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CONTROL SYSTEMS WHEN THE OPTIMAL STATIONARY POINT IS NOT UNIQUE

MUSA A. MAMEDOV Received 21 August 2002

We study the turnpike property for the nonconvex optimal control problems described by the differential inclusion ˙xa(x). We study the infinite horizon problem of maximizing the functional0Tu(x(t))dtasT grows to infinity. The turnpike theorem is proved for the case when a turnpike set consists of several optimal stationary points.

1. Introduction

LetxRnand letΩRnbe a given compact set. Denote byΠc(Rn) the set of all compact subsets ofRn. We consider the following problem:

x˙a(x), x(0)=x0, (1.1)

JT

x(·)= T

0 ux(t)dt−→max. (1.2) Here,x0Ωis an assigned initial point. The multivalued mappinga:Ω Πc(Rn) has compact images and is continuous in the Hausdorffmetric. We also assume that at every pointxΩthe seta(x) is uniformly locally connected (see [2]). The functionu:ΩR1is a given continuous function.

In this paper, we study the turnpike property for problem (1.1) and (1.2). The term of turnpike property was first coined by Samuelson (see [17]) where it is shown that an efficient expanding economy would spend most of the time in the vicinity of a balanced equilibrium path. This property was further investigated by Radner [14], McKenzie [12], Makarov and Rubinov [7], and others for op- timal trajectories of a von Neuman-Gale model with discrete time. In all these studies, the turnpike property was established under some convexity assump- tions.

Copyright©2003 Hindawi Publishing Corporation Abstract and Applied Analysis 2003:11 (2003) 631–650 2000 Mathematics Subject Classification: 49J24, 37C70 URL:http://dx.doi.org/10.1155/S1085337503210046

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In [11,13], the turnpike property was defined using the notion of statistical convergence (see [3]) and it was proved that all optimal trajectories have the same unique statistical cluster point (which is also a statistical limit point). In these works, the turnpike property is proved when the graph of the mappinga is not a convex set.

The turnpike property for continuous-time control systems was studied by Rockafellar [15,16], Cass and Shell [1], Scheinkman [6,18], and others where, besides convexity assumptions, some additional conditions are imposed on the Hamiltonian. To prove turnpike theorem without these kind of additional con- ditions became a very important problem. This problem was further investigated by Zaslavski [19,21], Mamedov [8,9,10], and others.

In [10], problem (1.1) and (1.2) is considered without convexity assumptions and the turnpike property is established assuming that the optimal stationary point is unique. In this paper, we consider the case when a turnpike set consists of several optimal stationary points.

Definition 1.1. An absolutely continuous functionx(·) is called a trajectory (so- lution) to system (1.1) on the interval [0,T] ifx(0)=x0and almost everywhere on the interval [0,T] the inclusion ˙x(t)a(x(t)) is satisfied.

We denote the set of trajectories defined on the interval [0,T] byXT and we let

JT= sup

x(·)XT

JT

x(·). (1.3)

Sincex(t)Ωand the setΩis bounded, the trajectories of system (1.1) are uniformly bounded, that is, there exists a numberL <+such that

x(t)L, t[0,T], x(·)XT, T >0. (1.4) On the other hand, since the mappingais continuous, then there is a number K <+such that

x(t)˙ K for almost allt[0,T],x(·)XT, T >0. (1.5) Note that in this paper we focus our attention on the turnpike property of optimal trajectories. So we did not study the existence of bounded trajectories defined on [0,]. This problem for different control problems has been studied by Leizarowitz [4,5], Zaslavsky [19,20], and others.

Definition 1.2. The trajectoryx(·) is called optimal ifJ(x(·))=JTand is called ξ-optimal (ξ >0) if

Jx(·)JTξ. (1.6)

Definition 1.3. The pointxis called a stationary point if 0a(x).

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Stationary points play an important role in the study of asymptotical behavior of optimal trajectories. We denote the set of stationary points byM:

M=

xΩ: 0a(x). (1.7)

We assume that the setM is nonempty. Since the mappinga(x) is continuous, then the setMis also closed. ThereforeMis a compact set.

