Search results for "Bounded variation"
showing 5 items of 25 documents
Measure differential inclusions: existence results and minimum problems
2020
AbstractWe focus on a very general problem in the theory of dynamic systems, namely that of studying measure differential inclusions with varying measures. The multifunction on the right hand side has compact non-necessarily convex values in a real Euclidean space and satisfies bounded variation hypotheses with respect to the Pompeiu excess (and not to the Hausdorff-Pompeiu distance, as usually in literature). This is possible due to the use of interesting selection principles for excess bounded variation set-valued mappings. Conditions for the minimization of a generic functional with respect to a family of measures generated by equiregulated left-continuous, nondecreasing functions and to…
Malliavin smoothness on the Lévy space with Hölder continuous or BV functionals
2020
Abstract We consider Malliavin smoothness of random variables f ( X 1 ) , where X is a pure jump Levy process and the function f is either bounded and Holder continuous or of bounded variation. We show that Malliavin differentiability and fractional differentiability of f ( X 1 ) depend both on the regularity of f and the Blumenthal–Getoor index of the Levy measure.
Regularization of chattering phenomena via bounded variation controls
2018
In control theory, the term chattering is used to refer to strong oscillations of controls, such as an infinite number of switchings over a compact interval of times. In this paper we focus on three typical occurences of chattering: the Fuller phenomenon, referring to situations where an optimal control switches an infinite number of times over a compact set; the Robbins phenomenon, concerning optimal control problems with state constraints, meaning that the optimal trajectory touches the boundary of the constraint set an infinite number of times over a compact time interval; the Zeno phenomenon, referring as well to an infinite number of switchings over a compact set, for hybrid optimal co…
Dimension reduction for $-Delta_1$
2012
A 3D-2D dimension reduction for $-\Delta_1$ is obtained. A power law approximation from $-\Delta_p$ as $p \to 1$ in terms of $\Gamma$- convergence, duality and asymptotics for least gradient functions has also been provided.
A Stieltjes Approach to Static Hedges
2014
Static hedging of complicated payoff structures by standard instruments becomes increasingly popular in finance. The classical approach is developed for quite regular functions, while for less regular cases, generalized functions and approximation arguments are used. In this note, we discuss the regularity conditions in the classical decomposition formula due to P. Carr and D. Madan (in Jarrow ed, Volatility, pp. 417–427, Risk Publ., London, 1998) if the integrals in this formula are interpreted as Lebesgue integrals with respect to the Lebesgue measure. Furthermore, we show that if we replace these integrals by Lebesgue–Stieltjes integrals, the family of representable functions can be exte…