We establish some perturbed minimization principles, and we develop a theory of subdifferential calculus, for functions defined on Riemannian manifolds. Then we apply these results to show existence and uniqueness of viscosity solutions to Hamilton-Jacobi equations defined on Riemannian manifolds.
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48 results for “Hamilton's principle”
In this paper, by employ the cutoff function and the maximum principle, some Hamilton-Souplet-Zhang type gradient estimates for porous medium type equation are deduced. As a special case, an Hamilton-Souplet-Zhang type gradient estimates of the heat equation is derived which is different from the result of Souplet-Zhan…
The purpose of this paper is to define the concept of multi-Dirac structures and to describe their role in the description of classical field theories. We begin by outlining a variational principle for field theories, referred to as the Hamilton-Pontryagin principle, and we show that the resulting field equations are t…
We discuss a recently proposed variational principle for deriving the variational equations associated to any Lagrangian system. The principle gives simultaneously the Lagrange and the variational equations of the system. We define a new Lagrangian in an extended configuration space ---which we call D'Alambert's--- com…
The time-dependent maximum principle for systems of parabolic equations subject to an avoidance setmath.DG
In this paper we prove two extensions of Hamilton's maximal principle for systems pf parabolic equations which sould be useful for the study of the Ricci flow and some other geometric evolution equations. One extension is a time-dependent maximum principle and the other is a time-dependent maximum principle subject to …
Study on geometric flows and rigidity of solitons.
problem Understanding rigidity and properties of gradient solitons.
method Identifying Hamilton's identity for geometric flows and proving its utility.
result Recovery of results about rigidity and properties for arbitrary geometric flows.
We introduce the new notion of Bianchi-convex sets, a generalization of convex sets of algebraic curvature tensors inspired by the second Bianchi identity. It turns out that Hamilton's maximum principle for the Ricci flow can be generalized for Bianchi-convex sets.
Optimizes control of infectious disease spread using stochastic methods.
problem Optimizing control of highly infectious diseases like COVID-19.
method Reformulated Hamilton-Jacobi-Bellman equation as stochastic minimum principle, leading to forward-backward stochastic differential equations.
result Numerous numerical solutions presented under various scenarios.
Based on works by Hopf, Weinberger, Hamilton and Evans, we state and prove the strong elliptic maximum principle for smooth sections in vector bundles over Riemannian manifolds and give some applications in Differential Geometry. Moreover, we use this maximum principle to obtain various rigidity theorems and Bernstein …
Market makers optimize trading with a new implicit scheme for complex inequalities.
problem Optimizing trading in a limit order book with stochastic and impulse control.
method Implicit numerical scheme coupled with policy iteration algorithm.
result Convergence to the unique viscosity solution of the HJBQVI.
In this work we extend the ODE Maximum principle of Hamilton to non-compact hypersurfaces using the Omari-Yau maximum principle at infinity. As an application of this result, we investigate Inverse Mean Curvature Flow (IMCF) of non-compact hypersurfaces in hyperbolic space. Specifically, we look at bounded graphs over …
We define systems of pre-extremals for the energy functional of regular rheonomic Lagrange manifolds and show how they induce well-defined Hamilton orthogonal nets. Such nets have applications in the modelling of e.g. wildfire spread under time- and space-dependent conditions. The time function inherited from such a Ha…
New perspective on Ricci flow on spheres using Minkowski spacetime.
problem Classifying singularity models for null mean curvature flow in Minkowski spacetime.
method Equivalence of 2d-Ricci flow and null mean curvature flow on lightcones.
result Classification of singularity models for null mean curvature flow.
Develops deep learning methods for solving S-shaped utility maximisation problems.
problem Optimizing portfolios with S-shaped utility and random benchmarks.
method Uses deep learning and duality methods to solve the Hamilton-Jacobi-Bellman equation and adjoint equation.
result Demonstrates the accuracy of deep learning methods for non-concave utility maximisation problems.
In this work, we use the Sternberg phase space (which may be considered as the classical phase space of particles in gauge fields) in order to explore the dynamics of such particles in the context of Hamilton-Dirac systems and their associated Hamilton-Pontryagin variational principles. For this, we develop an analogue…
Derives new optimization methods using variational integrators.
problem Optimization methods in machine learning.
method Variational integrators and principles of Hamilton and Lagrange-d'Alembert.
result Derives two families of optimization methods, including Nesterov's accelerated gradient method.
