Guaranteed Inertia Functions in Dynamical Games.

This paper deals with inertia functions in control theory introduced in Aubin, Bernardo and Saint-Pierre (2004, 2005) and their adaptation to dynamical games. The inertia function associates with any initial state-control pair the smallest of the worst norms over time of the velocities of the controls regulating viable evolutions. For tychastic systems (parameterized systems where the parameters are tyches, disturbances, perturbations, etc.), the palicinesia of a tyche measure the worst norm over time of the velocities of the tyches. The palicinesia function is the largest palicinesia threshold c such that all evolutions with palicinesia smaller than or equal to c are viable. For dynamical games where one parameter is the control and the other one is a tyche (games against nature or robust control), we define the guaranteed inertia function associated with any initial state-control-tyche triple the best of the worst of the norms of the velocities of the controls and of the tyches and study their properties. Viability Characterizations and Hamilton-Jacobi equations of which these inertia and palicinesia functions are solutions are provided.Viability; dynamical games; inertia function; Tychastic systems; palicinesia;

Constructing and exploring wells of energy landscapes

Landscape paradigm is ubiquitous in physics and other natural sciences, but it has to be supplemented with both quantitative and qualitatively meaningful tools for analyzing the topography of a given landscape. We here consider dynamic explorations of the relief and introduce as basic topographic features ``wells of duration $T$ and altitude $y$''. We determine an intrinsic exploration mechanism governing the evolutions from an initial state in the well up to its rim in a prescribed time, whose finite-difference approximations on finite grids yield a constructive algorithm for determining the wells. Our main results are thus (i) a quantitative characterization of landscape topography rooted in a dynamic exploration of the landscape, (ii) an alternative to stochastic gradient dynamics for performing such an exploration, (iii) a constructive access to the wells and (iv) the determination of some bare dynamic features inherent to the landscape. The mathematical tools used here are not familiar in physics: They come from set-valued analysis (differential calculus of set-valued maps and differential inclusions) and viability theory (capture basins of targets under evolutionary systems) which have been developed during the last two decades; we therefore propose a minimal appendix exposing them at the end of this paper to bridge the possible gap.Comment: 28 pages, submitted to J. Math. Phys -

The method of characteristics revisited. A viability approach

This mini-course provides a presentation of the method of characteristics to initial/boundary-value problems for systems of first-order partial differential equations and to Hamilton-Jacobi variational inequalities. In particular, these results are indeed useful for the treatment of hybrid systems of control theory. We rely on tools forged by set-valued analysis and viability theory, which happen to be both efficient and versatile to cover many problems. They find here unexpected relevance

Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty.

We use in this chapter the viability/capturability approach for studying the problem of dynamic valuation and management of a portfolio with transaction costs in the framework of tychastic control systems (or dynamical games against nature) instead of stochastic control systems. Indeed, the very definition of the guaranteed valuation set can be formulated directly in terms of guaranteed viable-capture basin of a dynamical game. Hence, we shall “compute” the guaranteed viable-capture basin and find a formula for the valuation function involving an underlying criterion, use the tangential properties of such basins for proving that the valuation function is a solution to Hamilton-Jacobi-Isaacs partial differential equations. We then derive a dynamical feedback providing an adjustment law regulating the evolution of the portfolios obeying viability constraints until it achieves the given objective in finite time. We shall show that the Pujal—Saint-Pierre viability/capturability algorithm applied to this specific case provides both the valuation function and the associated portfolios.dynamic games; dynamic valuation; tychastic control systems; management of portfolio;

Viabilist and Tychastic Approaches to Guaranteed ALM Problem.

This study reconsiders the problem of hedging a liability by a portfolio made of a riskless asset and an underlying (underlying).Asset and Liability Management; Viability theory;