学科分类
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3 个结果
  • 简介:Thispaperstudiesthenonlinearvariationalinequalitywithintegro-differentialtermarisingfromvaluationofAmericanstyledoublebarrieroption.First,theauthorsusethepenaltymethodtotransformthevariationalinequalityintoanonlinearparabolicinitialboundaryproblem(i.e.,penaltyproblem).Second,theexistenceanduniquenessofsolutiontothepenaltyproblemareprovedbyusingtheScheaferfixedpointtheory.Third,theauthorsprovetheexistenceofvariationalinequality'solutionbyshowingthefactthatthepenalizedPDEconvergestothevariationalinequality.Theuniquenessofsolutiontothevariationalinequalityisalsoprovedbycontradiction.

  • 标签: 美式期权 抛物型 线性变分不等式 估值 积分 双势垒
  • 简介:Theproblemofconstructingamodelreferenceadaptivecontrollawforanuncertain1-dimensionalparabolicsystemisconsideredinthisarticle.Thecontrollerdesignedhereinvolvesonlytheplantstatebutnoitsderivatives.Aprioriboundsontheplant'suncertainparametersareusedtoproposeswitchinglawswhichserveasanadaptivemechanism.Theexponentialdecaytozeroofthestateerrorwithanyprescribedrateisguaranteedbychoosingacontrollerparametercorrespondingly.Numericalstudiesarealsopresentedtoillustratetheapplicabilityofthecontrollaw.

  • 标签: 模型参考自适应控制 抛物型系统 变结构 自适应控制律 控制器参数 导数