The paper compares numerical schemes for nonholonomic systems using retraction maps.
problem Optimal control of nonholonomic systems with numerical approximations.
method Retraction maps used as seed for geometric integrators of Hamilton equations.
result Performance comparison of symplectic and non-symplectic integrators.
Based on a suggestion of Richard Hamilton, we give an alternate proof of his matrix Harnack inequality for solutions of the Ricci flow with positive curvature operator. This Harnack inequality says that a certain endomorphism, consisting of an expression in the curvature and its first two covariant derivatives, of the …
This paper presents a methodology and numerical algorithms for constructing accelerated gradient flows on the space of probability distributions. In particular, we extend the recent variational formulation of accelerated gradient methods in (wibisono, et. al. 2016) from vector valued variables to probability distributi…
In this paper, we explore dynamics of the nonholonomic system called vakonomic mechanics in the context of Lagrange-Dirac dynamical systems using a Dirac structure and its associated Hamilton-Pontryagin variational principle. We first show the link between vakonomic mechanics and nonholonomic mechanics from the viewpoi…
The paper analyzes convergence of neural SDEs as sample size increases.
problem Understanding the limiting behavior of neural SDEs as sample size grows.
method Analyzes Hamilton-Jacobi-Bellman equation and uses stochastic maximum principle.
result Convergence of minima and optimal parameters of neural SDEs as sample size increases.
We present a variational formulation of electrodynamics using de Rham even and odd differential forms. Our formulation relies on a variational principle more complete than the Hamilton principle and thus leads to field equations with external sources and permits the derivation of the constitutive relations. We interpre…
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costsmath.OC
We apply stochastic Perron's method to a singular control problem where an individual targets at a given consumption rate, invests in a risky financial market in which trading is subject to proportional transaction costs, and seeks to minimize her probability of lifetime ruin. Without relying on the dynamic programming…
The paper establishes a version of the Hopf boundary point lemma for sections of a vector bundle over a manifold with boundary. This result may be viewed as a counterpart to the tensor maximum principle obtained by R. Hamilton in 1986. Potential applications include the study of various geometric flows and the construc…
This work addresses time inconsistency in risk measures and develops a dynamic programming principle for risk minimization problems.
problem Time inconsistency in optimized certainty equivalents (OCEs) risk measures.
method Enlargement of state space to achieve a substitute for time consistency, derivation of dynamic programming principle.
result Characterization of the value function via viscosity solutions of Hamilton--Jacobi--Bellman--Issacs equations.
Unified theory of -expectations derived from chaotic dynamics.
problem Non-convex stochastic control problems outside G-expectations.
method Spectral theory of transfer operators for uniformly hyperbolic flows, viscosity solutions to HJB equations.
result Affine Hessian, non-convex gradient structure of -expectation.
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative Lévy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthe…
Viscosity properties with singularities in a state-constrained expected utility maximization problemq-fin.MF
We consider the value function originating from an expected utility maximization problem with finite fuel constraint and show its close relation to a nonlinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity. On one hand, we give a so-called verification argument based on the dynamic progr…
We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a measurable selection but still implies the Hamilton-Jacobi-Bellman equation in the …
New method uses neural networks to solve complex PDEs from optimal control theory.
problem Solving high-dimensional Hamilton-Jacobi-Bellman PDEs.
method Iterative diffusion optimization techniques, focusing on path measures and divergences.
result Favourable properties of log-variance divergence for Monte Carlo estimators.
Study on curve shortening flow in 3D space curves, showing convexity preservation and avoidance principle.
problem Analyzing the behavior of space curves under curve shortening flow in .
method Analysis of properties of space curves evolved by the curve shortening flow, including convexity preservation and avoidance principle.
result Orthogonal projections of space curves remain convex, and the Avoidance principle is shown for spherical curves.
Study optimal consumption and investment strategies with leverage constraints using Epstein-Zin utility.
problem Optimal portfolio choice under leverage constraints and Epstein-Zin utility.
method Established viscosity solution to HJB equation, demonstrated smoothness, characterized optimal strategies, derived explicit solutions.
result Explicit solutions for optimal consumption and investment strategies under leverage constraints.
