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Shigeo Kusuoka
Toru Maruyama Editors
Advances in
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Volume 19
Managing Editors
Editors
Advances in
Mathematical Economics
Volume 19
123
Editors
Shigeo Kusuoka Toru Maruyama
Professor Emeritus Professor Emeritus
The University of Tokyo Keio University
Tokyo, Japan Tokyo, Japan
Index . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 137
v
Adv. Math. Econ. 19, 132 (2015)
Abstract We study the integration of fuzzy level sets associated with a fuzzy
random variable when the underlying space is a separable Banach space or a
weak star dual of a separable Banach space. In particular, the expectation and the
conditional expectation of fuzzy level sets in this setting are presented. We prove
the SLLN for pairwise independent identically distributed fuzzy convex compact
valued level sets through the SLLN for pairwise independent identically distributed
convex compact valued random set in separable Banach space. Some convergence
results for a class of integrand martingale are also presented.
1 Introduction
The study of fuzzy set-valued variables was initiated by Feron [10], Kruse [18],
Kwakernaak [19, 20], Puri and Ralescu [25], Zadeh [30]. In particular, Puri
and Ralescu [25] introduced the notion of fuzzy set valued random variables
whose underlying space is the d -dimensional Euclidean space Rd . Concerning the
convergence theory of fuzzy set-valued random variables and its applications we
refer to [15, 2123, 2527].
In this paper we present a study of a class of random fuzzy variables whose
underlying space is a separable Banach space E or a weak star dual Es of a
separable Banach space.
The paper is organized as follows. In Sect. 2 we summarize and state the needed
measurable results in the weak star dual of a separable Banach space. In particular,
we present the expectation and the conditional expectation of convex weak star
compact valued Gelfand-integrable mappings. In Sect. 3 we present the properties
of random fuzzy convex upper semi continuous integrands (variables) in Es . In
Sect. 4, the fuzzy expectation and the fuzzy conditional expectation for random
fuzzy convex upper semi continuous variables are provided in this setting. Section 5
is devoted to the SLLN for fuzzy convex compact (compact) valued random level
sets through the SLLN for convex compact (compact) valued random sets. The
above results lead to a new class of integrand martingales that we develop in Sect. 6.
Some convergence results for integrand martingales are provided.
Our paper provides several issues in Fuzzy set theory, but captures different tools
from Probability and Set-Valued Analysis and shows the relations among them with
a comprehensive concept.
.x ; C / D supf< x ; y >; y 2 C g .x 2 E /:
jC j D supfkxk W x 2 C g:
We denote by Lcwk.E/
1
.F / the space of all F -measurable cwk.E/-valued
multifunctions X W ! cwk.E/ such that ! ! jX.!/j is integrable. A sequence
.Xn /n2N in Lcwk.E/
1
.F / is bounded if the sequence .jXn j/n2N is bounded in L1R .F /.
A F -measurable closed convex valued multifunction X W ! cc.E/ is integrable
if it admits an integrable selection, equivalently if d.0; X / is integrable.
We denote by Es , (resp. Eb ), (resp. Ec ) the vector space E endowed with
the topology .E ; E/ of pointwise convergence, alias w -topology (resp. the
topology s associated with the dual norm jj:jjEb ), (resp. the topology c of compact
convergence) and by Em the vector space E endowed with the topology m D
.E ; H /, where H is the linear space of E generated by D1 , that is the Hausdorff
locally convex topology defined by the sequence of semi-norms
Pn .x / D maxfjhek ; x ij W k ng; x 2 E ; n 2 N:
x 2 X.!/ iff hfk ; x i .fk ; X.!// for all k 2 N. Consequently, for any Borel
set G 2 B.Es /, the set
X G D f! 2 W X.!/ \ G ;g
Similarly the sequential weak lower limit w -li Xn of .Xn /n2N is defined by
The sequence .Xn /n2N weak star (w K for short) converges to a w -closed convex
set X1 if the following holds
Briefly
w K- lim Xn D X1 a.s.
n!1
Proof. Follows the lines of the proof of Theorem 2. By (i) jX j g for all 20; 1
with X WD X.:; /. Let n ! . Then X.!; n / scalarly converges to X.!; /,
that is, .x; X.!;
R n // ! .x; X.!; // for every x 2 E and for every ! 2 .
