arXiv subjects
Publications and source records attributed to Ying Hu.
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the objective functional. We define an equilibrium, instead of optimal, solution within the class of open-loop controls, and derive a sufficient condition for equilibrium controls via a flow of forward--backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we find an explicit equilibrium control. As an application, we then consider a mean-variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic processes. Applying the general sufficient condition, we obtain explicit equilibrium strategies when the risk premium is both deterministic and stochastic.
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).
We analyze the macroscopic dynamics of a Bose gas axially confined in an optical lattice with a superimposed harmonic trap, taking into account weak tunneling effect. Our results show that upon transition to the quasi-two-dimensional (2D) regime of the trapped gas, the 3D equation of state and equilibrium density profile acquire corrections from 2D many-body effects. The corresponding frequency shift in the transverse breathing mode is accessible within current facilities, suggesting a direct observation of dimensional effects. Comparisons with other relevant effects are also presented.
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility. Our approach is based on martingale methods which rely on recent results on the existence and uniqueness of solutions to BSDEs with drivers of quadratic growth.
We investigate a dilute Bose gas confined in a tight one-dimensional (1D) optical lattice plus a superimposed random potential at zero temperature. Accordingly, the ground state energy, quantum depletion and superfluid density are calculated. The presence of the lattice introduces a crossover to the quasi-2D regime, where we analyze asymptotically the 2D behavior of the system, particularly the effects of disorder. We thereby offer an analytical expression for the ground state energy of a purely 2D Bose gas in a random potential. The obtained disorder-induced normal fluid density $n_n$ and quantum depletion $n_d$ both exhibit a characteristic $1/\ln\left(1/n_{2D}a_{2D}^{2}\right)$ dependence. Their ratio $n_n/n_d$ increases to $2$ compared to the familiar $4/3$ in lattice-free 3D geometry, signifying a more pronounced contrast between superfluidity and Bose-Einstein condensation in low dimensions. Conditions for possible experimental realization of our scenario are also proposed.
We investigate the combined effects of weak disorder and a two-dimensional (2D) optical lattice on the collective excitations of a harmonically trapped Bose-Einstein condensate (BEC) at zero temperature. Accordingly, we generalize the hydrodynamic equations of superfluid for a weakly interacting Bose gas in a 2D optical lattice to include the effects of weak disorder. Our analytical results for the collective frequencies beyond the mean-field approximation reveal the peculiar role of disorder, interplaying with the 2D optical lattice and interatomic interaction, on elementary excitations along the 3D to 1D dimensional crossover. In particular, consequences of disorder on the phonon propagation and surface modes are analyzed in detail. The experimental scenario is also proposed.
In this paper we study zero-sum two-player stochastic differential games with jumps with the help of theory of Backward Stochastic Differential Equations (BSDEs). We generalize the results of Fleming and Souganidis [10] and those by Biswas [3] by considering a controlled stochastic system driven by a d-dimensional Brownian motion and a Poisson random measure and by associating nonlinear cost functionals defined by controlled BSDEs. Moreover, unlike the both papers cited above we allow the admissible control processes of both players to depend on all events occurring before the beginning of the game. This quite natural extension allows the players to take into account such earlier events, and it makes even easier to derive the dynamic programming principle. The price to pay is that the cost functionals become random variables and so also the upper and the lower value functions of the game are a priori random fields. The use of a new method allows to prove that, in fact, the upper and the lower value functions are deterministic. On the other hand, the application of BSDE methods [18] allows to prove a dynamic programming principle for the upper and the lower value functions in a very straight-forward way, as well as the fact that they are the unique viscosity solutions of the upper and the lower integral-partial differential equations of Hamilton-Jacobi-Bellman-Isaacs' type, respectively. Finally, the existence of the value of the game is got in this more general setting if Isaacs' condition holds.
In this paper we study ergodic backward stochastic differential equations (EBSDEs) dropping the strong dissipativity assumption needed in the previous work. In other words we do not need to require the uniform exponential decay of the difference of two solutions of the underlying forward equation, which, on the contrary, is assumed to be non degenerate. We show existence of solutions by use of coupling estimates for a non-degenerate forward stochastic differential equations with bounded measurable non-linearity. Moreover we prove uniqueness of "Markovian" solutions exploiting the recurrence of the same class of forward equations. Applications are then given to the optimal ergodic control of stochastic partial differential equations and to the associated ergodic Hamilton-Jacobi-Bellman equations.
We provides some useful estimates for solving martingale representation problem under G-expectations. We also study the corresponding conditions for the existence and uniqueness.
