14,703 research outputs found
Mild solutions of semilinear elliptic equations in Hilbert spaces
This paper extends the theory of regular solutions ( in a suitable
sense) for a class of semilinear elliptic equations in Hilbert spaces. The
notion of regularity is based on the concept of -derivative, which is
introduced and discussed. A result of existence and uniqueness of solutions is
stated and proved under the assumption that the transition semigroup associated
to the linear part of the equation has a smoothing property, that is, it maps
continuous functions into -differentiable ones. The validity of this
smoothing assumption is fully discussed for the case of the Ornstein-Uhlenbeck
transition semigroup and for the case of invertible diffusion coefficient
covering cases not previously addressed by the literature. It is shown that the
results apply to Hamilton-Jacobi-Bellman (HJB) equations associated to infinite
horizon optimal stochastic control problems in infinite dimension and that, in
particular, they cover examples of optimal boundary control of the heat
equation that were not treatable with the approaches developed in the
literature up to now
Quickest detection in coupled systems
This work considers the problem of quickest detection of signals in a coupled
system of sensors, which receive continuous sequential observations from
the environment. It is assumed that the signals, which are modeled by general
It\^{o} processes, are coupled across sensors, but that their onset times may
differ from sensor to sensor. Two main cases are considered; in the first one
signal strengths are the same across sensors while in the second one they
differ by a constant. The objective is the optimal detection of the first time
at which any sensor in the system receives a signal. The problem is formulated
as a stochastic optimization problem in which an extended minimal
Kullback-Leibler divergence criterion is used as a measure of detection delay,
with a constraint on the mean time to the first false alarm. The case in which
the sensors employ cumulative sum (CUSUM) strategies is considered, and it is
proved that the minimum of CUSUMs is asymptotically optimal as the mean
time to the first false alarm increases without bound. In particular, in the
case of equal signal strengths across sensors, it is seen that the difference
in detection delay of the -CUSUM stopping rule and the unknown optimal
stopping scheme tends to a constant related to the number of sensors as the
mean time to the first false alarm increases without bound. Alternatively, in
the case of unequal signal strengths, it is seen that this difference tends to
zero.Comment: 29 pages. SIAM Journal on Control and Optimization, forthcomin
Infinite dimensional parameter identification for stochastic parabolic systems
The infinite dimensional parameter estimation for stochastic heat diffusion equations is considered using the method of sieves. The consistency property is also studied for the long run data
Beyond the Fokker-Planck equation: Pathwise control of noisy bistable systems
We introduce a new method, allowing to describe slowly time-dependent
Langevin equations through the behaviour of individual paths. This approach
yields considerably more information than the computation of the probability
density. The main idea is to show that for sufficiently small noise intensity
and slow time dependence, the vast majority of paths remain in small space-time
sets, typically in the neighbourhood of potential wells. The size of these sets
often has a power-law dependence on the small parameters, with universal
exponents. The overall probability of exceptional paths is exponentially small,
with an exponent also showing power-law behaviour. The results cover time spans
up to the maximal Kramers time of the system. We apply our method to three
phenomena characteristic for bistable systems: stochastic resonance, dynamical
hysteresis and bifurcation delay, where it yields precise bounds on transition
probabilities, and the distribution of hysteresis areas and first-exit times.
We also discuss the effect of coloured noise.Comment: 37 pages, 11 figure
Stochastic Control Problems with Unbounded Control Operators: solutions through generalized derivatives
This paper deals with a family of stochastic control problems in Hilbert
spaces which arises in typical applications (such as boundary control and
control of delay equations with delay in the control) and for which is
difficult to apply the dynamic programming approach due to the unboudedness of
the control operator and to the lack of regularity of the underlying transition
semigroup. We introduce a specific concept of partial derivative, designed for
this situation, and we develop a method to prove that the associated HJB
equation has a solution with enough regularity to find optimal controls in
feedback form
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