Remember that X dP is convex weakly compact for every 20; 1. Further by
Strassens theorem, we have
Z Z
.x; X dP / D .x; X /dP; 8x 2 E: (3)
is convex compact,1 where SL1 .X / denotes the set of all integrable selections of the
convex compact valued multifunction L .X /. We only sketch the proof. R See [2, 8]
for details. Indeed, SL1 .X / is convex weakly compact in L1E so that L .X /dP is
convex weakly compact in E. Making use of Strassens formula we have
Z Z
.x ; L .X /dP / D .x ; L .X //dP; 8x 2 E :
is continuous on the closed unit ball equipped with the topology of compact
convergence = weak star topology that is compact metrizable with respect to these
topologies. From the Banach-Dieudonn theorem we conclude that this mapping is
continuous on Ec . Thus .a/ is proved. Taking account of (3), .b/ follows easily.
The following is a dual variant of the preceding result.
Proposition 3. Let X W Es ! 0; 1 be a random fuzzy convex upper
semicontinuous variable with the following properties:
(1) fx 2 Es W X.!; x / > 0g is weak -compact, for each ! 2 ,
(2) g WD jLC0 .X /j 2 L ,
1
(3) The cwk.Es /-valued mapping 7! L .X / is scalarly left continuous on 0; 1.
Then the following hold
R R
(a) L .X /dP D f f dP W f 2 SL1 .X / g . 20; 1/ is convex weak -compact.
R
(b) The cwk.Es /-valued mapping 7! L .X /dP is scalarly left continuous
on 0; 1.
Proof. With the properties (1)(3), we see that the level sets L .X / ( 20; 1)
belong to the space Lcwk.E / .F / of all convex weak -compact valued integrably
bounded multifunctions so that the Aumann integral of L .X /
Z Z
L .X /dP D f f dP W f 2 SL1 .X / g
1
R
The compactness of L .X/dP according to Debreu integral is not available here, see also the
remarks of Theorem 8 in Hiai-Umegaki [13].
On the Integration of Fuzzy Level Sets 11
Now we proceed to the study of the expectation and conditional expectation of the
level sets associated with random fuzzy convex upper semicontinuous integrands.
The following lemma is crucial for this purpose. Compare with related results by
Puri-Ralescu [25] dealing with fuzzy sets on Rd .
Lemma 1. Let X be a random fuzzy convex upper semicontinuous integrand X W
Es ! 0; 1 with the following properties:
(1) fx 2 Es W X.!; x / > 0g is weak -compact, for each ! 2 ,
(2) g WD jL0C .X /j 2 L1 ,
(3) Assume that 0 < 1 < 2 < : : : < k ! and that
Proof. Using (3) and applying Strassens theorem [8] and Lebesgues dominated
convergence theorem gives
Z Z
lim .x; Xk .!/dP / D lim .x; Xk .!//dP (4)
k!1 k!1
Z Z
D .x; X .!//dP D .x; X .!/dP /:
R
so that C D w K limk!1 Xk .!/dP . Applying Theorem 1 and (4), we have
Z Z
.x; C / D lim .x; Xk .!/dP / D .x; X .!/dP /
k!1
12 C. Castaing et al.
R
for all x 2 E, so that X dP D C by the separability of E, that is,
\Z Z
Xk dP D X dP:
k1
The following theorem yields a crucial property of the expectation of the level
sets associated with a random fuzzy convex upper semicontinuous integrand.
Theorem 4. Let X be a random fuzzy convex upper semicontinuous integrand X W
Es ! 0; 1 with the following properties:
(1) fx 2 Es W X.!; x / > 0g is weak -compact, for each ! 2 ,
(2) g WD jL0C .X /j 2 L1 ,
(3) For every fixed ! 2 , the cwk.Es /-valued mapping 7! L .X /.!/ D
X .!/ is scalarly left continuous on 0; 1.
Then
R the following
T hold
R
X dP D k1 Xk dP whenever 0 < 1 < 2 < : : : : < k ! .
