scholarly journals A Bank Salvage Model by Impulse Stochastic Controls

Risks ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 60
Author(s):  
Francesco Giuseppe Cordoni ◽  
Luca Di Persio ◽  
Yilun Jiang
Keyword(s):  
Random Quantity ◽  
Hölder Continuous ◽  
Total Cost ◽  
Default Time ◽  
Lipschitz Continuous ◽  
Central Controller ◽  
Quasi Variational Inequality ◽  
Finite Time Horizon ◽  
Stochastic Controls ◽  
Impulse Controls

The present paper is devoted to the study of a bank salvage model with a finite time horizon that is subjected to stochastic impulse controls. In our model, the bank’s default time is a completely inaccessible random quantity generating its own filtration, then reflecting the unpredictability of the event itself. In this framework the main goal is to minimize the total cost of the central controller, which can inject capitals to save the bank from default. We address the latter task, showing that the corresponding quasi-variational inequality (QVI) admits a unique viscosity solution—Lipschitz continuous in space and Hölder continuous in time. Furthermore, under mild assumptions on the dynamics the smooth-fit W l o c ( 1 , 2 ) , p property is achieved for any 1 < p < + ∞ .

On nonhomeomorphic mappings with the inverse Poletsky inequality

2020 ◽  
Vol 17 (3) ◽  
pp. 414-436
Author(s):  
Evgeny Sevost'yanov ◽  
Serhii Skvortsov ◽  
Oleksandr Dovhopiatyi
Keyword(s):  
Boundary Behavior ◽  
Hölder Continuity ◽  
Continuous Extension ◽  
Quasiconformal Mappings ◽  
Holder Continuity ◽  
Hölder Continuous ◽  
Finite Distortion ◽  
Mappings Of Finite Distortion ◽  
Lipschitz Continuous ◽  
Inverse Inequality

As known, the modulus method is one of the most powerful research tools in the theory of mappings. Distortion of modulus has an important role in the study of conformal and quasiconformal mappings, mappings with bounded and finite distortion, mappings with finite length distortion, etc. In particular, an important fact is the lower distortion of the modulus under mappings. Such relations are called inverse Poletsky inequalities and are one of the main objects of our study. The use of these inequalities is fully justified by the fact that the inverse inequality of Poletsky is a direct (upper) inequality for the inverse mappings, if there exist. If the mapping has a bounded distortion, then the corresponding majorant in inverse Poletsky inequality is equal to the product of the maximum multiplicity of the mapping on its dilatation. For more general classes of mappings, a similar majorant is equal to the sum of the values of outer dilatations over all preimages of the fixed point. It the class of quasiconformal mappings there is no significance between the inverse and direct inequalities of Poletsky, since the upper distortion of the modulus implies the corresponding below distortion and vice versa. The situation significantly changes for mappings with unbounded characteristics, for which the corresponding fact does not hold. The most important case investigated in this paper refers to the situation when the mappings have an unbounded dilatation. The article investigates the local and boundary behavior of mappings with branching that satisfy the inverse inequality of Poletsky with some integrable majorant. It is proved that mappings of this type are logarithmically Holder continuous at each inner point of the domain. Note that the Holder continuity is slightly weaker than the classical Holder continuity, which holds for quasiconformal mappings. Simple examples show that mappings of finite distortion are not Lipschitz continuous even under bounded dilatation. Another subject of research of the article is boundary behavior of mappings. In particular, a continuous extension of the mappings with the inverse Poletsky inequality is obtained. In addition, we obtained the conditions under which the families of these mappings are equicontinuous inside and at the boundary of the domain. Several cases are considered: when the preimage of a fixed continuum under mappings is separated from the boundary, and when the mappings satisfy normalization conditions. The text contains a significant number of examples that demonstrate the novelty and content of the results. In particular, examples of mappings with branching that satisfy the inverse Poletsky inequality, have unbounded characteristics, and for which the statements of the basic theorems are satisfied, are given.