Definition 1.4. The pointxMis called an optimal stationary point if ux=u=max

xMu(x). (1.8)

We denote the set of optimal stationary point byMop. Since the functionuis continuous, then this set is not empty. In Turnpike theory, it is usually assumed that the optimal stationary pointxis unique. In this paper, we consider non- convex problem (1.1) and (1.2) (i.e., the functionuis not strictly concave and the graph of the mappingais not convex) and therefore the optimal stationary point may be not unique.

We assume that the setMopconsists ofmdifferent pointsx1,x2,...,xm; that is,

xi M, uxi=u, i; u(x)< u ifxM\

x1,...,xm. (1.9) Consider an example for which this assumption holds.

Example 1.5. Assume that the setMis convex and u(x)=maxui(x) :i∈ {1,2,...,l}

, xΩ, (1.10)

where the functionsui are continuous and strictly concave. For everyi, there exists a unique pointxiMfor which

uixi=ui =max

xMui(x). (1.11)

Clearly, the function uis continuous and u=max{ui :i∈ {1,2,...,l}}. We also note that the function umay be not concave. In this example the num- bermand the pointsx1,x2,...,xmin (1.9) can be chosen out of the pointsxi (i∈ {1,2,...,l}) for whichu(xi)=u.

2. Main conditions and Turnpike theorem

The turnpike theorem will be proved under two main conditions, Conditions2.1 and2.2. The first condition is about the existence of “good” trajectories starting from the initial statex0. The second is the main condition which provides the turnpike property.

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Condition 2.1. There existsb <+such that, for everyT >0, there is a trajectory x(·)XTsatisfying the inequality

JT

x(·)uTb. (2.1)

Note that the satisfaction of this condition depends in an essential way on the initial pointx0, and in a certain sense it can be considered as a condition for the existence of trajectories converging to some pointsxi,i=1,2,...,m. Thus, for example, if there exists a trajectory that hits some optimal stationary pointxi in finite time, thenCondition 2.1is satisfied.

Set

=

xΩ:u(x)u. (2.2)

We fixpRn,p=0, and define a support function c(x)= max

ya(x)py. (2.3)

Here, the notationpymeans the scalar product of the vectorspandy. By|c|we denote the absolute value ofc.

We also define the function

ϕ(x, y)=u(x)u

c(x) +u(y)u

c(y) . (2.4)

Condition 2.2. There exists a vectorpRnsuch that (H1)c(x)<0 for allxᏮandx=xi ,i=1,2,...,m;

(H2) there exist points ˜xiΩsuch that

px˜i=pxi , cx˜i>0, i=1,2,...,m; (2.5) (H3) for all pointsx, y, for which

px=py, c(x)<0, c(y)>0, (2.6) the inequalityϕ(x, y)<0 is satisfied; and also if

xk−→xi for somei=1,2,...,m, yk−→y, y=xi , i=1,2,...,m, pxk=pyk, c(xk)<0, c(yk)>0,

(2.7)

then lim supk→∞ϕ(xk, yk)<0.

Note that ifCondition 2.2is satisfied for any vectorp, then it is also satisfied for allλp, (λ >0). That is why we assume thatp =1.

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Condition (H1) means that derivatives of system (1.1) are directed to one side with respect top; that is, ifxᏮandx=xi,i=1,2,...,m, thenpy <0 for all ya(x). It is also clear thatpy0 for allya(xi) andc(xi)=0,i=1,2,...,m.

The main condition here is (H3). It can be considered as a relation between the mappingaand the functionuwhich provides the turnpike property. In [8]

it is shown that conditions (H1) and (H3) hold if the graph of the mappinga is a convex set (inRn×Rn) and the functionuis strictly concave. On the other hand, an example given in [10] shows thatCondition 2.2may hold for mappings ahaving nonconvex graphs and for functionsuthat are not strictly concave (in this example the functionuis convex).

The main sense of the turnpike property is that optimal trajectories can stay just during a restricted time interval on the outside of theε-neighborhood of the turnpike setMop. When the setMopconsists of several different points, it is inter- esting to study a state transition of the trajectories from one optimal stationary point to another. We introduce the following definition. Take any numberδ >0 and letSδ(x) stands for the closedδ-neighborhood of the pointx.

