Browsing by Subject random inputs
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We extend the study of the random Hermite second-order ordinary differential equation to the fractional setting. We first construct a random generalized power series that solves the equation in the mean square sense under mild hypotheses on the random inputs (coefficients and initial conditions). From this representation of the solution, which is a parametric stochastic process, reliable approximations of the mean and the variance are explicitly given. Then, we take advantage of the random variable transformation technique to go further and construct convergent approximations of the first probability density function of the solution. |
A class of risk-neutral generalized Nash equilibrium problems is introduced in which the feasible strategy set of each player is subject to a common linear elliptic partial differential equation with random inputs. In addition, each player’s actions are taken from a bounded, closed, and convex set on the individual strategies and a bound constraint on the common state variable. Existence of Nash equilibria and first-order optimality conditions are derived by exploiting higher integrability and regularity of the random field state variables and a specially tailored constraint qualification for GNEPs with the assumed structure. |
