This paper concerns a global optimality principle for fully coupled mean-field control systems.Both the first-order and the second-order variational equations are fully coupled mean-field linear FBSDEs. A new linear r...This paper concerns a global optimality principle for fully coupled mean-field control systems.Both the first-order and the second-order variational equations are fully coupled mean-field linear FBSDEs. A new linear relation is introduced, with which we successfully decouple the fully coupled first-order variational equations. We give a new second-order expansion of Y^(ε) that can work well in mean-field framework. Based on this result, the stochastic maximum principle is proved. The comparison with the stochastic maximum principle for controlled mean-field stochastic differential equations is supplied.展开更多
In this work,we propose an explicit second order scheme for decoupled mean-field forward backward stochastic differential equations with jumps.The sta-bility and the rigorous error estimates are presented,which show th...In this work,we propose an explicit second order scheme for decoupled mean-field forward backward stochastic differential equations with jumps.The sta-bility and the rigorous error estimates are presented,which show that the proposed scheme yields a second order rate of convergence,when the forward mean-field stochastic differential equation is solved by the weak order 2.0 Itˆo-Taylor scheme.Numerical experiments are carried out to verify the theoretical results.展开更多
This paper discusses mean-field backward stochastic differentiM equations （mean-field BS- DEs） with jumps and a new type of controlled mean-field BSDEs with jumps, namely mean-field BSDEs with jumps strongly coupled...This paper discusses mean-field backward stochastic differentiM equations （mean-field BS- DEs） with jumps and a new type of controlled mean-field BSDEs with jumps, namely mean-field BSDEs with jumps strongly coupled with the value function of the associated control problem. The authors first prove the existence and the uniqueness as well as a comparison theorem for the above two types of BSDEs. For this the authors use an approximation method. Then, with the help of the notion of stochastic backward semigroups introduced by Peng in 1997, the authors get the dynamic programming principle （DPP） for the value functions. Furthermore, the authors prove that the value function is a viscosity solution of the associated nonlocal Hamilton-Jacobi-Bellman （HJB） integro-partial differential equation, which is unique in an adequate space of continuous functions introduced by Barles, et al. in 1997.展开更多
We study mean-field type optimal stochastic control problem for systems governed by mean-field controlled forward-backward stochastic differential equations with jump processes,in which the coefficients depend on the ...We study mean-field type optimal stochastic control problem for systems governed by mean-field controlled forward-backward stochastic differential equations with jump processes,in which the coefficients depend on the marginal law of the state process through its expected value.The control variable is allowed to enter both diffusion and jump coefficients.Moreover,the cost functional is also of mean-field type.Necessary conditions for optimal control for these systems in the form of maximum principle are established by means of convex perturbation techniques.As an application,time-inconsistent mean-variance portfolio selectionmixed with a recursive utility functional optimization problem is discussed to illustrate the theoretical results.展开更多
In this paper,we study a new class of equations called mean-field backward stochastic differential equations(BSDEs,for short)driven by fractional Brownian motion with Hurst parameter H>1/2.First,the existence and u...In this paper,we study a new class of equations called mean-field backward stochastic differential equations(BSDEs,for short)driven by fractional Brownian motion with Hurst parameter H>1/2.First,the existence and uniqueness of this class of BSDEs are obtained.Second,a comparison theorem of the solutions is established.Third,as an application,we connect this class of BSDEs with a nonlocal partial differential equation(PDE,for short),and derive a relationship between the fractional mean-field BSDEs and PDEs.展开更多
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional.The coefficients and the weighting matrices in the cost functional are all assumed to be ...An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional.The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.Closedloop strategies are introduced,which require to be independent of initial states;and such a nature makes it very useful and convenient in applications.In this paper,the existence of an optimal closed-loop strategy for the system(also called the closedloop solvability of the problem)is characterized by the existence of a regular solution to the coupled two(generalized)Riccati equations,together with some constraints on the adapted solution to a linear backward stochastic differential equation and a linear terminal value problem of an ordinary differential equation.展开更多