Definition 2.3. Say that on the interval [t1,t2] a trajectoryx(t) makes a state transition fromxi toxj (i=j) ifx(t1)Sδ(xi ),x(t2)Sδ(xj), and

x(t)/ Sδxk, t t1,t2

, k=1,...,m. (2.8) For a given number δ >0 and a givenξ-optimal trajectoryx(·)XT, we denote byNT(δ,ξ,x(·)) the number of disjoint intervals [t1,t2] on which the trajectoryx(·) makes a state transition fromxitoxj (i= j, i, j=1,2,...,m).

We callNT(δ,ξ,x(·)) a number of state transitions.

Clearly inDefinition 2.3a small numberδshould be used. We take δ1

4minxixj:i=j, i, j=1,2,...,m. (2.9) Now we formulate the main result of the present paper.

Theorem2.4. Suppose that Conditions2.1and2.2are satisfied and there arem different optimal stationary pointsxi. Then

(1)there existsC <+such that T

0 ux(t)udtC (2.10)

for everyT >0and every trajectoryx(·)XT; (2)for everyε >0, there existsKε,ξ<+such that

meast[0,T] :x(t)x1ε,...,x(t)xmεKε,ξ (2.11) for everyT >0and everyξ-optimal trajectoryx(·)XT;

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(3)for everyξ >0andδ >0(satisfying (2.9)), there exists a numberNδ,ξ<+ such that

NT

δ,ξ,x(·)Nδ,ξ (2.12)

for everyT >0and everyξ-optimal trajectoryx(·)XT;

(4)ifx(·)is an optimal trajectory andx(t1)=x(t2)=xifor somei=1,2,..., m, thenx(t)=xifor allt[t1,t2].

The proof of this theorem is given inSection 4. InSection 3, we present pre- liminary results.

3. Preliminary results

3.1. LetxᏮandx=xi ,i=1,2,...,m, that isx\Mop. By the condition (H2) we havec(x)<0. Since the functionc(x) is continuous, there is a number εx>0 such thatc(x)<0 for allxVεx(x)Ω. We define the setᏰas follows:

=cl x\MopVεx(x)Ω. (3.1) It is not difficult to show that the following conditions hold:

(a)xintᏰfor allx\Mop; (b)c(x)<0 for allx\Mop; (c)Ᏸ=MopandᏮᏰ.

Here,

=

xΩ:c(x)0 (3.2)

and we recall thatᏮ= {xΩ:u(x)u}. Clearlyᏹ. Lemma3.1. For everyε >0, there existsνε>0such that

u(x)uνε (3.3)

for everyx,x /intᏰ, andxx1ε,...,xxmε.

Proof. Assume on the contrary that for anyε >0, there exists a sequencexksuch thatxk/ intᏰ,xkxiε(i=1,...,m), andu(xk)uask→ ∞. Since the sequencexkis bounded, it has a limit point, sayx. Clearlyx=xi (i=1,...,m), x/ intᏰ, and alsou(x)=u, which impliesxᏮ. This contradicts property

(a) of the setᏰ.

Lemma3.2. For everyε >0, there existsηε>0such that

c(x)<ηε, xᏰ, xx1ε,...,xxmε. (3.4)

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Proof. Assume on the contrary that for anyε >0, there exists a sequencexksuch thatxkᏰ,xkxi ε(i=1,...,m), andc(xk)0. Letxbe a limit point of the sequencexk. ThenxᏰ,x=xi (i=1,...,m), andc(x)=0. This contra-

dicts property (b) of the setᏰ.

3.2. Given the interval [p2, p1](−∞,+), we define two classes of subsets of the time interval [0,T]. We denote these classes byT1[p2, p1] andT2[p2, p1].

Definition 3.3. The setπ[0,T] belongs to the classT1[p2, p1] if the following conditions hold:

(a) the setπcan be presented as a union of two sets,π=π1π2, such that x(t)intᏰ, tπ1, x(t)/ intᏰ, tπ2; (3.5) (b) the setπ1consists of at most countable number of intervals∆k, with end-

pointstk1< t2k, such that

(i) the intervals (px(tk2), px(t1k)),k=1,2,..., are disjoint (clearly in this case, the intervals∆0k=(tk1,tk2) are also disjoint);

(ii) [px(tk2), px(t1k)][p2, p1] for allk=1,2,....