Proof. Follows from Lemma 1 using the continuity property of the level sets.
Now we proceed to the conditional expectation of the level sets associated with
a random fuzzy convex upper semicontinuous integrand defined on the dual space
Es . For this purpose we need to recall and summarize the existence and uniqueness
of the conditional expectation in Lcwk.E
1
.F / [4, 13, 29]. In particular, existence
s /
results for conditional expectation in Gelfand integration can be derived from the
multivalued Dunford-Pettis representation theorem, see [4]. A fairly general version
of conditional expectation for closed convex integrable random sets in the dual of
a separable Frchet space is obtained by Valadier [29, Theorem 3]. Here we need
only a special version of this result in the dual space Es .
Theorem 5. Let be a closed convex valued integrable random set in Es . Let B
be a sub--algebra of F . Then there exists a closed convex B-measurable mapping
in Es such that:
(1) is the smallest closed convex B-measurable mapping such that 8u 2 S1 ,
E B u.!/ 2 .!/ a.s.
(2) is the unique closed convex B-measurable mapping such that 8v 2
L1
R .B/,
Z Z
.v; /dP D .v; /dP:
for all v 2 L1
E .B/.
(d) E B is increasing: 1 2 a.s. implies E B 1 E B 2 a.s.
Now we need at first a conditional expectation version for Lemma 1.
Lemma 2. Let B be a sub--algebra of F and let X be a random fuzzy convex
upper semicontinuous integrand X W Es ! 0; 1 with the following
properties:
(1) fx 2 Es W X.!; x / > 0g is weak -compact, for each ! 2 ,
(2) g WD jL0C .X /j 2 L1 ,
(3) Assume that 0 < 1 < 2 < : : : : < k ! and that
Proof. We follow some lines of the proof of Lemma 1. But here we need a careful
look using some convergence results in conditional expectation. By (1)(3) we have
L .X /.!/ WD X .!/ Y .!/ for all 20; 1 and for all ! 2 where Y is a
weak -compact valued integrably bounded multifunction. By Theorem 6 and by our
assumption (1)(3) the conditional expectation E B X is convex weak -compact
valued, B-measurable and integrably bounded with E B X .!/ .E B g/.!/ B E
for all 20; 1 and for all ! 2 . Since the weak -topology coincides with the
metrizable topology m , by Theorem 5.4 in [5] the multifunction
\
V .!/ D w - ls E B Xn .!/ D m -LS E B Xn .!/ D E B Xk .!/
k1
By Theorem 1, we have
for all ! 2 and for all x 2 E. By the dominated convergence theorem for
conditional expectations, we have
for all ! 2 .
Now we proceed to the conditional expectation of the level sets associated with
such a random fuzzy convex upper semicontinuous integrand X W Es ! 0; 1.
Theorem 7. Let B be a sub--algebra of F and let X be a random fuzzy
convex upper semicontinuous integrand X W Es ! 0; 1 with the following
properties:
(1) fx 2 Es W X.!; x / > 0g is weak*-compact, for each ! 2 ,
(2) g WD jL0C .X /j 2 L1 ,
(3) For every fixed ! 2 , the cwk.Es /-valued mapping 7! L .X /.!/ D
X .!/ is scalarly left continuous on 0; 1.
On the Integration of Fuzzy Level Sets 15
for all x 2 E, so that the desired inclusion follows from the arguments developed
in first part of the proof of Lemma 2.
With the above considerations, we produce a general result on the conditional
expectation of a convex weak -compact valued X 2 Lcwk.E
1
.F / depending on
s /
the parameter 20; 1.
Theorem 8. Let B be a sub--algebra of F , and let X W 0; 1 Es be a
convex weak -compact valued mapping with the following properties:
(1) jX.!; /j g 2 L1 for all .!; / 2 0; 1,
(2) For each ! 2 , X.!; :/ is scalarly left continuous on 0; 1,
(3) For every fixed 20; 1, X:.; / is scalarly F -measurable.