In this paper,a mean-variance hedging portfolio problem is considered for mean-field stochastic differential equations.The original problem can be reformulated as a nonhomogeneous linear-quadratic optimal control prob...In this paper,a mean-variance hedging portfolio problem is considered for mean-field stochastic differential equations.The original problem can be reformulated as a nonhomogeneous linear-quadratic optimal control problem with mean-field type.By virtue of the classical completion of squares,the optimal control is obtained in the form of state feedback.We use the theoretical results to the mean-variance hedging portfolio problem and get the optimal portfolio strategy.展开更多
Taking ^120Sn as an example, we discuss the pseudospin symmetry in the single proton resonant states by examining the energies, widths and the wavefunctions. The information of the single proton resonant states in sph...Taking ^120Sn as an example, we discuss the pseudospin symmetry in the single proton resonant states by examining the energies, widths and the wavefunctions. The information of the single proton resonant states in spherical nuclei are extracted from an analytic continuation in the coupling constant method within the framework of the self-consistent relativistic mean field theory under the relativistic boundary condition. We find small energy splitting in a pair of pseudospin partners in the resonant states. The lower components of the Dirac wavefunctions of a pseudospin doublet agree well in the region where nuclear potential dominates. It is concluded that the pseudospin symmetry is also well conserved for the resonant states in realistic nuclei.展开更多
The deconfinement phase transition from ha-dronic matter to quark matter in the interior of compact stars is investigated. The hadronic phase is described in the framework of relativistic mean-field (RMF) theory, when...The deconfinement phase transition from ha-dronic matter to quark matter in the interior of compact stars is investigated. The hadronic phase is described in the framework of relativistic mean-field (RMF) theory, when also the scalar-isovector δ-meson effective field is taken into account. The MIT bag model for describing a quark phase is used. The changes of the pa-rameters of phase transition caused by the pre- sence of δ-meson field are investigated. Finally, alterations in the integral and structure para-meters of hybrid stars due to deconfinement phase transitions are discussed.展开更多
A relativistic mean field model is used to study the ground-state properties of neutron-rich nuclei in Ca isotopes. An additional isoscalar and isovector nonlinear coupling has been introduced in the relativistic mean...A relativistic mean field model is used to study the ground-state properties of neutron-rich nuclei in Ca isotopes. An additional isoscalar and isovector nonlinear coupling has been introduced in the relativistic mean field model, which could soften the symmetry energy, while keep the agreement with the experimental data. The sensitivity of proton and neutron density distributions and single particle states in Ca isotopes to the additional isoscalarisovector nonlinear coupling term is investigated. We found that the binding energies, the density distributions of single particle levels are strongly correlated with the density dependence of the symmetric energy in nuclear matter.展开更多
In this paper, a mean-field equation of motion which is derived by Penrose (1991) for the dynamic Ising model with Glauber dynamics is considered. Various finite difference schemes such as explicit Euler scheme, predi...In this paper, a mean-field equation of motion which is derived by Penrose (1991) for the dynamic Ising model with Glauber dynamics is considered. Various finite difference schemes such as explicit Euler scheme, predictor-corrector scheme and some implicit schemes are given and their convergence, stabilities and dynamical properties are discussed. Moreover, a Lyapunov functional for the discrete semigroup {S}(n>0) is constructed. Finally, numerical examples are computed and analyzed. it shows that the model is a better approximation to Cahn-Allen equation which is mentioned in Penrose (1991).展开更多
The parameters of biological system may change under the influence of different states or state processes.The change of parameters can also affect the dynamic behaviors of epidemic disease.This paper presents a mean f...The parameters of biological system may change under the influence of different states or state processes.The change of parameters can also affect the dynamic behaviors of epidemic disease.This paper presents a mean field stochastic susceptible-infectedvaccinated(SIV)epidemic model which parameters depend on the state process.The sufficient and necessary conditions of optimal control of the novel epidemic model are obtained by maximum principle.Finally,we perform representative numerical simulations to illustrate the theoretical results and further discuss the feasibility based on the hand,foot and mouth disease(HFMD)data in China.展开更多
We study R^(d)-valued mean-field stochastic differential equations with a diffusion coefficient that varies in a discontinuous manner on the L_(p)-norm of the process.We establish the existence of a unique global stro...We study R^(d)-valued mean-field stochastic differential equations with a diffusion coefficient that varies in a discontinuous manner on the L_(p)-norm of the process.We establish the existence of a unique global strong solution in the presence of a robust drift,while also investigating scenarios where the presence of a global solution is not assured.展开更多
基金supported by the Natural Science Foundation of Shandong Province(Grant Nos.ZR2020MA032,ZR2022MA029)National Natural Science Foundation of China(Grant Nos.12171279,72171133).
