No Arabic abstract
We study a hybrid control system in which both discrete and continuous controls are involved. The discrete controls act on the system at a given set interface. The state of the system is changed discontinuously when the trajectory hits predefined sets, namely, an autonomous jump set $A$ or a controlled jump set $C$ where controller can choose to jump or not. At each jump, trajectory can move to a different Euclidean space. We allow the cost functionals to be unbounded with certain growth and hence the corresponding value function can be unbounded. We characterize the value function as the unique viscosity solution of the associated quasivariational inequality in a suitable function class. We also consider the evolutionary, finite horizon hybrid control problem with similar model and prove that the value function is the unique viscosity solution in the continuous function class while allowing cost functionals as well as the dynamics to be unbounded.
We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for McKean-Vlasov diffusion processes. Using the standard notion of viscosity solution {`a} la Crandall-Lions extended to our Wasserstein setting, we prove a comparison result under general conditions, which coupled with the dynamic programming principle, implies that the value function is the unique viscosity solution of the Master Bellman equation. This is the first uniqueness result in such a second-order context. The classical arguments used in the standard cases of equations in finite-dimensional spaces or in infinite-dimensional separable Hilbert spaces do not extend to the present framework, due to the awkward nature of the underlying Wasserstein space. The adopted strategy is based on finite-dimensional approximations of the value function obtained in terms of the related cooperative n-player game, and on the construction of a smooth gauge-type function, built starting from a regularization of a sharpe estimate of the Wasserstein metric; such a gauge-type function is used to generate maxima/minima through a suitable extension of the Borwein-Preiss generalization of Ekelands variational principle on the Wasserstein space.
We show strong convergence of the vorticities in the vanishing viscosity limit for the incompressible Navier-Stokes equations on the two-dimensional torus, assuming only that the initial vorticity of the limiting Euler equations is in $L^p$ for some $p>1$. This substantially extends a recent result of Constantin, Drivas and Elgindi, who proved strong convergence in the case $p=infty$. Our proof, which relies on the classical renormalization theory of DiPerna-Lions, is surprisingly simple.
This paper introduces a convenient solution space for the uniformly elliptic fully nonlinear path dependent PDEs. It provides a wellposedness result under standard Lipschitz-type assumptions on the nonlinearity and an additional assumption formulated on some partial differential equation defined locally by freezing the path.
In this paper we propose a new type of viscosity solutions for fully nonlinear path dependent PDEs. By restricting to certain pseudo Markovian structure, we remove the uniform non- degeneracy condition imposed in our earlier works [9, 10]. We establish the comparison principle under natural and mild conditions. Moreover, as applications we apply our results to two important classes of PPDEs: the stochastic HJB equations and the path dependent Isaacs equations, induced from the stochastic optimization with random coefficients and the path dependent zero sum game problem, respectively.
In this article we study ergodic problems in the whole space $mathbb{R}^N$ for a weakly coupled systems of viscous Hamilton-Jacobi equations with coercive right-hand sides. The Hamiltonians are assumed to have a fairly general structure and the switching rates need not be constant. We prove the existence of a critical value $lambda^*$ such that the ergodic eigenvalue problem has a solution for every $lambdaleqlambda^*$ and no solution for $lambda>lambda^*$. Moreover, the existence and uniqueness of non-negative solutions corresponding to the value $lambda^*$ are also established. We also exhibit the implication of these results to the ergodic optimal control problems of controlled switching diffusions.