Then the convex weak -compact valued conditional expectation E B X of the
mapping X enjoys the properties
(a) For each ! 2 , 7! E B X .!/ is scalarly left continuous on 0; 1,
(b) For each 20; 1, ! 7! E B X .!/ is scalarly B-measurable on ,
(c) Assume further that 7! X.!; / is decreasing, for every fixed !, i.e. < 2
T / X.!; /, then 0 < 1 < 2 < : : : < k ! implies
0; 1 implies X.!;
E B X .!/ D k1 E B Xk .!/:
Similarly we have
Theorem 9. Let X W 0; 1 Es be a convex weak -compact valued mapping
with the following properties:
(1) jX.!; /j g 2 L1 for all .!; / 2 0; 1,
(2) For each ! 2 , X.!; :/ is scalarly left continuous on 0; 1,
(3) For every fixed 20; 1, X.:; / is scalarly F -measurable on .
16 C. Castaing et al.
R
Then the convex weak -compact valued mapping EX WD X.!; /dP enjoys
the properties
(a) 7! EX is scalarly left continuous on 0; 1,
(b) Assume further that 7! X.!; / is decreasing,
T for every fixed !, then 0 <
1 < 2 < : : : < k ! implies EX D k1 EXk :
Corollary 2. Assume that E D Rd and that .; F ; P / has no atoms. Let X W
0; 1 Rd be a compact valued mapping with the following properties:
(1) jX.!; /j g 2 L1 for all .!; / 2 0; 1,
(2) For each ! 2 , X.!; :/ is scalarly left continuous on 0; 1,
(3) For every fixed 20; 1, X.:; / is scalarly F -measurable on .
R
Then the convex compact valued mapping EX WD X.!; /dP enjoys the
properties
(a) 7! EX is scalarly left continuous on 0; 1,
(b) Assume further that 7! X.!; / is decreasing,
T for every fixed !, then 0 <
1 < 2 < : : : < k ! implies EX D k1 EXk :
Proof. Since E D Rd and .; F ; P / has no atoms, by [8, Theorem IV-17], EX
is convex compact in Rd .
Using the notations of the preceding results and the Negoita-Ralescu representa-
tion theorem [25, Lemma 1] or Hhle and ostak [14, Lemma 6.5.1], we mention a
useful result.
Lemma 3. Let .C /20;1 be a family of convex weak -compact subsets in E with
the properties:
(1) C0 WD Es ,
(2) C C ; 8 < 2 0; 1,
(3) C rB E for all 20; 1,
(4) 7! .x; C / is left continuous on 0; 1 for all x 2 E.
There is a unique fuzzy convex upper semicontinuous variable ' W Es ! 0; 1 such
that fx 2 Es W '.x / g D C , for every 20; 1, where ' is given by
'.x / D supf 2 0; 1 W x 2 C g:
Proof. Step 1. We use at first some arguments and results developed in Lemma 1.
Let 0 < 1 < 2 ; : : : < k ! . By (4) we have
for all x 2 E. Note that by (2) and (3), .Cn / is uniformly bounded and
decreasing. Since the w -topology coincides with the metrizable topology m
on bounded subsets in the weak dual, by Theorem 5.4 in [5]
\
C WD w - ls Cn D m -LS Cn D Ck
k1
.x; C / D .x; C /
0 2 f 2 0; 1 W x 2 C g
which implies
'.x / D supf 2 0; 1 W x 2 C g 0
'.x / D supf 2 0; 1 W x 2 C g 0 :
1
\
x 2 Ck D C0
nD1
by Step 1.
18 C. Castaing et al.
for every ! 2 and for every 2 0; 1. Then the following hold
0 2 f 2 0; 1 W x 2 E B X .!/g
which implies
1
\
x 2 E B Xk .!/ D E B X0 .!/
kD1
by using Step 1.
It is worth to state the relationships between the fuzzy expectation and the
conditional expectation of a random upper semicontinuous fuzzy convex integrand
X . When E is a reflexive separable Banach space and X 2 LE1 .; F ; P / and B
is a sub--algebra of F , EX is the expectationRof X and E B XR the conditional
expectation of X , then, for any B 2 B, we have B E B XdP D B XdP , now we
have a similar equality if we deal with a random upper semicontinuous fuzzy convex
integrand X , fuzzy expectation E.XQ / and fuzzy conditional expectation E.X
Q jB/.
