This work focuses on numerical methods for finding optimal dividend payment and capital injection policies to maximize the present value of the difference between the cumulative dividend payment and the possible capit...This work focuses on numerical methods for finding optimal dividend payment and capital injection policies to maximize the present value of the difference between the cumulative dividend payment and the possible capital injections. Using dynamic programming principle, the value function obeys a quasi-variational inequality （QVI）. The state constraint of the impulsive control gives rise to a capital injection region with free boundary. Since the closed-form solutions are virtually impossible to obtain, we use Markov chain approximation techniques to construct a discrete-time controlled Markov chain to approximate the value function and optimal controls. Convergence of the approximation algorithms is proved.展开更多
This work is concerned with the asymptotic behavior of systems of parabolic equations arising from null-recurrent switching diffusions,which are diffusion processes modulated by continuous-time Markov chains.A suffici...This work is concerned with the asymptotic behavior of systems of parabolic equations arising from null-recurrent switching diffusions,which are diffusion processes modulated by continuous-time Markov chains.A sufficient condition for null recurrence is presented.Moreover,convergence rate of the solutions of systems of homogeneous parabolic equations under suitable conditions is established.Then a case study on verifying one of the conditions proposed is provided with the use of a two-state Markov chain.To verify the condition,boundary value problems(BVPs)for parabolic systems are treated,which are not the usual two-point BVP type.An extra condition in the interior is needed resulting in jump discontinuity of the derivative of the corresponding solution.展开更多
This paper is concerned with the continuous-time Markov decision processes (MDP) having weak and strong interactions. Using a hierarchical approach, the state space of the underlying Markov chain can be decomposed int...This paper is concerned with the continuous-time Markov decision processes (MDP) having weak and strong interactions. Using a hierarchical approach, the state space of the underlying Markov chain can be decomposed into several groups of recurrent states and a group of transient states resulting in a singularly perturbed MDP formulation. Instead of solving the original problem directly, a limit problem that is much simpler to handle is derived. On the basis of the optical solution of the limit problem, nearly optimal decisions are constructed for the original problem. The asymptotic optimality of the constructed control is obtained; the rate of convergence is ascertained.展开更多
This work focuses on stochastic Lienard equations with state-dependent switching. First, the existence and uniqueness of a strong solution are obtained by successive construction method. Next, strong Feller property i...This work focuses on stochastic Lienard equations with state-dependent switching. First, the existence and uniqueness of a strong solution are obtained by successive construction method. Next, strong Feller property is proved by introducing certain auxiliary processes and using the Radon-Nikodym derivatives and truncation arguments. Based on these results, positive Harris recurrence and exponential ergodicity are obtained under the Foster-Lyapunov drift conditions. Finally, examples using van der Pol equations are presented for illustrations, and the corresponding Foster-Lyapunov functions for the examples are constructed explicitly.展开更多
This work develops asymptotically optimal dividend policies to maximize the expected present value of dividends until ruin.Compound Poisson processes with regime switching are used to model the surplus and the switch...This work develops asymptotically optimal dividend policies to maximize the expected present value of dividends until ruin.Compound Poisson processes with regime switching are used to model the surplus and the switching（a continuous-time controlled Markov chain） represents random environment and other economic conditions.Assuming the switching to be fast varying together with suitable conditions,it is shown that the system has a limit that is an average with respect to the invariant measure of a related Markov chain.Under simple conditions,the optimal policy of the limit dividend strategy is a threshold policy.Using the optimal policy of the limit system as a guide,feedback control for the original surplus is then developed.It is demonstrated that the constructed dividend policy is asymptotically optimal.展开更多
This work develops asymptotic expansions of systems of partial differential equations associated with multi-scale switching diffusions. The switching process is modeled by using an inhomogeneous continuous- time Marko...This work develops asymptotic expansions of systems of partial differential equations associated with multi-scale switching diffusions. The switching process is modeled by using an inhomogeneous continuous- time Markov chain. In the model, there are two small parameters ε and δ. The first one highlights the fast switching, whereas the other delineates the slow diffusion. Assuming that ε and δ are related in that ε = δγ, our results reveal that different values of γ lead to different behaviors of the underlying systems, resulting in different asymptotic expansions. Although our motivation comes from stochastic problems, the approach is mainly analytic and is constructive. The asymptotic series are rigorously justified with error bounds provided. An example is provided to demonstrate the results.展开更多
This work develops near-optimal controls for systems given by differential equations with wideband noise and random switching.The random switching is modeled by a continuous-time,time-inhomogeneous Markov chain.Under ...This work develops near-optimal controls for systems given by differential equations with wideband noise and random switching.The random switching is modeled by a continuous-time,time-inhomogeneous Markov chain.Under broad conditions,it is shown that there is an associated limit problem,which is a switching jump diffusion.Using near-optimal controls of the limit system,we then build controls for the original systems.It is shown that such constructed controls are nearly optimal.展开更多
This work is concerned with asymptotic properties of a class of parabolic systems arising from singularly perturbed diffusions. The underlying system has a fast varying component and a slowly changing component. One o...This work is concerned with asymptotic properties of a class of parabolic systems arising from singularly perturbed diffusions. The underlying system has a fast varying component and a slowly changing component. One of the distinct features is that the fast varying diffusion is transient. Under such a setup, this paper presents an asymptotic analysis of the solutions of such parabolic equations. Asymptotic expansions of functional satisfying the parabolic system are obtained. Error bounds are derived.展开更多
基金supported in part by Early Career Research Grant and Faculty Research Grant by The University of Melbournesupported in part by Research Grants Council of the Hong Kong Special Administrative Region(project No.HKU 17330816)+1 种基金Society of Actuaries’Centers of Actuarial Excellence Research Grantsupported in part by U.S.Army Research Office under grant W911NF-15-1-0218
文摘This work focuses on numerical methods for finding optimal dividend payment and capital injection policies to maximize the present value of the difference between the cumulative dividend payment and the possible capital injections. Using dynamic programming principle, the value function obeys a quasi-variational inequality （QVI）. The state constraint of the impulsive control gives rise to a capital injection region with free boundary. Since the closed-form solutions are virtually impossible to obtain, we use Markov chain approximation techniques to construct a discrete-time controlled Markov chain to approximate the value function and optimal controls. Convergence of the approximation algorithms is proved.