Definition 3.4. The setω[0,T] belongs to the classT2[p2, p1] if the following conditions hold:

(a)x(t)/ intᏰ, for alltω;

(b) the setωcontains at most countable number of intervals [sk2,sk1] such that the intervals (px(sk2), px(sk1)),k=1,2,..., are nonempty and disjoint, and

p1p2=

k

pxsk1

pxsk2

. (3.6)

Note that the inclusionx(t)intᏰmeans thatu(x(t))> uwhereas the con- ditionx(t)/ intᏰimpliesu(x(t))u.

Lemma3.5. Assume thatx(·)XTis a continuously differentiable function,π(= π1π2)T1[p2, p1], andωT2[p2, p1]. Then,

πωux(t)dtu·meas(πω)

Q uux(t)dt

Eδ2x(t)dt, (3.7) where

(a)QE=ωπ2= {tπω:x(t)/ intᏰ}; (b)for everyε >0, there exists a numberδε>0such that

δ2(x)δε, x, for whichxxiε(i=1,...,m); (3.8)

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(c)for everyδ >0, there exists a numberK(δ)<such that meas (πω)Zδ

K(δ)·meas (QE)Zδ

, (3.9)

hereZδ= {t[0,T] :|px(t)pi| ≥δ, i=1,...,m}andpi =pxi ,i=1,...,m.

The proof of this lemma is similar to the proof of [10, Lemma 5.4], so we do not give it. We also present the next two lemmas without proofs. Their proofs can be done in a similar way to the proofs of [10, Lemmas 6.6 and 6.7].

Lemma3.6. Assume thatx(·)XTis a continuously differentiable function. Then, the interval[0,T]can be divided into subintervals such that

[0,T]= ∪n

πnωn

F1F2F3

E, (3.10)

T

0 ux(t)dt=

n

πnωn

ux(t)dt+

F1F2F3

ux(t)dt+

Eux(t)dt. (3.11) Here, we have

(1)πnT1[p2n, pn1]andωnT2[p2n, p1n],n=1,2,...;

(2)for eachi∈ {1,2,3}, the setFiT1[pi , pi]for some interval[pi, pi]and x(t)intᏰ, tF1F2F3, (3.12)

pipi C <+, i=1,2,3; (3.13) (3)the setEsuch that

x(t)/ intᏰ, tE; (3.14)

(4)for everyδ >0, there is a numberC(δ)such that meas F1F2F3

Zδ

C(δ), (3.15)

where

Zδ=

t[0,T] :px(t)pi δ, i=1,...,m (3.16) and the numberC(δ)<+does not depend on the trajectoryx(·), onT, and on the intervals of (3.10).

Lemma3.7. Assume thatx(·)XT is a continuously differentiable function and the setsFi(i=1,2,3)are defined inLemma 3.6. Then, there is a numberL <+ such that

F1F2F3

ux(t)udt < L, (3.17) where the numberLdoes not depend on the trajectoryx(·), onT, and on the inter- vals in (3.10).

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4. Proof ofTheorem 2.4

FromCondition 2.1, it follows that, for everyT >0, there is a trajectoryxT(·) XT, for which

[0,T]uxT(t)dtuTb. (4.1) (1) First we consider the case whenx(t) is a continuously differentiable function.

In this case we can use the results obtained inSection 3.

From Lemmas3.6and3.7, we have

[0,T]ux(t)dt

n

πnωn

ux(t)dt+

Eux(t)dt +L+u·measF1F2F3

.

(4.2) Then fromLemma 3.5, we obtain (see, also, (3.10))

[0,T]ux(t)dt

n

umeasπnωn

Qn

uux(t)dt

En

δ2x(t)dt

+

Eux(t)dt+L+u·measF1F2F3

=u

n

measπnωn+ measF1F2F3

+ measE

Q uux(t)dt

Aδ2x(t)dt+L

=umeas[0,T]

Q uux(t)dt

Aδ2x(t)dt+L.