Namely the following equality holds
Z Z Z
Q jB/ dP D
E.X B
E X dP D Q
X dP D E.X1 B /
B B B
Our results can be applied to the convergence of convex weakly compact valued
level sets of a random upper semicontinuous integrand defined on a separable
reflexive Banach space using the fuzzy expectation and the fuzzy conditional
expectation.
Next we will provide some SLLN results for fuzzy random variables in a
separable Banach space.
Let c.E/ (resp. k.E/) (resp. cwk.E/) (resp. ck.E/) denote the set of all nonempty
closed (resp. compact) (resp. convex weakly compact) (resp. convex compact)
subsets in E. Here we focus on convergence in the Polish space .ck.E/; dH / where
dH is the Hausdorff distance on ck.E/. Let us recall and summarize some needed
results.
Lemma 4. Let .Xn / be a sequence in k.E/. If
1X
n
lim dH . coXi ; X / D 0
n!1 n i D1
1X
n
lim dH . Xi ; X / D 0
n!1 n i D1
Proof. See e.g. Arstein-Hansen [1], de Blasi and Tomassini [9], Hiai [12].
The following result is borrowed from Castaing and Raynaud de Fitte [6,
Theorem 4.8].
Theorem 12. Let .Xn / be a pairwise independent identically distributed sequence
of integrably bounded ck.E/-valued such that g WD supn2N jXn j r is integrable,
then
and
1X
n
lim dH . Xi ; EX1 / D 0 a.s.
n!1 n i D1
On the Integration of Fuzzy Level Sets 21
Remarks. It is important to have the convexity and the norm compactness [2] of
EXn D EX1 because EX1 is the norm compactness limit in our SLLN. It is
also worth to note that if .Xn / is a sequence of convex compact valued integrably
bounded i.i.d. random sets, the random variable g D supn jXn j is necessarily
constant (with finite value). See [6] for details.
Now we provide some applications to the SLLN for pairwise i.i.d. compact
valued integrably bounded random sets.
Theorem 13. Let .Xn / be a pairwise independent identically distributed sequence
of integrably bounded k.E/-valued random sets in E such that g WD supn2N jXn j
is integrable. Then
and
1X
n
lim dH . Xi ; EcoX1 / D 0 a.s.
n!1 n i D1
1X
n
dH . coXi ; EcoX1 / D 0 a.s.
n i D1
1X
n
lim dH . Xi ; EcoX1 / D 0 a.s.
n!1 n i D1
The following is an important consequence.
Theorem 14. Assume E D Rd and .; F ; P / has no atom. Let .Xn / be a pairwise
independent identically distributed sequence of integrably bounded k.E/-valued
random sets in E such that g WD supn2N jXn j is integrable. Then
and
1X
n
lim dH . Xi ; EX1 / D 0 a.s.
n!1 n i D1
22 C. Castaing et al.
1X
n
dH . coXi ; EcoX1 / D 0 a.s.
n i D1
1X
n
lim dH . Xi ; EcoX1 / D 0 a.s.
n!1 n i D1
bounded, then EX is compact convex, this result is not valid in a separable Banach
space.
Now is a version of SLLN in the primal space for fuzzy random variables.
Theorem 15. Let .X n /n2N be a sequence of random fuzzy convex upper semicon-
tinuous variable X n W E ! 0; 1 with the following properties:
(1) fx 2 E W X n .!; x/ > 0g is compact, for each n 2 N and for each ! 2 ,
(2) g WD supn jL0C .X n /j is integrable.
Assume that
(3) .Xn D L .X n //n2N is pairwise i.i.d, for each 20; 1,
(4) .XnC D LC .X n //n2N is pairwise i.i.d, for each 2 0; 1.