基金the National Science Foundation under DMS-0603287the National Security Agency,MSPF-068-029the National Natural Science Foundation of China under No.60574069
文摘This work is concerned with the asymptotic behavior of systems of parabolic equations arising from null-recurrent switching diffusions,which are diffusion processes modulated by continuous-time Markov chains.A sufficient condition for null recurrence is presented.Moreover,convergence rate of the solutions of systems of homogeneous parabolic equations under suitable conditions is established.Then a case study on verifying one of the conditions proposed is provided with the use of a two-state Markov chain.To verify the condition,boundary value problems(BVPs)for parabolic systems are treated,which are not the usual two-point BVP type.An extra condition in the interior is needed resulting in jump discontinuity of the derivative of the corresponding solution.
基金The research of this author is supported in part by the Office of Naval Research Grant N00014-96-1-0263.The research of this a
文摘This paper is concerned with the continuous-time Markov decision processes (MDP) having weak and strong interactions. Using a hierarchical approach, the state space of the underlying Markov chain can be decomposed into several groups of recurrent states and a group of transient states resulting in a singularly perturbed MDP formulation. Instead of solving the original problem directly, a limit problem that is much simpler to handle is derived. On the basis of the optical solution of the limit problem, nearly optimal decisions are constructed for the original problem. The asymptotic optimality of the constructed control is obtained; the rate of convergence is ascertained.
基金Supported by the National Natural Science Foundation of China(No.11171024)the National Science Foundation,United States(No.DMS-0907753)
文摘This work focuses on stochastic Lienard equations with state-dependent switching. First, the existence and uniqueness of a strong solution are obtained by successive construction method. Next, strong Feller property is proved by introducing certain auxiliary processes and using the Radon-Nikodym derivatives and truncation arguments. Based on these results, positive Harris recurrence and exponential ergodicity are obtained under the Foster-Lyapunov drift conditions. Finally, examples using van der Pol equations are presented for illustrations, and the corresponding Foster-Lyapunov functions for the examples are constructed explicitly.
基金supported in part by the National Science Foundation under DMS-0907753supported in part by the National Natural Science Foundation of China (No.70871055)+1 种基金supported in part by the National Science Foundation under DMS-0603287supported in part by Research Grants Council of HKSAR (Project No:HKU706209P)
文摘This work develops asymptotically optimal dividend policies to maximize the expected present value of dividends until ruin.Compound Poisson processes with regime switching are used to model the surplus and the switching（a continuous-time controlled Markov chain） represents random environment and other economic conditions.Assuming the switching to be fast varying together with suitable conditions,it is shown that the system has a limit that is an average with respect to the invariant measure of a related Markov chain.Under simple conditions,the optimal policy of the limit dividend strategy is a threshold policy.Using the optimal policy of the limit system as a guide,feedback control for the original surplus is then developed.It is demonstrated that the constructed dividend policy is asymptotically optimal.
基金supported in part by the Air Force Office of Scientific Research under FA9550-15-1-0131
文摘This work develops asymptotic expansions of systems of partial differential equations associated with multi-scale switching diffusions. The switching process is modeled by using an inhomogeneous continuous- time Markov chain. In the model, there are two small parameters ε and δ. The first one highlights the fast switching, whereas the other delineates the slow diffusion. Assuming that ε and δ are related in that ε = δγ, our results reveal that different values of γ lead to different behaviors of the underlying systems, resulting in different asymptotic expansions. Although our motivation comes from stochastic problems, the approach is mainly analytic and is constructive. The asymptotic series are rigorously justified with error bounds provided. An example is provided to demonstrate the results.
基金supported in part by the National Science Foundation under DMS-1207667supported in part by NSFC and RFDP
文摘This work develops near-optimal controls for systems given by differential equations with wideband noise and random switching.The random switching is modeled by a continuous-time,time-inhomogeneous Markov chain.Under broad conditions,it is shown that there is an associated limit problem,which is a switching jump diffusion.Using near-optimal controls of the limit system,we then build controls for the original systems.It is shown that such constructed controls are nearly optimal.
基金in part by the National Science Foundation under grant DMS-9971608in part by the Office of Naval Research under grant N00014-95-1-0793+1 种基金in part by the National Science Foundation under grant DMS-9971608in part by the National Science Foundation
文摘This work is concerned with asymptotic properties of a class of parabolic systems arising from singularly perturbed diffusions. The underlying system has a fast varying component and a slowly changing component. One of the distinct features is that the fast varying diffusion is transient. Under such a setup, this paper presents an asymptotic analysis of the solutions of such parabolic equations. Asymptotic expansions of functional satisfying the parabolic system are obtained. Error bounds are derived.