We investigate a Bose-Einstein condensate trapped in a 2D optical lattice in the presence of weak disorder within the framework of the Bogoliubov theory. In particular, we analyze the combined effects of disorder and an optical lattice on quantum fluctuations and superfluid density of the BEC system. Accordingly, the analytical expressions of the ground state energy and quantum depletion of the system are obtained. Our results show that the lattice still induces a characteristic 3D to 1D crossover in the behavior of quantum fluctuations, despite the presence of weak disorder. Furthermore, we use the linear response theory to calculate the normal fluid density of the condensate induced by disorder. Our results in the 3D regime show that the combined presence of disorder and lattice induce a normal fluid density that asymptotically approaches 4/3 of the corresponding condensate depletion. Conditions for possible experimental realization of our scenario are also proposed.
In a previous work, P. Briand and Y. Hu proved the uniqueness among the solutions which admit every exponential moments. In this paper, we prove that uniqueness holds among solutions which admit some given exponential moments. These exponential moments are natural as they are given by the existence theorem. Thanks to this uniqueness result we can strengthen the nonlinear Feynman-Kac formula proved by P. Briand and Y. Hu.
In this paper, we discuss the solvability of backward stochastic differential equations (BSDEs) with superquadratic generators. We first prove that given a superquadratic generator, there exists a bounded terminal value, such that the associated BSDE does not admit any bounded solution. On the other hand, we prove that if the superquadratic BSDE admits a bounded solution, then there exist infinitely many bounded solutions for this BSDE. Finally, we prove the existence of a solution for Markovian BSDEs where the terminal value is a bounded continuous function of a forward stochastic differential equation.
Although one-loop calculations provide a realistic description of bulk and single-particle nuclear properties, it is necessary to examine loop corrections to develop a systematic finite-density power-counting scheme for the nuclear many-body problem when loops are included. Moreover, it is imperative to study exchange and correlation corrections systematically to make reliable predictions for other nuclear observables. One must also verify that the natural sizes of the one-loop parameters are not destroyed by explicit inclusion of many-body corrections. The loop expansion is applied to a chiral effective hadronic lagrangian; with the techniques of Infrared Regularization, it is possible to separate out the short-range contributions and to write them as local products of fields that are already present in our lagrangian. (The appropriate field variables must be re-defined at each order in loops.) The corresponding parameters implicitly include short-range effects to all orders in the interaction, so these effects need not be calculated explicitly. The remaining (long-range) contributions that must be calculated are nonlocal and resemble those in conventional nuclear-structure calculations. Calculations at the two-loop level are carried out to illustrate these techniques at finite densities and to verify that the coupling parameters remain natural when fitted to the empirical properties of equilibrium nuclear matter.
The loop expansion is applied to a chiral effective hadronic lagrangian; with the techniques of Infrared Regularization, it is possible to separate out the short-range contributions and to write them as local products of fields that are already present in our lagrangian. (The appropriate field variables must be re-defined at each order in loops.) The corresponding parameters implicitly include short-range effects to all orders in the interaction, so these effects need not be calculated explicitly. The remaining (long-range) contributions that must be calculated are nonlocal and resemble those in conventional nuclear-structure calculations. Nonlinear isoscalar scalar $(σ)$ and vector $(ω)$ meson interactions are included, which incorporate many-nucleon forces and nucleon substructure. Calculations are carried out at the two-loop level to illustrate these techniques at finite nuclear densities and to verify that the coupling parameters remain natural when fitted to the empirical properties of equilibrium nuclear matter. Contributions from the $ωN$ tensor coupling are also discussed.
In this paper we introduce a new kind of Backward Stochastic Differential Equations, called ergodic BSDEs, which arise naturally in the study of optimal ergodic control. We study the existence, uniqueness and regularity of solution to ergodic BSDEs. Then we apply these results to the optimal ergodic control of a Banach valued stochastic state equation. We also establish the link between the ergodic BSDEs and the associated Hamilton-Jacobi-Bellman equation. Applications are given to ergodic control of stochastic partial differential equations.
In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which arises naturally in the study of optimal switching problem. The existence of the adapted solution is obtained by the penalization method, the monotone convergence, and the a priori estimations. The uniqueness is obtained by a verification method (the first component of any adapted solution is shown to be the vector value of a switching problem for BSDEs). As applications, we apply the above results to solve the optimal switching problem for stochastic differential equations of functional type, and we give also a probabilistic interpretation of the viscosity solution to a system of variational inequalities.
In this paper we extend the notion of ``filtration-consistent nonlinear expectation" (or "${\cal F}$-consistent nonlinear expectation") to the case when it is allowed to be dominated by a $g$-expectation that may have a quadratic growth. We show that for such a nonlinear expectation many fundamental properties of a martingale can still make sense, including the Doob-Meyer type decomposition theorem and the optional sampling theorem. More importantly, we show that any quadratic ${\cal F}$-consistent nonlinear expectation with a certain domination property must be a quadratic $g$-expectation. The main contribution of this paper is the finding of the domination condition to replace the one used in all the previous works, which is no longer valid in the quadratic case. We also show that the representation generator must be deterministic, continuous, and actually must be of the simple form.