Asymptotics of Control Problem for the Diffusion Process in Markov Environment

2020 ◽  
Vol 52 (5) ◽  
pp. 26-37
Author(s):  
Yaroslav M. Chabanyuk ◽  
Anatoliy V. Nikitin ◽  
Ulyana T. Khimka
Keyword(s):  
Diffusion Process ◽  
Control Problem

scholarly journals An Optimal Portfolio Problem of DC Pension with Input-Delay and Jump-Diffusion Process

2020 ◽  
Vol 2020 ◽  
pp. 1-9
Author(s):  
Weixiang Xu ◽  
Jinggui Gao
Keyword(s):  
Diffusion Process ◽  
Control Problem ◽  
Jump Diffusion ◽  
Investment Strategy ◽  
Optimal Portfolio ◽  
Input Delay ◽  
Programming Approach ◽  
Time Interval ◽  
Stochastic Dynamic ◽  
Jump Diffusion Process

In this paper, an optimal portfolio control problem of DC pension is studied where the time interval between the implementation of investment behavior and its effectiveness (hereafter input-delay) is particularly focused. There are two assets available for investment: a risk-free cash bond and a risky stock with a jump-diffusion process. And the wealth process of the pension fund is modeled as a stochastic delay differential equation. To secure a comfortable retirement life for pension members and also avoid excessive risk, the fund managers in this paper aim to minimize the expected value of quadratic deviations between the actual terminal fund scale and a preset terminal target. By applying the stochastic dynamic programming approach and the match method, the optimal portfolio control problem is solved and the closed-form solution is obtained. In addition, an algorithm is developed to calculate the numerical solution of the optimal strategy. Finally, we have performed a sensitivity analysis to explore how the managers’ preset terminal target, the length of input-delay, and the jump intensity of risky assets affect the optimal investment strategy.

Controlled Switching Diffusions Under Ambiguity: The Average Criterion

2021 ◽  
pp. 2150017
Author(s):  
Beatris A. Escobedo-Trujillo ◽  
Carmen G. Higuera-Chan ◽  
José Daniel López-Barrientos
Keyword(s):  
Diffusion Process ◽  
Control Problem ◽  
Unknown Parameter ◽  
Controlled Switching ◽  
Switching Diffusions ◽  
Central Controller ◽  
Average Criterion ◽  
Drift Coefficient

This paper concerns controlled switching diffusions. In particular, we consider that the drift coefficient of the diffusion process depends on an unknown (and possibly nonobservable) parameter. For giving solution to our control problem, we formulate it as a game against nature, where the ambiguity is represented by nature that chooses values of the unknown parameter through actions so playing the role as an opposite player of the controller. Our objective is to give conditions to characterize the ergodic optimality and guarantee the existence of optiaml policies for the central controller. Finally, we provide two examples to illustrate our results.

Finite element analysis of the constrained Dirichlet boundary control problem governed by the diffusion problem

2020 ◽  
Vol 26 ◽  
pp. 78
Author(s):  
Thirupathi Gudi ◽  
Ramesh Ch. Sau
Keyword(s):  
Finite Element ◽  
Control Problem ◽  
Dirichlet Boundary ◽  
A Priori ◽  
Diffusion Problem ◽  
Discrete Control ◽  
Optimal Order ◽  
Control Constraints ◽  
Element Analysis ◽  
Dirichlet Boundary Control

We study an energy space-based approach for the Dirichlet boundary optimal control problem governed by the Laplace equation with control constraints. The optimality system results in a simplified Signorini type problem for control which is coupled with boundary value problems for state and costate variables. We propose a finite element based numerical method using the linear Lagrange finite element spaces with discrete control constraints at the Lagrange nodes. The analysis is presented in a combination for both the gradient and the L2 cost functional. A priori error estimates of optimal order in the energy norm is derived up to the regularity of the solution for both the cases. Theoretical results are illustrated by some numerical experiments.

Burgers fluid flow in perspective of Buongiorno’s model with improved heat and mass flux theory for stretching cylinder

2020 ◽  
Vol 92 (3) ◽  
pp. 31101
Author(s):  
Zahoor Iqbal ◽  
Masood Khan ◽  
Awais Ahmed
Keyword(s):  
Diffusion Process ◽  
Mathematical Formulation ◽  
Thermal Relaxation ◽  
Mass Diffusion ◽  
Stretching Cylinder ◽  
Discussion Section ◽  
Buongiorno’S Model ◽  
Homotopy Analysis ◽  
Burgers Fluid ◽  
Diffusion Phenomena

In this study, an effort is made to model the thermal conduction and mass diffusion phenomena in perspective of Buongiorno’s model and Cattaneo-Christov theory for 2D flow of magnetized Burgers nanofluid due to stretching cylinder. Moreover, the impacts of Joule heating and heat source are also included to investigate the heat flow mechanism. Additionally, mass diffusion process in flow of nanofluid is examined by employing the influence of chemical reaction. Mathematical modelling of momentum, heat and mass diffusion equations is carried out in mathematical formulation section of the manuscript. Homotopy analysis method (HAM) in Wolfram Mathematica is utilized to analyze the effects of physical dimensionless constants on flow, temperature and solutal distributions of Burgers nanofluid. Graphical results are depicted and physically justified in results and discussion section. At the end of the manuscript the section of closing remarks is also included to highlight the main findings of this study. It is revealed that an escalation in thermal relaxation time constant leads to ascend the temperature curves of nanofluid. Additionally, depreciation is assessed in mass diffusion process due to escalating amount of thermophoretic force constant.

REDUCED MODEL OF PLASMA DISCHARGE CONTROL IN TOKAMAK WITH IRON CORE

2020 ◽  
Vol 7 (3) ◽  
pp. 11-22
Author(s):  
VALERY ANDREEV ◽  
◽  
ALEXANDER POPOV
Keyword(s):  
Optimal Control ◽  
Inverse Problem ◽  
Optimal Control Problem ◽  
Control Problem ◽  
Nonlinear Behavior ◽  
Plasma Discharge ◽  
Reduced Model ◽  
Iron Core ◽  
Power Sources ◽  
Real Power

A reduced model has been developed to describe the time evolution of a discharge in an iron core tokamak, taking into account the nonlinear behavior of the ferromagnetic during the discharge. The calculation of the discharge scenario and program regime in the tokamak is formulated as an inverse problem - the optimal control problem. The methods for solving the problem are compared and the analysis of the correctness and stability of the control problem is carried out. A model of “quasi-optimal” control is proposed, which allows one to take into account real power sources. The discharge scenarios are calculated for the T-15 tokamak with an iron core.

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