A new option pricing model handles non-constant risk aversion and transaction costs.
problem Deriving a pricing model for options with varying risk aversion.
method Developed a transformation method to solve the penalized nonlinear PDE and used finite difference discretization.
result Derived bounds on option prices and proposed a numerical scheme.
We present a simple connection between differential Harnack inequalities for hypersurface flows and natural concavity properties of their time-of-arrival functions. We prove these concavity properties directly for a large class of flows by applying a concavity maximum principle argument to the corresponding level set f…
A framework for goal-based investing with penalties for fund transfers.
problem Investors' mental accounting and multiple investment goals.
method Continuous-time portfolio selection with mental costs and penalties.
result The value function is the unique solution to a complex system of equations.
The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U processq-fin.PM
This paper optimizes DC pension plan investments using O-U process and loan.
problem Optimizing investment strategy for DC pension plans under specific market conditions.
method Dynamic programming and Hamilton-Jacobi-Bellman equation to derive optimal investment strategy.
result Explicit expression for optimal investment strategy derived.
We extend the stochastic Perron method to analyze the framework of stochastic target games, in which one player tries to find a strategy such that the state process almost surely reaches a given target no matter which action is chosen by the other player. Within this framework, our method produces a viscosity sub-solut…
Paper proves Hamilton's pinching theorem using mean curvature flow.
problem Hamilton's pinching theorem in extrinsic geometry.
method Mean curvature flow approach.
result Proof of Hamilton's pinching theorem.
The paper analyzes optimal consumption with past spending maximum as a reference.
problem Optimal consumption with past spending maximum as a reference.
method Path-dependent exponential utility, Hamilton-Jacobi-Bellman (HJB) equation, dual transform, smooth-fit principle.
result Closed-form solutions for optimal investment and consumption strategies in each region.
Geometric framework for dissipative systems on Lie algebroids.
problem Formulating geometric framework for dissipative systems.
method Herglotz-type variational principle on Lie algebroids.
result Recover classical equations as special cases.
Proves Hamilton's theorem using mean curvature flow.
problem Compactness of pinched hypersurfaces with bounded curvature.
method Mean curvature flow to prove Hamilton's theorem.
result Rigorous proof of Hamilton's theorem.
A direct approach to sharp Li-Yau Estimates on closed manifolds with negative Ricci lower boundmath.DG
Directly proves Li-Yau estimates on manifolds with negative Ricci curvature.
problem Proving Li-Yau estimates on manifolds with negative Ricci curvature.
method Uses classical maximum principle argument and Hamilton's techniques.
result Directly proves sharp Li-Yau estimates simplifying previous methods.
Paper relaxes convexity assumptions in mean curvature flow results.
problem Relaxing convexity assumptions in mean curvature flow results.
method Proves a generalized Harnack inequality and uses maximum principle.
result Characterizes family of shrinking spheres for ancient solutions.
Dirac structures on tangent bundles provide a unified framework for Lagrange--Dirac dynamical systems.
problem Unified geometric framework for Lagrange--Dirac dynamical systems
method Introducing a Lagrange--Dirac structure on the tangent bundle
result Unified framework for nonholonomic, degenerate Lagrangian, and symmetric systems
This paper aims to make a new contribution to the study of lifetime ruin problem by considering investment in two hedge funds with high-watermark fees and drift uncertainty. Due to multi-dimensional performance fees that are charged whenever each fund profit exceeds its historical maximum, the value function is expecte…
Ancient Ricci flows with bounded girth found in 3D and higher.
problem Finding ancient Ricci flows with bounded girth in dimensions 3 and higher.
method Invariant conditions on curvature and its derivatives under symmetry, proving Ricci flow invariance.
result Construction of new ancient Ricci flows with positive curvature operator and bounded girth.
Compact Ricci solitons on surfaces have at most two cone points, and are known as Hamilton's footballs. In this note we completely describe the degenerations of these footballs as one or both of the cone angles approaches zero. In particular, we show that Hamilton's famous non-compact cigar soliton is the Gromov--Hausd…
Study on LOB dynamics using mean-field game theory.
problem Modeling liquidity dynamics in limit order books.
method Mean-field stochastic differential equation and control problem formulation.
result Equilibrium density function of LOB can be derived.