A Class of Mean-field LQG Games with Partial Information

The large-population system consists of considerable small agents whose individual behavior and mass effect are interrelated via their state-average. The mean-field game provides an efficient way to get the decentralized strategies of large-population system when studying its dynamic optimizations. Unlike other large-population literature, this current paper possesses the following distinctive features. First, our setting includes the partial information structure of large-population system which is practical from real application standpoint. Specially, two cases of partial information structure are considered here: the partial filtration case (see Section 2, 3) where the available information to agents is the filtration generated by an observable component of underlying Brownian motion; the noisy observation case (Section 4) where the individual agent can access an additive white-noise observation on its own state. Also, it is new in filtering modeling that our sensor function may depend on the state-average. Second, in both cases, the limiting state-averages become random and the filtering equations to individual state should be formalized to get the decentralized strategies. Moreover, it is also new that the limit average of state filters should be analyzed here. This makes our analysis very different to the full information arguments of large-population system. Third, the consistency conditions are equivalent to the wellposedness of some Riccati equations, and do not involve the fixed-point analysis as in other mean-field games. The $\epsilon$-Nash equilibrium properties are also presented.Comment: 19 page

Regularity properties for general HJB equations. A BSDE method

In this work we investigate regularity properties of a large class of Hamilton-Jacobi-Bellman (HJB) equations with or without obstacles, which can be stochastically interpreted in form of a stochastic control system which nonlinear cost functional is defined with the help of a backward stochastic differential equation (BSDE) or a reflected BSDE (RBSDE). More precisely, we prove that, firstly, the unique viscosity solution $V(t,x)$ of such a HJB equation over the time interval $[0,T],$ with or without an obstacle, and with terminal condition at time $T$, is jointly Lipschitz in $(t,x)$, for $t$ running any compact subinterval of $[0,T)$. Secondly, for the case that $V$ solves a HJB equation without an obstacle or with an upper obstacle it is shown under appropriate assumptions that $V(t,x)$ is jointly semiconcave in $(t,x)$. These results extend earlier ones by Buckdahn, Cannarsa and Quincampoix [1]. Our approach embeds their idea of time change into a BSDE analysis. We also provide an elementary counter-example which shows that, in general, for the case that $V$ solves a HJB equation with a lower obstacle the semi-concavity doesn't hold true.Comment: 30 page

Necessary Condition for Near Optimal Control of Linear Forward-backward Stochastic Differential Equations

This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls and the control domain is not assumed to be convex. In the previous work (Theorem 3.1) of the second and third authors [\textit{% Automatica} \textbf{46} (2010) 397-404], some problem of near optimal control with the control dependent diffusion is addressed and our current paper can be viewed as some direct response to it. The necessary condition of the near-optimality is established within the framework of optimality variational principle developed by Yong [\textit{SIAM J. Control Optim.} \textbf{48} (2010) 4119--4156] and obtained by the convergence technique to treat the optimal control of FBSDEs in unbounded control domains by Wu [% \textit{Automatica} \textbf{49} (2013) 1473--1480]. Some new estimates are given here to handle the near optimality. In addition, an illustrating example is discussed as well.Comment: To appear in International Journal of Contro

A Linear-Quadratic Optimal Control Problem for Mean-Field Stochastic Differential Equations in Infinite Horizon

A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by the discussion of the well-posedness of the LQ problem. The optimal control can be expressed as a linear state feedback involving the state and its mean, through the solutions of two algebraic Riccati equations. The solvability of such kind of Riccati equations is investigated by means of semi-definite programming method.Comment: 40 page

Pricing Strategy for Cloud Computing Services

The cloud services market exhibits unique characteristics such as instant accessibility, fluctuating demand and supply, and interruptible service provision. Various pricing mechanisms exist in current industry practice, however, none is comprehensive enough to capture all these features. In my work, I identify key factors related to cloud computing pricing. My dissertation includes three essays. They employ multiple approaches, including market survey, game theory modelling, simulation, lab experiments and econometric modelling, to analyse the pricing strategy of cloud services vendors. The first essay highlights nine important factors in current cloud pricing practice and proposes three missing factors based on a market survey. In the second essay, I build an analytical model and use simulation to derive optimal pricing strategies for a monopoly cloud services vendor that operates in the reserved services market and the spot services market. In the last piece of work, I examine the client’s willingness-to-pay for customized cloud services through behavioural experiments

Topological responses from chiral anomaly in multi-Weyl semimetals

Multi-Weyl semimetals are a kind of topological phase of matter with discrete Weyl nodes characterized by multiple monopole charges, in which the chiral anomaly, the anomalous nonconservation of an axial current, occurs in the presence of electric and magnetic fields. Electronic transport properties related to the chiral anomaly in the presence of both electromagnetic fields and axial electromagnetic fields in multi-Weyl semimetals are systematically studied. It has been found that the anomalous Hall conductivity has a modification linear in the axial vector potential from inhomogeneous strains. The axial electric field leads to an axial Hall current that is proportional to the distance of Weyl nodes in momentum space. This axial current may generate chirality accumulation of Weyl fermions through delicately engineering the axial electromagnetic fields even in the absence of external electromagnetic fields. Therefore, this work provides a nonmagnetic mechanism of generation of chirality accumulation in Weyl semimetals and might shed new light on the application of Weyl semimetals in the emerging field of valleytronics.Comment: 13 pages, 2 tables, 2 figures, accepted by Physical Review

Renormalization Group Approach to Stability of Two-dimensional Interacting Type-II Dirac Fermions

The type-II Weyl/Dirac fermions are a generalization of conventional or type-I Weyl/Dirac fermions, whose conic spectrum is tilted such that the Fermi surface becomes lines in two dimensions, and surface in three dimensions rather than discrete points of the conventional Weyl/Dirac fermions. The mass-independent renormalization group calculations show that the tilting parameter decreases monotonically with respect to the length scale, which leads to a transition from two dimensional type-II Weyl/Dirac fermions to the type-I ones. Because of the non-trivial Fermi surface, a photon gains a finite mass partially via the chiral anomaly, leading to the strong screening effect of the Weyl/Dirac fermions. Consequently, anisotropic type-II Dirac semimetals become stable against the Coulomb interaction. This work provides deep insight into the interplay between the geometry of Fermi surface and the Coulomb interaction.Comment: Final pulished versio