Then we have, for every 20; 1,
1X i
n
lim dH . X ; EX1 / D 0 a.s.
n!1 n i D1
1X i
n
lim dH . 1
X ; EcoXC / D 0 a.s.
n!1 n i D1 C
Then we have
On the Integration of Fuzzy Level Sets 23
1X i
n
lim sup dH . X ; EX1 / D 0:
n!1 20;1 n i D1
n
Proof. (a) Since .Xn /n2N and .XC /n2N are independent identically distributed
compact valued random variables, we have, for every 20; 1, by Theorem 13,
1X i
n
lim dH . X ; EX1 / D 0 a.s. (8)
n!1 n i D1
1X i
n
lim dH . 1
X ; EcoXC / D 0 a.s. (9)
n!1 n i D1 C
(b) Let " > 0 be given. There exists a partition 0 D 0 < 1 < : : : < m D 1 of
0; 1 such that
Let 20; 1. Then there exist k (depending on ) such that k1 < k .
We will use some elementary facts:
1X i 1X i 1X i
n n n
Xk X X C :
n i D1 n i D1 n i D1 k1
1X i 1X i
n n
dH . X ; EX1 / dH . X C ; EX1k /
n i D1 n i D1 k1
1X i 1X i
n n
CdH . Xk ; EcoX 1C / dH . X ; EX1k /
n i D1 k1 n i D1 k
1X i
n
CdH . X C ; EcoX 1C / C 2dH .EcoX 1C ; EX1k /
n i D1 k1 k1 k1
1X i 1X i
n n
max dH . Xk ; EX1k / C max dH . X C ; EcoX 1C /
1km n i D1 1km n i D1 k1 k1
1X i
n
lim dH . X ; EX1k / D 0 a.s.
n!1 n i D1 k
1X i
n
lim dH . X C ; EcoX 1C / D 0 a.s.
n!1 n i D1 k1 k1
1X i
n
max dH . X .!/; EX1k / ! 0; as n ! 1:
1km n i D1 k
that is,
I1 ! 0; n ! 1 (10)
I2 ! 0; n ! 1: (11)
We have
Finally we have
1X i
n
dH . X .!/; EX1 / < I1 C I2 C 2" (12)
n i D1
for all 20; 1: Since I1 , I2 and " do not depend on , then from (12), for a.s. ! 2
we get
1X i
n
sup dH . X .!/; EX1 / < I1 C I2 C 2":
20;1 n i D1
1X i
n
lim dH . X .!/; EX1 / 2" a.s.
n!1 n i D1
On the Integration of Fuzzy Level Sets 25
Whence
1X i
n
lim sup dH . X .!/; EX1 / D 0
n!1 20;1 n i D1
1X i
n
lim sup dH . X ; EX1 / D 0 a.s.
n!1 20;1 n i D1
1X i
n
lim dH . X ; EX1 / D 0 a.s. (13)
n!1 n i D1
1X i
n
lim dH . 1
X ; EXC / D 0 a.s. (14)
n!1 n i D1 C
for every 2 0; 1.
(b) Let " > 0 be given. Using a technique similar to the one developed in Joo et
al [17, Theorem 3.1], we provide a partition 0 D 0 < 1 < : : : < m D 1 of
0; 1 such that
Let 20; 1. Then there exist k (depending on ) such that k1 < k . We
will use some elementary facts:
1X i 1X i 1X i
n n n
Xk X X C :
n i D1 n i D1 n i D1 k1
EX1k EX1 EX 1C :
k1
1X i 1X i 1X i
n n n
dH . X ; EX1 / dH . X C ; EX1k /CdH . X ; EX 1C /
n i D1 n i D1 k1 n i D1 k k1
1X i 1X i
n n
dH . Xk ; EX1k /CdH . X C ; EX 1C /C2dH .EX 1C ; EX1k /
n i D1 n i D1 k1 k1 k1
1X i 1X i
n n
max dH . Xk ; EX1k / C max dH . X C ; EX 1C /
1km n i D1 1km n i D1 k1 k1
Now the rest of the proof is identical to the last part of the proof of Theorem 15 by
noting that I3 is 2" and I1 ! 0 and I2 ! 0 when n ! 1.