Continuous solutions and approximating scheme for fractional Dirichlet problems on Lipschitz domains

2018 ◽  
Vol 149 (2) ◽  
pp. 533-560
Author(s):  
Patricio Felmer ◽  
Erwin Topp
Keyword(s):  
Dirichlet Problem ◽  
Approximation Scheme ◽  
Linear Operators ◽  
Approximation Procedure ◽  
Dirichlet Problems ◽  
Uniqueness Of Solutions ◽  
Hölder Continuous ◽  
Lipschitz Continuous ◽  
Continuous Boundary ◽  
Extra Assumption

In this paper, we study the fractional Dirichlet problem with the homogeneous exterior data posed on a bounded domain with Lipschitz continuous boundary. Under an extra assumption on the domain, slightly weaker than the exterior ball condition, we are able to prove existence and uniqueness of solutions which are Hölder continuous on the boundary. In proving this result, we use appropriate barrier functions obtained by an approximation procedure based on a suitable family of zero-th order problems. This procedure, in turn, allows us to obtain an approximation scheme for the Dirichlet problem through an equicontinuous family of solutions of the approximating zero-th order problems on ${\bar \Omega}$. Both results are extended to an ample class of fully non-linear operators.

Convergence of derivative free iterative methods

2019 ◽  
Vol 28 (1) ◽  
pp. 19-26
Author(s):  
IOANNIS K. ARGYROS ◽  
◽  
SANTHOSH GEORGE ◽  
Keyword(s):  
Banach Space ◽  
Iterative Methods ◽  
Local Convergence ◽  
Practical Interest ◽  
Systems Of Equations ◽  
Hölder Continuous ◽  
Numerical Examples ◽  
Lipschitz Continuous ◽  
Derivative Free ◽  
Special Cases

We present the local as well as the semi-local convergence of some iterative methods free of derivatives for Banach space valued operators. These methods contain the secant and the Kurchatov method as special cases. The convergence is based on weak hypotheses specializing to Lipschitz continuous or Holder continuous hypotheses. The results are of theoretical and practical interest. In particular the method is compared favorably ¨ to other methods using concrete numerical examples to solve systems of equations containing a nondifferentiable term.

scholarly journals Dilations of $q$-Commuting Unitaries

2020 ◽  
Author(s):  
Malte Gerhold ◽  
Orr Moshe Shalit
Keyword(s):  
Continuous Function ◽  
Hausdorff Metric ◽  
Natural Structure ◽  
Hölder Continuous ◽  
Lipschitz Continuous ◽  
C Algebras ◽  
Mathieu Operator ◽  
Almost Mathieu Operator ◽  
Continuous Field ◽  
Continuity Of The Spectrum

Abstract Let $q = e^{i \theta } \in \mathbb{T}$ (where $\theta \in \mathbb{R}$), and let $u,v$ be $q$-commuting unitaries, that is, $u$ and $v$ are unitaries such that $vu = quv$. In this paper, we find the optimal constant $c = c_{\theta }$ such that $u,v$ can be dilated to a pair of operators $c U, c V$, where $U$ and $V$ are commuting unitaries. We show that $$\begin{equation*} c_{\theta} = \frac{4}{\|u_{\theta}+u_{\theta}^*+v_{\theta}+v_{\theta}^*\|}, \end{equation*}$$where $u_{\theta }, v_{\theta }$ are the universal $q$-commuting pair of unitaries, and we give numerical estimates for the above quantity. In the course of our proof, we also consider dilating $q$-commuting unitaries to scalar multiples of $q^{\prime}$-commuting unitaries. The techniques that we develop allow us to give new and simple “dilation theoretic” proofs of well-known results regarding the continuity of the field of rotations algebras. In particular, for the so-called “almost Mathieu operator” $h_{\theta } = u_{\theta }+u_{\theta }^*+v_{\theta }+v_{\theta }^*$, we recover the fact that the norm $\|h_{\theta }\|$ is a Lipschitz continuous function of $\theta $, as well as the result that the spectrum $\sigma (h_{\theta })$ is a $\frac{1}{2}$-Hölder continuous function in $\theta $ with respect to the Hausdorff metric. In fact, we obtain this Hölder continuity of the spectrum for every self-adjoint *-polynomial $p(u_{\theta },v_{\theta })$, which in turn endows the rotation algebras with the natural structure of a continuous field of C*-algebras.