(4.3) Therefore,

[0,T] ux(t)udt≤ −

Q uux(t)dt

Aδ2x(t)dt+L. (4.4) Here,Q=(nQn)EandA= ∪nEn. Taking into account (4.1), we have

[0,T]ux(t)dt

[0,T]uxT(t)dt≤ −

Q uux(t)dt

Aδ2x(t)dt+L+b,

(4.5)

that is,

JTx(·)JTxT(·)≤ −

Q uux(t)dt

Aδ2x(t)dt+L+b. (4.6)

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Here,

Q=

nQnE, A= ∪nEn, (4.7) and the following conditions hold:

(a) (seeLemma 3.5(a), (3.12) and (3.14)) QA=

t[0,T] :x(t)/intᏰ; (4.8) (b) (see (3.10))

[0,T]= ∪n

πnωn

F1F2F3

E; (4.9)

(c) for every δ >0, there exist K(δ)<+and C(δ)<+ such that (see Lemma 3.5(c) and (3.15))

meas πnωnZδK(δ) meas QnEnZδ, meas F1F2F3

ZδC(δ); (4.10)

we recall thatZδ= {t[0,T] :|px(t)pi| ≥δ, i=1,2,...,m}; (d) for everyε >0, there existδε>0 such that (seeLemma 3.5(b))

δ2(x)δε, x, xxi ε, i=1,2,...,m. (4.11) The first assertion of the theorem follows from (4.4), (4.8), and (4.11) for the case under consideration (i.e.,x(·) is continuously differentiable). We show the second assertion.

Letε >0 andδ >0 be given numbers and letx(·) be a continuously differen- tiableξ-optimal trajectory. We denote

ε=

t[0,T] :x(t)xiε, i=1,2,...,m. (4.12) First we show that there is a number ˜Kε,ξ<+(which does not depend onT >

0) such that the following inequality holds meas (QA)ε

K˜ε,ξ. (4.13)

Assume that (4.13) is not true. In this case, there exist sequencesTk→ ∞and Kε,ξk → ∞, and sequences of trajectories{xk(·)}(everyxk(·) is aξ-optimal tra- jectory in the interval [0,Tk]) and{xTk(·)}(satisfying (4.1) for everyT=Tk) such that

meas QkAkkεKε,ξk ask−→ ∞. (4.14)

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From Lemma3.1and (4.11), we have

uuxk(t)νε iftQkkε,

δ2xk(t)δε2 iftAkkε. (4.15) Denoteν=min{νεε2}>0. From (4.6), it follows that

JTk

xk(·)JTk

xTk(·)L+bνmeas QkAkkε. (4.16) Therefore, for sufficient large numbersk, we have

JTk

xk(·)JTk

xTk(·)JTk2ξ, (4.17)

which means thatxk(t) is not aξ-optimal trajectory. This is a contradiction.

Thus (4.13) is true.

Now, we show that, for everyδ >0, there is a numberKδ,ξ1 <+such that

measZδKδ,ξ1 . (4.18)

From (4.9) and (4.10), we have measZδ=

n

meas πnωn

Zδ

+ meas F1F2F3

Zδ+ measEZδ

n

K(δ) meas QnEn

Zδ

+C(δ) + measEZδ

K˜(δ) meas n

QnEn

Zδ

EZδ

+C(δ)

=K˜(δ) meas (QA)Zδ

+C(δ).

(4.19)

Here ˜K(δ)=max{1,K(δ)}.

SinceZδδ, then taking into account (4.13) we obtain (4.18), where Kδ,ξ1 =K(δ) ˜˜ Kδ,ξ+C(δ). (4.20) We denote

0ε/2=

t[0,T] :x(t)xi> ε

2, i=1,2,...,m

. (4.21)

Clearly,ᐄ0ε/2 is an open set and therefore it can be presented as a union of at most countable number of open intervals ˜τk. Out of these intervals, we chose the intervalsτk,k=1,2,..., which have nonempty intersections withᐄε. Then

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we have

ε⊂ ∪kτk0ε/2. (4.22) Since a derivative of the functionx(t) is bounded, it is not difficult to see that there is a numberσε>0 such that

measτkσε, k. (4.23)

But the interval [0,T] is bounded and therefore the number of intervalsτkis finite too. Letk=1,2,3,...,NT(ε). We divide every intervalτkinto two parts:

τk1=

tτk:x(t)intᏰ, τk2=

tτk:x(t)/ intᏰ. (4.24) From (4.8) and (4.22), we obtain

kτk2(QA)0ε/2, (4.25) and therefore from (4.13) it follows that

measkτk2K˜ε/2,ξ. (4.26)

