A perturbative approach to a class of Fokker-Planck equations

In this paper we present a direct perturbative method to solving certain Fokker-Planck equations, which have constant diffusion coefficients and some small parameters in the drift coefficients. The method makes use of the connection between the Fokker-Planck and Schr\"odinger equations. Two examples are used to illustrate the method. In the first example the drift coefficient depends only on time but not on space. In the second example we consider the Uhlenbeck-Ornstein process with a small drift coefficient. These examples show that the such perturbative approach can be a useful tool to obtain approximate solutions of Fokker-Planck equations with constant diffusion coefficients.Comment: 5 pages, no figure

Continuous-Time Markowitz's Model with Transaction Costs

A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon. With a series of transformations, the problem is turned into a so-called double obstacle problem, a well studied problem in physics and partial differential equation literature, featuring two time-varying free boundaries. The two boundaries, which define the buy, sell, and no-trade regions, are proved to be smooth in time. This in turn characterizes the optimal strategy, via a Skorokhod problem, as one that tries to keep a certain adjusted bond-stock position within the no-trade region. Several features of the optimal strategy are revealed that are remarkably different from its no-transaction-cost counterpart. It is shown that there exists a critical length in time, which is dependent on the stock excess return as well as the transaction fees but independent of the investment target and the stock volatility, so that an expected terminal return may not be achievable if the planning horizon is shorter than that critical length (while in the absence of transaction costs any expected return can be reached in an arbitrary period of time). It is further demonstrated that anyone following the optimal strategy should not buy the stock beyond the point when the time to maturity is shorter than the aforementioned critical length. Moreover, the investor would be less likely to buy the stock and more likely to sell the stock when the maturity date is getting closer. These features, while consistent with the widely accepted investment wisdom, suggest that the planning horizon is an integral part of the investment opportunities.Comment: 30 pages, 1 figur

Mathematical and Dynamic Analysis of a Prey-Predator Model in the Presence of Alternative Prey with Impulsive State Feedback Control

The dynamic complexities of a prey-predator system in the presence of alternative prey with impulsive state feedback control are studied analytically and numerically. By using the analogue of the Poincaré criterion, sufficient conditions for the existence and stability of semitrivial periodic solutions can be obtained. Furthermore, the corresponding bifurcation diagrams and phase diagrams are investigated by means of numerical simulations which illustrate the feasibility of the main results