Well-posedness and regularity of the Cauchy problem for nonlinear fractional in time and space equations

The purpose is to study the Cauchy problem for non-linear in time and space pseudo-differential equations. These include the fractional in time versions of HJB equations governing the controlled scaled CTRW. As a preliminary step which is of independent interest we analyse the corresponding linear equation proving its well-posedness and smoothing properties

The Lévy–Khintchine type operators with variable Lipschitz continuous coefficients generate linear or nonlinear Markov processes and semigroups

Ito's construction of Markovian solutions to stochastic equations driven by a Lévy noise is extended to nonlinear distribution dependent integrands aiming at the effective construction of linear and nonlinear Markov semigroups and the corresponding processes with a given pseudo-differential generator. It is shown that a conditionally positive integro-differential operator (of the Lévy-Khintchine type) with variable coeffcients (diffusion, drift and Lévy measure) depending Lipschitz continuously on its parameters (position and/or its distribution) generates a linear or nonlinear Markov semigroup, where the measures are metricized by the Wasserstein-Kantorovich metrics. This is a nontrivial but natural extension to general Markov processes of a long known fact for ordinary diffusions

Measure-valued limits of interacting particle systems with k-nary interactions. II, Finite-dimensional limits

It is shown that Markov chains in Z+d describing k-nary interacting particles of d different types approximate (in the continuous state limit) Markov processes on R+d having pseudo-differential generators p (x,i (/x)) with symbols p (x,) depending polynomially (degree k) on x. This approximation can be used to prove existence and non-explosion results for the latter processes. Our general scheme of continuous state (or finite-dimensional measure-valued) limits to processes of k-nary interaction yields a unified description of these limits for a large variety of models that are intensively studied in different domains of natural science from interacting particles in statistical mechanics (e.g. coagulation-fragmentation processes) to evolutionary games and multidimensional birth and death processes from biology and social sciences

Idempotent structures in optimization

Consider the set A = R ∪ {+∞} with the binary operations o1 = max and o2 = + and denote by An the set of vectors v = (v1,...,vn) with entries in A. Let the generalised sum u o1 v of two vectors denote the vector with entries uj o1 vj , and the product a o2 v of an element a ∈ A and a vector v ∈ An denote the vector with the entries a o2 vj . With these operations, the set An provides the simplest example of an idempotent semimodule. The study of idempotent semimodules and their morphisms is the subject of idempotent linear algebra, which has been developing for about 40 years already as a useful tool in a number of problems of discrete optimisation. Idempotent analysis studies infinite dimensional idempotent semimodules and is aimed at the applications to the optimisations problems with general (not necessarily finite) state spaces. We review here the main facts of idempotent analysis and its major areas of applications in optimisation theory, namely in multicriteria optimisation, in turnpike theory and mathematical economics, in the theory of generalised solutions of the Hamilton-Jacobi Bellman (HJB) equation, in the theory of games and controlled Marcov processes, in financial mathematics

Stochastic monotonicity and duality for one-dimensional Markov processes

The theory of monotonicity and duality is developed for general one-dimensional Feller processes, extending the approach from [11]. Moreover it is shown that local monotonicity conditions (conditions on the Lévy kernel) are sufficient to prove the well-posedness of the corresponding Markov semigroup and process, including unbounded coefficients and processes on the half-line

Generalised Fractional Evolution Equations of Caputo Type

This paper is devoted to the study of generalised time-fractional evolution equations involving Caputo type derivatives. Using analytical methods and probabilistic arguments we obtain well-posedness results and stochastic representations for the solutions. These results encompass known linear and non-linear equations from classical fractional partial differential equations such as the time-space-fractional diffusion equation, as well as their far reaching extensions. \\ Meaning is given to a probabilistic generalisation of Mittag-Leffler functions.Comment: To be published in 'Chaos, Solitons & Fractals

Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations

We study stochastic Hamilton-Jacobi-Bellman equations and the corresponding Hamiltonian systems driven by jump-type Lévy processes. The main objective of the present paper is to show existence, uniqueness and a (locally in time) diffeomorphism property of the solution: the solution trajectory of the system is a diffeomorphism as a function of the initial momentum. This result enables us to implement a stochastic version of the classical method of characteristics for the Hamilton-Jacobi equations. An –in itself interesting– auxiliary result are pointwise a.s. estimates for iterated stochastic integrals driven by a vector of not necessarily independent jump-type semimartingales

The evolutionary game of pressure (or interference), resistance and collaboration

In the past few years, volunteers have produced geographic information of different kinds, using a variety of different crowdsourcing platforms, within a broad range of contexts. However, there is still a lack of clarity about the specific types of tasks that volunteers can perform for deriving geographic information from remotely sensed imagery, and how the quality of the produced information can be assessed for particular task types. To fill this gap, we analyse the existing literature and propose a typology of tasks in geographic information crowdsourcing, which distinguishes between classification, digitisation and conflation tasks. We then present a case study related to the “Missing Maps” project aimed at crowdsourced classification to support humanitarian aid. We use our typology to distinguish between the different types of crowdsourced tasks in the project and choose classification tasks related to identifying roads and settlements for an evaluation of the crowdsourced classification. This evaluation shows that the volunteers achieved a satisfactory overall performance (accuracy: 89%; sensitivity: 73%; and precision: 89%). We also analyse different factors that could influence the performance, concluding that volunteers were more likely to incorrectly classify tasks with small objects. Furthermore, agreement among volunteers was shown to be a very good predictor of the reliability of crowdsourced classification: tasks with the highest agreement level were 41 times more probable to be correctly classified by volunteers. The results thus show that the crowdsourced classification of remotely sensed imagery is able to generate geographic information about human settlements with a high level of quality. This study also makes clear the different sophistication levels of tasks that can be performed by volunteers and reveals some factors that may have an impact on their performance. In this paper we extend the framework of evolutionary inspection game put forward recently by the author and coworkers to a large class of conflict interactions dealing with the pressure executed by the major player (or principal) on the large group of small players that can resist this pressure or collaborate with the major player. We prove rigorous results on the convergence of various Markov decision models of interacting small agents (including evolutionary growth), namely pairwise, in groups and by coalition formation, to a deterministic evolution on the distributions of the state spaces of small players paying main attention to situations with an infinite state-space of small players. We supply rather precise rates of convergence. The theoretical results of the paper are applied to the analysis of the processes of inspection, corruption, cyber-security, counter-terrorism, banks and firms merging, strategically enhanced preferential attachment and many other