,鞍点均衡策略的存在条件等价于一个矩阵Riccati方程存在解的结论,并给出了均衡策略的显式表达及最优性能泛函值．最后,将所得结果应用于现代鲁棒控制中的随机H₂/H_∞控制与随机H_∞控制问题,得到了鲁棒控制策略的存在条件及显式表达,并验证所得结果在金融市场投资组合优化问题中的应用．     

An overlapping generations stochastic differential game

The paper presents a noncooperative stochastic differential game played by an infinite number of overlapping generations of players. The number and types of players in future generations are uncertain and the state dynamics are given by a stochastic differential equation. A Markovian Nash equilibrium is characterized by a verification theorem of the Hamilton-Jacobi-Bellman type. A resource extraction game is offered as an illustration.     

Theory of fractional hybrid differential equations

In this paper, we develop the theory of fractional hybrid differential equations involving Riemann-Liouville differential operators of order 0<q<1. An existence theorem for fractional hybrid differential equations is proved under mixed Lipschitz and Carathéodory conditions. Some fundamental fractional differential inequalities are also established which are utilized to prove the existence of extremal solutions. Necessary tools are considered and the comparison principle is proved which will be useful for further study of qualitative behavior of solutions.     

Attractivity of fractional functional differential equations

In this paper, some attractivity results for fractional functional differential equations are obtained by using the fixed point theorem. By constructing equivalent fractional integral equations, research on the attractivity of fractional functional and neutral differential equations is skillfully converted into a discussion about the existence of fixed points for equivalent fractional integral equations. Two examples are also provided to illustrate our main results.     

线性二次微分对策鞍点策略的小波分析法

研究线性二次微分对策鞍点策略的数值求解问题,基于小波多尺度多分辨逼近特性,提出一种求解新方法。该方法将原问题转化为代数问题,算法简捷明了,适合于计算机求解。数值例子表明该方法是合理而可行的。     

Complete controllability for abstract measure differential systems

In this paper, we investigate the complete controllability for abstract measure differential systems. Firstly, we introduce several new concepts about complete controllability for abstract measure differential systems. Then, on the basis of the Sadovskii fixed‐point theorem, we give sufficient conditions for complete controllability for a class of abstract measure differential systems. The compactness of the semigroup generated by some operator is unnecessary in this paper, and we show that our results, dealing with complete controllability problem for an ordinary differential system in infinite‐dimensional Banach space, are also less conservative than that in the previous literature. Copyright © 2012 John Wiley & Sons, Ltd.     

Multiple solutions to semipositone Dirichlet boundary value problems with singular dependent nonlinearities for second order three-point differential equations

In this paper we present some new existence results for a singular semipositone Dirichlet boundary value problem for second order three-point differential equations by using the upper and lower solutions method and the fixed point theorem in cones.     

A procedure to prove statements in differential geometry

An algorithm for theorem proving in differential geometry based on the calculation of the differential dimension of differential quasi-algebraic sets is shown. In the case in which only ordinary differential equations are involved, an algorithm for such computation is presented. Different notions of validity for differential geometry statements are also compared.This paper was supported by Italian M.P.I. (40% 1985).     

Optimal Control Problem for Risk‐Sensitive Mean‐Field Stochastic Delay Differential Equation with Partial Information

This paper deals with the risk‐sensitive control problem for mean‐field stochastic delay differential equations (MF‐SDDEs) with partial information. Firstly, under the assumptions that the control domain is not convex and the value function is non‐smooth, we establish a stochastic maximum principle (SMP). Then, by means of Itô's formula and some continuous dependence, we prove the existence and uniqueness results for another type of MF‐SDDEs. Meanwhile, the verification theorem for the MF‐SDDEs is obtained by using a clever construction of the Hamiltonian function. Finally, based on our verification theorem, a linear‐quadratic system is investigated and the optimal control is also derived by the stochastic filtering technique.     

On the Controllability of Nonlocal Second‐Order Impulsive Neutral Stochastic Integro‐Differential Equations with Infinite Delay

In this paper, we investigate the controllability for a class of nonlocal second‐order impulsive neutral stochastic integro‐differential equations with infinite delay in Hilbert spaces. More precisely, a set of sufficient conditions for the controllability results of nonlocal second‐order impulsive neutral stochastic integro‐differential equations with infinite delay are derived by means of the Banach fixed point theorem combined with theories of a strongly continuous cosine family of bounded linear operators. As an application, an example is provided to illustrate the obtained theory.     

Using Algorithms of Decomposition for Computation of Linear Stochastic Models

The mathematical apparatus of decomposition is used to solve the problem of analysis and computation of stiff stochastic systems of differential equations. A theorem substantiating the adequacy of a solution obtained is formulated and an algorithm of computation of stiff stochastic systems by the method of depression of equations is given.