文摘This paper concerns a global optimality principle for fully coupled mean-field control systems.Both the first-order and the second-order variational equations are fully coupled mean-field linear FBSDEs. A new linear relation is introduced, with which we successfully decouple the fully coupled first-order variational equations. We give a new second-order expansion of Y^(ε) that can work well in mean-field framework. Based on this result, the stochastic maximum principle is proved. The comparison with the stochastic maximum principle for controlled mean-field stochastic differential equations is supplied.
基金supported by the NSF of China(Grant Nos.12071261,12001539,11801320,11831010,12371398)by the National Key R&D Program of China(Grant No.2018YFA0703900)+2 种基金by the NSF of Shandong Province(Grant No.ZR2023MA055)by the NSF of Hunan Province(Grant No.2020JJ5647)by the China Postdoctoral Science Foundation(Grant No.2019TQ0073).
文摘In this work,we propose an explicit second order scheme for decoupled mean-field forward backward stochastic differential equations with jumps.The sta-bility and the rigorous error estimates are presented,which show that the proposed scheme yields a second order rate of convergence,when the forward mean-field stochastic differential equation is solved by the weak order 2.0 Itˆo-Taylor scheme.Numerical experiments are carried out to verify the theoretical results.
基金supported by the National Natural Science Foundation of China under Grant Nos.11171187,11222110Shandong Province under Grant No.JQ201202+1 种基金Program for New Century Excellent Talents in University under Grant No.NCET-12-0331111 Project under Grant No.B12023
文摘This paper discusses mean-field backward stochastic differentiM equations （mean-field BS- DEs） with jumps and a new type of controlled mean-field BSDEs with jumps, namely mean-field BSDEs with jumps strongly coupled with the value function of the associated control problem. The authors first prove the existence and the uniqueness as well as a comparison theorem for the above two types of BSDEs. For this the authors use an approximation method. Then, with the help of the notion of stochastic backward semigroups introduced by Peng in 1997, the authors get the dynamic programming principle （DPP） for the value functions. Furthermore, the authors prove that the value function is a viscosity solution of the associated nonlocal Hamilton-Jacobi-Bellman （HJB） integro-partial differential equation, which is unique in an adequate space of continuous functions introduced by Barles, et al. in 1997.
基金The first author was partially supported by Algerian CNEPRU Project Grant B01420130137,2014-2016.
文摘We study mean-field type optimal stochastic control problem for systems governed by mean-field controlled forward-backward stochastic differential equations with jump processes,in which the coefficients depend on the marginal law of the state process through its expected value.The control variable is allowed to enter both diffusion and jump coefficients.Moreover,the cost functional is also of mean-field type.Necessary conditions for optimal control for these systems in the form of maximum principle are established by means of convex perturbation techniques.As an application,time-inconsistent mean-variance portfolio selectionmixed with a recursive utility functional optimization problem is discussed to illustrate the theoretical results.
基金supported by the National Key R&D Program of China (Grant No. 2018YFA0703900)the National Natural Science Foundation of China (Grant Nos. 11871309 and 11371226)+3 种基金supported by China Postdoctoral Science Foundation (Grant No. 2019M660968)Southern University of Science and Technology Start up fund Y01286233supported by Southern University of Science and Technology Start up fund Y01286120the National Natural Science Foundation of China (Grants Nos. 61873325,11831010)
文摘In this paper,we study a new class of equations called mean-field backward stochastic differential equations(BSDEs,for short)driven by fractional Brownian motion with Hurst parameter H>1/2.First,the existence and uniqueness of this class of BSDEs are obtained.Second,a comparison theorem of the solutions is established.Third,as an application,we connect this class of BSDEs with a nonlocal partial differential equation(PDE,for short),and derive a relationship between the fractional mean-field BSDEs and PDEs.