Now we applyLemma 3.2. We have

px(t)˙ ≤ −ηε/2, t∈ ∪kτk1. (4.27) Denotep1k=suptτkpx(t) andp2k=inftτkpx(t). It is clear that

p1kpk2C,˜ k=1,2,3,...,NT(ε), (4.28)

px(t)˙ K, t. (4.29)

Here, the numbers ˜CandK do not depend onT >0,x(·),ε, andξ. We divide the intervalτkinto three parts:

τk=

tτk:px(t)˙ <0, τk0=

tτk:px(t)˙ =0, τk+=

tτk:px(t)˙ >0. (4.30) Then we have

p1kp2k

τk

px(t)dt˙ =

τk

px(t)dt˙ +

τk+

px(t)dt˙ . (4.31) We denoteα= −

τk px(t)dt˙ andβ=

τk+px(t)dt. Clearly˙ α >0,β >0, and p1kp2k

α+β ifα < β,

αβ ifαβ. (4.32)

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From (4.29), we obtain

0< βKmeasτk+. (4.33)

On the other hand,τk1τkand therefore from (4.27) we have

αηε/2measτkηε/2measτk1. (4.34) Consider the following two cases.

(1) Ifαβ, then from (4.32), (4.33), and (4.34) we obtain

C˜p1kpk2αβηε/2measτk1Kmeasτk+. (4.35) Sinceτk+τk2, then from (4.26) it follows that measτk+K˜ε/2. Therefore, from (4.35), we have

measτk1Cε,ξ , (4.36)

whereCε,ξ =(C+K·K˜ε/2)/ηε/2.

(2) Ifα < β, then from (4.33) and (4.34) we obtain

ηε/2measτk1< Kmeasτk+K·K˜ε/2,ξ, (4.37) or

measτk1< Cε,ξ, (4.38)

whereCε,ξ =K·K˜ε/2ε/2.

Thus from (4.36) and (4.38) we obtain

measτk1Cε,ξ=maxCε,ξ,Cε,ξ, k=1,2,...,NT(ε), (4.39) and then

measkτk1NT(ε)Cε,ξ. (4.40) Now we show that, for everyε >0 andξ >0, there is a numberKε,ξ <+such that

measkτk1Kε,ξ . (4.41) Assume that (4.41) is not true. Then from (4.40), it follows thatNT(ε)→ ∞as T→ ∞. Consider the intervalsτkfor which the following conditions hold:

measτk11

2σε, measτk2λmeasτk1, (4.42)

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whereλ is any fixed number. SinceNT(ε)→ ∞, then from (4.23) and (4.26) it follows that the number of intervalsτk satisfying (4.42) infinitely increases as T→ ∞.

On the other hand, the number of intervalsτk, for which the conditionsα < β and

measτk2> λmeasτk1, λ=ηε/2

K , (4.43)

hold, is finite. Therefore, the number of intervalsτk, for which the conditions αβand (4.42) hold, infinitely increases as T→ ∞. We denote the number of such intervals by NT and for the sake of definiteness assume that these are intervalsτk,k=1,2,...,NT.

We setλ=ηε/2/2Kfor everyτk. Then from (4.35) and (4.42), we have p1kp2kηε/2measτk1K·ηε/2

2K measτk1=1

2ηε/2measτk1. (4.44) Taking into account (4.23), we obtain

pk1p2keε, k=1,2,...,NT, (4.45) where

eε=1

2ηε/2σε>0, NT−→ ∞asT−→ ∞. (4.46) Letδ=(1/8)eε. From (4.45), it follows that, for everyτk, there exists an inter- val∆k=[s1k,s2k]τksuch that

px(t)piδ, i=1,2,...,m, tk, pxs1k=sup

tk

px(t), pxs2k=inf

tkpx(t), pxs1kpxs2k=δ. (4.47) From (4.29), we have

δ=

[s1k,s2k]px(t)dt˙

[s1k,s2k]

px(t)˙ dt

k

px(t)˙ dtK·meas∆k. (4.48) Then meas∆kδ/K >0. Clearly,∆kZδand therefore

measZδmeasNk=T1k=N T

k=1

meas∆kNT δ

K. (4.49)

This means that measZδ→ ∞asT→ ∞, which contradicts (4.18).

Thus (4.41) is true. Then taking into account (4.26), we obtain measkτk=

k

measτk1+ measτk2K˜ε/2+Kε,ξ . (4.50)

参照

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