Analysis of PDEs (math.AP)

Abstract: This paper studies the well-posedness of a class of nonlocal parabolic partial differential equations (PDEs), or equivalently equilibrium Hamilton-Jacobi-Bellman equations, which has a strong tie with the characterization of the equilibrium strategies and the associated value functions for time-inconsistent stochastic control problems. Specifically, we consider nonlocality in both time and space, which allows for modelling of the stochastic control problems with initial-time-and-state dependent objective functionals. We leverage the method of continuity to show the global well-posedness within our proposed Banach space with our established Schauder prior estimate for the linearized nonlocal PDE. Then, we adopt a linearization method and Banach's fixed point arguments to show the local well-posedness of the nonlocal fully nonlinear case, while the global well-posedness is attainable provided that a very sharp a-priori estimate is available. On top of the well-posedness results, we also provide a probabilistic representation of the solutions to the nonlocal fully nonlinear PDEs and an estimate on the difference between the value functions of sophisticated and na\"{i}ve controllers. Finally, we give a financial example of time inconsistency that is proven to be globally solvable.

Abstract: We investigate the global existence and optimal time decay rate of solution to the one dimensional (1D) two-phase flow described by compressible Euler equations coupled with compressible Navier-Stokes equations through the relaxation drag force on the momentum equations. First, we prove the global existence of strong solution to 1D Euler-Navier-Stokes system by using the standard continuity argument for small $H^{1}$ data while the second order derivative can be large. Then we derive the optimal time decay rate to the equilibrium state $(\rho_*, 0, n_*, 0)$. Compared with multi-dimensional case, it is much hard to get time decay rate by direct spectrum method due to a slower convergence rate of the fundamental solution in 1D case. To overcome this main difficulty, we need to first carry out time-weighted energy estimates for higher order derivatives, and based on these time-weighted estimates, we can close a priori assumptions and get the optimal time decay rate by spectrum analysis method. Moreover, due to non-conserved form and insufficient decay rate of the coupled drag force terms between the two-phase flows, we essentially need to use momentum variables $(m= \rho u, M=n\omega)$, not velocity variables $(u, \omega)$ in the spectrum analysis, to fully cancel out those non-conserved and insufficiently decay drag force terms.