scholarly journals The Aronsson Equation, Lyapunov Functions, and Local Lipschitz Regularity of the Minimum Time Function

2019 ◽  
Vol 2019 ◽  
pp. 1-9
Author(s):  
Pierpaolo Soravia
Keyword(s):  
Lyapunov Functions ◽  
Vector Fields ◽  
Hamiltonian Dynamics ◽  
Time Function ◽  
Minimum Time ◽  
Hölder Continuous ◽  
Lipschitz Continuous ◽  
Singular Manifold ◽  
Minimum Time Function ◽  
Aronsson Equation

We define and study C1-solutions of the Aronsson equation (AE), a second order quasi linear equation. We show that such super/subsolutions make the Hamiltonian monotone on the trajectories of the closed loop Hamiltonian dynamics. We give a short, general proof that C1-solutions are absolutely minimizing functions. We discuss how C1-supersolutions of (AE) become special Lyapunov functions of symmetric control systems, and allow to find continuous feedbacks driving the system to a target in finite time, except on a singular manifold. A consequence is a simple proof that the corresponding minimum time function is locally Lipschitz continuous away from the singular manifold, despite classical results showing that it should only be Hölder continuous unless appropriate conditions hold. We provide two examples for Hörmander and Grushin families of vector fields where we construct C1-solutions (even classical) explicitly.

On a quantitative theory of limits: Estimating the speed of convergence

2020 ◽  
Vol 23 (4) ◽  
pp. 1013-1024
Author(s):  
Renato Spigler
Keyword(s):  
Modulus Of Continuity ◽  
Fractional Derivatives ◽  
Applied Mathematics ◽  
Continuous Functions ◽  
Speed Of Convergence ◽  
Hölder Continuous ◽  
Lipschitz Continuous ◽  
Quantitative Theory ◽  
Hölder Continuous Functions ◽  
Definition Of

AbstractThe classical “ε-δ” definition of limits is of little use to quantitative purposes, as is needed, for instance, for computational and applied mathematics. Things change whenever a realistic and computable estimate of the function δ(ε) is available. This may be the case for Lipschitz continuous and Hölder continuous functions, or more generally for functions admitting of a modulus of continuity. This, provided that estimates for first derivatives, fractional derivatives, or the modulus of continuity might be obtained. Some examples are given.

scholarly journals Counterexamples to local Lipschitz and local Hölder continuity with respect to the initial values for additive noise driven stochastic differential equations with smooth drift coefficient functions with at most polynomially growing derivatives

2021 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Arnulf Jentzen ◽  
Benno Kuckuck ◽  
Thomas Müller-Gronbach ◽  
Larisa Yaroslavtseva
Keyword(s):  
Additive Noise ◽  
Strong Sense ◽  
Coefficient Function ◽  
Initial Value ◽  
Hölder Continuous ◽  
Lipschitz Continuous ◽  
First Order ◽  
Initial Values ◽  
Locally Lipschitz ◽  
Drift Coefficient

<p style='text-indent:20px;'>In the recent article [A. Jentzen, B. Kuckuck, T. Müller-Gronbach, and L. Yaroslavtseva, <i>J. Math. Anal. Appl. 502</i>, 2 (2021)] it has been proved that the solutions to every additive noise driven stochastic differential equation (SDE) which has a drift coefficient function with at most polynomially growing first order partial derivatives and which admits a Lyapunov-type condition (ensuring the existence of a unique solution to the SDE) depend in the strong sense in a logarithmically Hölder continuous way on their initial values. One might then wonder whether this result can be sharpened and whether in fact, SDEs from this class necessarily have solutions which depend in the strong sense locally Lipschitz continuously on their initial value. The key contribution of this article is to establish that this is not the case. More precisely, we supply a family of examples of additive noise driven SDEs, which have smooth drift coefficient functions with at most polynomially growing derivatives and whose solutions do not depend in the strong sense on their initial value in a locally Lipschitz continuous, nor even in a locally Hölder continuous way.</p>

