Constrained stochastic LQ control on infinite time horizon with regime switching

This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic Riccati equations (ESREs) on infinite time horizon are introduced. The existence of the nonnegative solutions, in both standard and singular cases, is proved through a sequence of ESREs on finite time horizon. Based on this result and some approximation techniques, we obtain the optimal state feedback control and optimal value for the stochastic LQ problem explicitly. Finally, we apply these results to solve a lifetime portfolio selection problem of tracking a given wealth level with regime switching and portfolio constraint.

Classification of nonnegative solutions to static Schrödinger–Hartree–Maxwell system involving the fractional Laplacian

This paper is mainly concerned with the following semi-linear system involving the fractional Laplacian: $$ \textstyle\begin{cases} (-\Delta )^{\frac{\alpha }{2}}u(x)= (\frac{1}{ \vert \cdot \vert ^{\sigma }} \ast v^{p_{1}} )v^{p_{2}}(x), \quad x\in \mathbb{R}^{n}, \\ (-\Delta )^{\frac{\alpha }{2}}v(x)= (\frac{1}{ \vert \cdot \vert ^{\sigma }} \ast u^{q_{1}} )u^{q_{2}}(x), \quad x\in \mathbb{R}^{n}, \\ u(x)\geq 0,\quad\quad v(x)\geq 0, \quad x\in \mathbb{R}^{n}, \end{cases} $$ { ( − Δ ) α 2 u ( x ) = ( 1 | ⋅ | σ ∗ v p 1 ) v p 2 ( x ) , x ∈ R n , ( − Δ ) α 2 v ( x ) = ( 1 | ⋅ | σ ∗ u q 1 ) u q 2 ( x ) , x ∈ R n , u ( x ) ≥ 0 , v ( x ) ≥ 0 , x ∈ R n , where $0<\alpha \leq 2$ 0 < α ≤ 2 , $n\geq 2$ n ≥ 2 , $0<\sigma <n$ 0 < σ < n , and $0< p_{1}, q_{1}\leq \frac{2n-\sigma }{n-\alpha }$ 0 < p 1 , q 1 ≤ 2 n − σ n − α , $0< p_{2}, q_{2}\leq \frac{n+\alpha -\sigma }{n-\alpha }$ 0 < p 2 , q 2 ≤ n + α − σ n − α . Applying a variant (for nonlocal nonlinearity) of the direct method of moving spheres for fractional Laplacians, which was developed by W. Chen, Y. Li, and R. Zhang (J. Funct. Anal. 272(10):4131–4157, 2017), we derive the explicit forms for positive solution $(u,v)$ ( u , v ) in the critical case and nonexistence of positive solutions in the subcritical cases.

Global existence and asymptotic behavior of solutions to fractional ( p , q )-Laplacian equations

The aim of this paper is to consider the following fractional parabolic problem u t + ( − Δ ) p α u + ( − Δ ) q β u = f ( x , u ) ( x , t ) ∈ Ω × ( 0 , ∞ ) , u = 0 ( x , t ) ∈ ( R N ∖ Ω ) × ( 0 , ∞ ) , u ( x , 0 ) = u 0 ( x ) x ∈ Ω , where Ω ⊂ R N is a bounded domain with Lipschitz boundary, ( − Δ ) p α is the fractional p-Laplacian with 0 < α < 1 < p < ∞, ( − Δ ) q β is the fractional q-Laplacian with 0 < β < α < 1 < q < p < ∞, r > 1 and λ > 0. The global existence of nonnegative solutions is obtained by combining the Galerkin approximations with the potential well theory. Then, by virtue of a differential inequality technique, we give a decay estimate of solutions.

Nonlinear Inequalities with Double Riesz Potentials

We investigate the nonnegative solutions to the nonlinear integral inequality u ≥ Iα ∗((Iβ ∗ up)uq) a.e. in ${\mathbb R}^{N}$ ℝ N , where α, β ∈ (0, N), p, q > 0 and Iα, Iβ denote the Riesz potentials of order α and β respectively. Our approach relies on a nonlocal positivity principle which allows us to derive optimal ranges for the parameters α, β, p and q to describe the existence and the nonexistence of a solution. The optimal decay at infinity for such solutions is also discussed.

Qualitative properties of singular solutions to fractional elliptic equations

In this paper, by the moving spheres method, Caffarelli-Silvestre extension formula and blow-up analysis, we study the local behaviour of nonnegative solutions to fractional elliptic equations \begin{align*} (-\Delta)^{\alpha} u =f(u),~~ x\in \Omega\backslash \Gamma, \end{align*} where $0<\alpha <1$ , $\Omega = \mathbb {R}^{N}$ or $\Omega$ is a smooth bounded domain, $\Gamma$ is a singular subset of $\Omega$ with fractional capacity zero, $f(t)$ is locally bounded and positive for $t\in [0,\,\infty )$ , and $f(t)/t^{({N+2\alpha })/({N-2\alpha })}$ is nonincreasing in $t$ for large $t$ , rather than for every $t>0$ . Our main result is that the solutions satisfy the estimate \begin{align*} f(u(x))/ u(x)\leq C d(x,\Gamma)^{{-}2\alpha}. \end{align*} This estimate is new even for $\Gamma =\{0\}$ . As applications, we derive the spherical Harnack inequality, asymptotic symmetry, cylindrical symmetry of the solutions.