Collision analysis for an UAV

International audienceThe Sense and Avoid capacity of Unmanned Aerial Vehicles (UAV) is one of the key elements to open the access to airspace for UAVs. In order to replace a pilot's See and Avoid capacity such a system has to be certified "as safe as a human pilot on-board". The problem is to prove that an unmanned aircraft equipped with a S and A system can comply with the actual air transportation regulations. This paper aims to provide mathematical and numerical tools to link together the safety objectives and sensors specifications. Our approach starts with the natural idea of a specified "safety volume" around the aircraft: the safety objective is to guarantee that no other aircraft can penetrate this volume. We use a general reachability and viability concepts to define nested sets which are meaningful to allocate sensor performances and manoeuvring capabilities necessary to protect the safety volume. Using the general framework of HJB equations for the optimal control and differential games, we give a rigorous mathematical characterization of these sets. Our approach allows also to take into account some uncertainties in the measures of the parameters of the incoming traffic. We also provide numerical tools to compute the defined sets, so that the technical specifications of a S and A system can be derived in accordance with a small set of intuitive parameters. We consider several dynamical models corresponding to the different choices of maneuvers (lateral, longitudinal and mixed). Our numerical simulations show clearly that the nature of used maneuvers is an important factor in the specifications of sensor's performances

Partial hedging and cash requirements in discrete time

This paper develops a discrete time version of the continuous time model of Bouchard et al. [J. Control Optim., 2009, 48, 3123–3150], for the problem of finding the minimal initial data for a controlled process to guarantee reaching a controlled target with probability one. An efficient numerical algorithm, based on dynamic programming, is proposed for the quantile hedging of standard call and put options, exotic options and quantile hedging with portfolio constraints. The method is then extended to solve utility indifference pricing, good-deal bounds and expected shortfall problems

Working Paper Series Asymptotics for Fixed Transaction Costs Halil Mete Soner out within the NCCR FINRISK project on "Mathematical Methods in Financial Risk Management" Asymptotics for Fixed Transaction Costs *

Abstract An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value function and optimal policy. JEL Classification: G11

A general Hamilton-Jacobi framework for non-linear state-constrained control problems

The paper deals with deterministic optimal control problems with state constraints and non-linear dynamics. It is known for such problems that the value function is in general discontinuous and its characterization by means of a Hamilton-Jacobi equation requires some controllability assumptions involving the dynamics and the set of state constraints. Here, we first adopt the viability point of view and look at the value function as its epigraph. Then, we prove that this epigraph can always be described by an auxiliary optimal control problem free of state constraints, and for which the value function is Lipschitz continuous and can be characterized, without any additional assumptions, as the unique viscosity solution of a Hamilton-Jacobi equation. The idea introduced in this paper bypasses the regularity issues on the value function of the constrained control problem and leads to a constructive way to compute its epigraph by a large panel of numerical schemes. Our approach can be extended to more general control problems. We study in this paper the extension to the infinite horizon problem as well as for the two-player game setting. Finally, an illustrative numerical example is given to show the relevance of the approach

Asymptotics for fixed transaction costs

An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value function and optimal policy

Asymptotics with fixed transaction costs

An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value function and optimal policy.ISSN:0949-2984ISSN:1432-112