Existence and uniqueness of viscosity solution for Hamilton-Jacobi equation with discontinuous coefficients dependent on time

The main result is a proof of the existence of a unique viscosity solution for Hamilton-Jacobi equation, where the hamiltonian is discontinuous with respect to variable, usually interpreted as the spatial one. Obtained generalized solution is continuous, but not necessarily differentiable.

Hamilton Jacobi theory for constrained systems

We extend the HamiltonJacobi formulation to constrained dynamical systems. The discussion covers both the case of first-class constraints alone and that of first- and second-class constraints combined. The HamiltonDirac equations are recovered as characteristic of the system of partial differential equations satisfied by the HamiltonJacobi function.

Hamilton-Jacobi theory for constrained systems

We extend the HamiltonJacobi formulation to constrained dynamical systems. The discussion covers both the case of first-class constraints alone and that of first- and second-class constraints combined. The HamiltonDirac equations are recovered as characteristic of the system of partial differential equations satisfied by the HamiltonJacobi function.

Dynamical features of reaction-diffusion fronts in fractals

The speed of front propagation in fractals is studied by using (i) the reduction of the reaction-transport equation into a Hamilton-Jacobi equation and (ii) the local-equilibrium approach. Different equations proposed for describing transport in fractal media, together with logistic reaction kinetics, are considered. Finally, we analyze the main features of wave fronts resulting from this dynamic process, i.e., why they are accelerated and what is the exact form of this acceleration

Non-constant discounting in finite horizon: The free terminal time case

This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach. A simple example is used in order to illustrate the applicability of this HJB equation, by suggesting a method for constructing the subgame perfect equilibrium solution to the problem.Conditions for the observational equivalence with an associated problem with constantdiscounting are analyzed. Special attention is paid to the case of free terminal time. Strotz¿s model (an eating cake problem of a nonrenewable resource with non-constant discounting) is revisited.

Non-constant discounting in finite horizon: The free terminal time case

This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach. A simple example is used in order to illustrate the applicability of this HJB equation, by suggesting a method for constructing the subgame perfect equilibrium solution to the problem.Conditions for the observational equivalence with an associated problem with constantdiscounting are analyzed. Special attention is paid to the case of free terminal time. Strotz¿s model (an eating cake problem of a nonrenewable resource with non-constant discounting) is revisited.

Reduction, Linearization and stability of relative equilibria for mechanical systems on riemannian manifolds

Consider a Riemannian manifold equipped with an infinitesimal isometry. For this setup, a unified treatment is provided, solely in the language of Riemannian geometry, of techniques in reduction, linearization, and stability of relative equilibria. In particular, for mechanical control systems, an explicit characterization is given for the manner in which reduction by an infinitesimal isometry, and linearization along a controlled trajectory "commute." As part of the development, relationships are derived between the Jacobi equation of geodesic variation and concepts from reduction theory, such as the curvature of the mechanical connection and the effective potential. As an application of our techniques, fiber and base stability of relative equilibria are studied. The paper also serves as a tutorial of Riemannian geometric methods applicable in the intersection of mechanics and control theory.

Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Effect of initial conditions on the speed of reaction-diffusion fronts

The effect of initial conditions on the speed of propagating fronts in reaction-diffusion equations is examined in the framework of the Hamilton-Jacobi theory. We study the transition between quenched and nonquenched fronts both analytically and numerically for parabolic and hyperbolic reaction diffusion. Nonhomogeneous media are also analyzed and the effect of algebraic initial conditions is also discussed

Speed of reaction-diffusion fronts in spatially heterogeneous media

The front speed problem for nonuniform reaction rate and diffusion coefficient is studied by using singular perturbation analysis, the geometric approach of Hamilton-Jacobi dynamics, and the local speed approach. Exact and perturbed expressions for the front speed are obtained in the limit of large times. For linear and fractal heterogeneities, the analytic results have been compared with numerical results exhibiting a good agreement. Finally we reach a general expression for the speed of the front in the case of smooth and weak heterogeneities

Classical predictive electrodynamics of two charges with radiation: Energy and 3. momentum balance and scattering crossections-II

We deal with a classical predictive mechanical system of two spinless charges where radiation is considered and there are no external fields. The terms (2,2)Paa of the expansion in the charges of the HamiltonJacobi momenta are calculated. Using these, together with known previous results, we can obtain the paa up to the fourth order. Then we have calculated the radiated energy and the 3-momentum in a scattering process as functions of the impact parameter and the incident energy for the former and 3-momentum for the latter. Scattering cross-sections are also calculated. Good agreement with well known results, including those of quantum electrodynamics, has been found.

Contractive metrics for a Boltzmann equation for granular gases: diffusive equilibriaThe Patterson-Sullivan embedding and minimal volume entropy for outer space

We quantify the long-time behavior of a system of (partially) inelastic particles in a stochastic thermostat by means of the contractivity of a suitable metric in the set of probability measures. Existence, uniqueness, boundedness of moments and regularity of a steady state are derived from this basic property. The solutions of the kinetic model are proved to converge exponentially as t→ ∞ to this diffusive equilibrium in this distance metrizing the weak convergence of measures. Then, we prove a uniform bound in time on Sobolev norms of the solution, provided the initial data has a finite norm in the corresponding Sobolev space. These results are then combined, using interpolation inequalities, to obtain exponential convergence to the diffusive equilibrium in the strong L¹-norm, as well as various Sobolev norms.

Reflected Backward Stochastic Differential Equation with Jumps and RCLL Obstacle

In this paper we study one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process when the solution is forced to stay above a right continuous left-hand limited obstacle. We prove existence and uniqueness of the solution by using a penalization method combined with a monotonic limit theorem.

Periodic orbits in complex Abel equation

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Hopf bifurcation of a delay differential equation with two delays

We consider a delay differential equation with two delays. The Hopf bifurcation of this equation is investigated together with the stability of the bifurcated periodic solution, its period and the bifurcation direction. Finally, three applications are given.