We discuss in this section the concept of fuzzy martingale and integrand martingale
and provide some related convergence results. Let .Fn /n2N be an increasing
sequence of sub -algebras of F such that F is the -algebra generated by
[n2N Fn . Taking into account the results and notations developed in Sect. 4, the
expected value (or expectation) of the fuzzy convex upper semicontinuous variable
Q n / such that the level set E.X
X n can be defined as a fuzzy variable E.X Q n / D Xn
for every 20; 1 and also the fuzzy conditional expectation of X nC1
with respect
to Fn can be defined as an Fn B.E/-measurable, upper semicontinuous fuzzy
convex integrand E.X Q nC1 jFn / such that E.X
Q nC1 jFn / D E Fn XnC1 for every
n n Q nC1 jFn / for all n 2 N. Using the
20; 1. .X / is a fuzzy martingale if X D E.X
Fn nC1
level sets, it turns out that X D E X for each 20; 1 so that the adapted
n
for all u 2 L1E .; G ; P / and for all A 2 G . Further, the integrand E G is unique
modulo the sets of the form N E, where N is a P -negligible set in G . E G is the
conditional expectation of relative to G .
Using the conditional expectation of normal integrands, we may define the notion
of lower semicontinuous integrand martingale as follows.
Definition 2. Let .Fn /n2N be an increasing sequence of sub -algebras of F such
that F is the -algebra generated by [n2N Fn and n W E ! RC .n 2 N/ be a
Fn -normal integrand.
The sequence .n ; Fn /n2N of Fn -normal integrands is a lower semicontinuous
integrand martingale if
Z Z
n .!; u.!//dP D E Fn nC1 .!; u.!//dP
A A
Theorem 18. Let .Fn /n2N be an increasing sequence of sub -algebras of F such
that F is the -algebra generated by [n2N Fn , W E ! RC a F -normal
integrand such that .:; u.:// is integrable for all u 2 L1E .; F ; P /. Let E Fn
.n 2 N/ be the conditional expectation of relative to Fn whose existence is
given by Theorem 17. Then, for each u 2 L1E .; F ; P / the following variational
inequality holds:
sup lim sup inf E Fn .!; y/ C kjju.!/ yjjE .!; u.!// a.s.
k2N n!1 y2E
1
0 .!; vk;p;u .!// C kjju.!/ vk;p;u .!/jjE k .!; u.!// C
p
for all ! 2 , so that ! 7! .!; vk;p;u .!// and ! 7! kjju.!/ vk;p;u .!/jjE are
integrable, and so vk;p;u 2 L1E .; F ; P /. By our assumption, ! 7! .!; vk;p;u .!//
is integrable, too. Applying Lvys theorem yields a negligible set Nk;p;u such that,
for all ! Nk;p;u ,
Then we deduce
Theorem 19. Let Xn W 0; 1 ! RC with the properties
(a) Xn .:; / is Fn -measurable for all n 2 N, for all 2 0; 1,
(b) jXn .!; / Xn .!; /j C.!/j j, for all n 2 N, for all ! 2 , for all
; 2 0; 1, where C is a positive integrable function,
(c) 0 Xn .!; / .!/, for all n 2 N, for all ! 2 , where is a positive
integrable function,
(d) For each 2 0; 1, .Xn / D .Xn .:; // is a martingale.
Then there exists an L12C C -bounded RC -valued C -Lipschitz integrand X1 W
0; 1 ! R satisfying
Proof. Since .Xn / is an L1 -bounded martingale for each 2 0; 1, there exists
Y1 2 L1R .F / such that
lim Xn .!/ D Y1
.!/ a.s.
n!1
we get
jY1
.!/ Y1
.!/j C.!/j j
jY1
.!/ Y1
.!/j C.!/j jj 8! 2 n N
30 C. Castaing et al.
for all !; r 2 0; 1. Now we prove that X1 satisfies the required convergence.
By the above construction and hypothesis the sequence
..jXnm E Fn X1
m
j; Fn /n2N /m2N
Recall that
jXn Xn j C.!/j j
and
jX1
X1
j C.!/j j
jE Fn X1
E Fn X1
j E Fn jX1
X1
j E Fn C j j
sup jXnm E Fn X1
m
j D sup jXn E Fn X1
j
m2N 20;1
On the Integration of Fuzzy Level Sets 31
Finally we get
The above results lead to the study of integrand martingale-submartingale-
pramarts in a more general context.