Viscous stability of quasi-periodic tori

2012 ◽  
Vol 34 (1) ◽  
pp. 185-210
Author(s):  
ZHENGUO LIANG ◽  
JUN YAN ◽  
YINGFEI YI
Keyword(s):  
Resonant Frequency ◽  
Viscosity Solutions ◽  
Invariant Torus ◽  
Frequency Vector ◽  
Effective Hamiltonian ◽  
Hölder Exponent ◽  
Hölder Continuous ◽  
Lipschitz Continuous ◽  
Real Analytic ◽  
Uniformly Lipschitz

AbstractThis paper is devoted to the study of $P$-regularity of viscosity solutions $u(x,P)$, $P\in {\Bbb R}^n$, of a smooth Tonelli Lagrangian $L:T {\Bbb T}^n \rightarrow {\Bbb R}$ characterized by the cell equation $H(x,P+D_xu(x,P))=\overline {H}(P)$, where $H: T^* {\Bbb T}^n\rightarrow {\Bbb R}$ denotes the Hamiltonian associated with $L$ and $\overline {H}$ is the effective Hamiltonian. We show that if $P_0$ corresponds to a quasi-periodic invariant torus with a non-resonant frequency, then $D_xu(x,P)$ is uniformly Hölder continuous in $P$ at $P_0$ with Hölder exponent arbitrarily close to $1$, and if both $H$ and the torus are real analytic and the frequency vector of the torus is Diophantine, then $D_xu(x,P)$ is uniformly Lipschitz continuous in $P$ at $P_0$, i.e., there is a constant $C\gt 0$ such that $\|D_xu(\cdot ,P)-D_xu(\cdot ,P_0)\|_{\infty }\le C\|P-P_0\|$ for $\|P-P_0\|\ll 1$. Similar P-regularity of the Peierls barriers associated with $L(x,v)- \langle P,v \rangle $is also obtained.

scholarly journals Existence of viscosity solutions with the optimal regularity of a two-peakon Hamilton–Jacobi equation

2021 ◽  
Vol 18 (02) ◽  
pp. 493-510
Author(s):  
Tomasz Cieślak ◽  
Jakub Siemianowski
Keyword(s):  
Jacobi Equation ◽  
Optimal Regularity ◽  
Hölder Continuous ◽  
Lipschitz Regularity ◽  
One Dimensional ◽  
Lipschitz Continuous ◽  
Dimension Formula ◽  
The One ◽  
The Value Function ◽  
Hamilton Jacobi Equation

We study here a Hamilton–Jacobi equation with a quadratic and degenerate Hamiltonian, which comes from the dynamics of a multipeakon in the Camassa–Holm equation. It is given by a quadratic form with a singular positive semi-definite matrix. We increase the regularity of the value function considered in earlier works, which is known to be the viscosity solution. We prove that for a two-peakon Hamiltonian such solutions are actually [Formula: see text]-Hölder continuous in space and time-Lipschitz continuous. The time-Lipschitz regularity is proven in any dimension [Formula: see text]. Such a regularity is already known in the one-dimensional case and, moreover it is the best possible, as shown earlier.

THE EFFECTS OF THE RIEMANN–LIOUVILLE FRACTIONAL INTEGRAL ON THE BOX DIMENSION OF FRACTAL GRAPHS OF HÖLDER CONTINUOUS FUNCTIONS

Fractals ◽  
2020 ◽  
Vol 28 (03) ◽  
pp. 2050052
Author(s):  
JUNRU WU
Keyword(s):  
Continuous Function ◽  
Fractional Integral ◽  
Closed Interval ◽  
Open Interval ◽  
Continuous Functions ◽  
Box Dimension ◽  
Hölder Continuous ◽  
Positive Order ◽  
Lipschitz Continuous ◽  
Hölder Continuous Functions

In this paper, the linearity of the dimensional-decrease effect of the Riemann–Liouville fractional integral is mainly explored. It is proved that if the Box dimension of the graph of an [Formula: see text]-Hölder continuous function is greater than one and the positive order [Formula: see text] of the Riemann–Liouville fractional integral satisfies [Formula: see text], the upper Box dimension of the Riemann–Liouville fractional integral of the graph of this function will not be greater than [Formula: see text]. Furthermore, it is proved that the Riemann–Liouville fractional integral of a Lipschitz continuous function defined on a closed interval is continuously differentiable on the corresponding open interval.

Sign in / Sign up

Export Citation Format

Share Document