基金supported by Hong Kong RGC under grants 519913,15209614 and 15224215Jingrui Sun was partially supported by the National Natural Science Foundation of China(11401556)+1 种基金the Fundamental Research Funds for the Central Universities(WK 2040000012)Jiongmin Yong was partially supported by NSF DMS-1406776.
文摘An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional.The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.Closedloop strategies are introduced,which require to be independent of initial states;and such a nature makes it very useful and convenient in applications.In this paper,the existence of an optimal closed-loop strategy for the system(also called the closedloop solvability of the problem)is characterized by the existence of a regular solution to the coupled two(generalized)Riccati equations,together with some constraints on the adapted solution to a linear backward stochastic differential equation and a linear terminal value problem of an ordinary differential equation.
文摘In this paper,a mean-variance hedging portfolio problem is considered for mean-field stochastic differential equations.The original problem can be reformulated as a nonhomogeneous linear-quadratic optimal control problem with mean-field type.By virtue of the classical completion of squares,the optimal control is obtained in the form of state feedback.We use the theoretical results to the mean-variance hedging portfolio problem and get the optimal portfolio strategy.
基金Supported by the National Natural Science Foundation of China under Grant Nos 10447102, 10475003, 10435010 and 10605004, and the Scientific Research Innovation Foundation of BUAA.
文摘Taking ^120Sn as an example, we discuss the pseudospin symmetry in the single proton resonant states by examining the energies, widths and the wavefunctions. The information of the single proton resonant states in spherical nuclei are extracted from an analytic continuation in the coupling constant method within the framework of the self-consistent relativistic mean field theory under the relativistic boundary condition. We find small energy splitting in a pair of pseudospin partners in the resonant states. The lower components of the Dirac wavefunctions of a pseudospin doublet agree well in the region where nuclear potential dominates. It is concluded that the pseudospin symmetry is also well conserved for the resonant states in realistic nuclei.
文摘The deconfinement phase transition from ha-dronic matter to quark matter in the interior of compact stars is investigated. The hadronic phase is described in the framework of relativistic mean-field (RMF) theory, when also the scalar-isovector δ-meson effective field is taken into account. The MIT bag model for describing a quark phase is used. The changes of the pa-rameters of phase transition caused by the pre- sence of δ-meson field are investigated. Finally, alterations in the integral and structure para-meters of hybrid stars due to deconfinement phase transitions are discussed.
基金Supported by the National Natural Science Foundation of China under Grant Nos 10235030, 10475116, and 10535010.
文摘A relativistic mean field model is used to study the ground-state properties of neutron-rich nuclei in Ca isotopes. An additional isoscalar and isovector nonlinear coupling has been introduced in the relativistic mean field model, which could soften the symmetry energy, while keep the agreement with the experimental data. The sensitivity of proton and neutron density distributions and single particle states in Ca isotopes to the additional isoscalarisovector nonlinear coupling term is investigated. We found that the binding energies, the density distributions of single particle levels are strongly correlated with the density dependence of the symmetric energy in nuclear matter.
文摘In this paper, a mean-field equation of motion which is derived by Penrose (1991) for the dynamic Ising model with Glauber dynamics is considered. Various finite difference schemes such as explicit Euler scheme, predictor-corrector scheme and some implicit schemes are given and their convergence, stabilities and dynamical properties are discussed. Moreover, a Lyapunov functional for the discrete semigroup {S}(n>0) is constructed. Finally, numerical examples are computed and analyzed. it shows that the model is a better approximation to Cahn-Allen equation which is mentioned in Penrose (1991).
文摘The parameters of biological system may change under the influence of different states or state processes.The change of parameters can also affect the dynamic behaviors of epidemic disease.This paper presents a mean field stochastic susceptible-infectedvaccinated(SIV)epidemic model which parameters depend on the state process.The sufficient and necessary conditions of optimal control of the novel epidemic model are obtained by maximum principle.Finally,we perform representative numerical simulations to illustrate the theoretical results and further discuss the feasibility based on the hand,foot and mouth disease(HFMD)data in China.
文摘We study R^(d)-valued mean-field stochastic differential equations with a diffusion coefficient that varies in a discontinuous manner on the L_(p)-norm of the process.We establish the existence of a unique global strong solution in the presence of a robust drift,while also investigating scenarios where the presence of a global solution is not assured.