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Adv. Math. Econ. 19, 3355 (2015)
Yuhki Hosoya
Abstract This study shows that if the estimate error of a demand function
satisfying the weak axiom of revealed preference is sufficiently small with respect to
local C 1 topology, then the estimate error of the corresponding preference relation
(which is possibly nontransitive, but uniquely determined from demand function,
and transitive under the strong axiom) is also sufficiently small. Furthermore, we
show a similar relation for the estimate error of the inverse demand function with
respect to the local uniform topology. These results hold when the consumption
space is the positive orthant, but are not valid in the nonnegative orthant.
1 Introduction
1
Therefore, in this paper the notion of a preference relation does not include the transitivity
requirement.
2
This topology was induced by Kannai [8]. For a detailed treatment of this topology, see
Hildenbrand [5].
A Theory for Estimating Consumers Preference from Demand 35
of the true preference with respect to the closed convergence topology. So, what
is the topology induced in the space of the demand functions? If the topology is
inappropriate, then the estimate error of the corresponding preference relation does
not become small. Hence, our problem is the following: what topology on the space
of the demand functions makes the function P continuous?
This study answers the above question. If .fk /k is a sequence of demand
functions that converges to f with respect to the local C 1 topology, then .%fk /k
also converges to %f with respect to the closed convergence topology. In addition,
we achieve the following result: if .gk /k is a sequence of inverse demand functions
that converges to g uniformly on any compact set, then the corresponding
sequence of preference relations converges with respect to the closed convergence
topology. The reason the topology of the demand function must be finer than that
of the inverse demand function is very complicated. We discuss this further in the
remarks on our theorems.
We obtain results for the consumption space RnCC . However, many applied
studies actually assume that the consumption space is RnC . Hence, it is preferable
that our results still hold when the consumption space is RnC , but this is not the
case. In fact, there exists a usual demand function that does not correspond to any
transitive and continuous preference on RnC , though it is smooth and satisfies the
strong axiom. We construct such an example.
In Sect. 2, we explain some basic results that are needed for our arguments.
The first subsection summarizes the results of Hosoya [6]. The second subsection
discusses an interpretation of the topologies used in this study. In the last subsection,
we explain the basic results of the ordinary differential equation and derive an
inequality.
The main results are presented in Sect. 3. We present and interpret two theorems.
The proofs of all results are given in the appendix. In Sect. 4, we present an example
that shows our results cannot be extended to the case where the consumption space
is RnC . Section 5 gives our conclusions.
2 Preliminaries
3
The superscript notation x i means the i -th coordinate of x, and f i means the i -th coordinate of
f.
36 Y. Hosoya
where f T .p; m/ denotes the transpose of f .p; m/. This matrix-valued function is
called the Slutsky matrix of f . Then, f satisfies the rank condition if the rank of
Sf .p; m/ is always n 1. We say f obeys the weak axiom if
F denotes the set of all demand functions f that are onto and C 1 -class, and satisfies
both the rank condition and the weak axiom. The following proposition was proved
by Hosoya [6].
Proposition 1. Choose any f 2 F . Then, there uniquely exists a function g W !
RnCC such that g n .x/ 1 and, for all x 2 ,
Moreover, g is C 1 -class.
A function g W ! RnCC is called an inverse demand function of f if x D
f .g.x/; g.x/ x/ for any x 2 . Then, the above proposition states that if f 2 F ,
there uniquely exists an inverse demand function g with gn 1, and g is C 1 -class.
Let P1 denote the mapping f 7! g. Then, for any demand function f 2 F , P1 .f /
is the unique function g W ! RnCC such that g n .x/ 1 and x D f .g.x/; g.x/
x/.
Next, choose any relation % 2 .5 We use the notation x % y to represent
.x; y/ 2%. Likewise, x y denotes .x; y/ 2% and .y; x/ %, and x
y denotes
.x; y/ 2% and .y; x/ 2%. Now, define
4
That is,
Let y.tI x; v/ denote the nonextendable solution of the above equation. Let
w.x; v/ D .vx/v.vv/x, and t.x; v/ D minft 0jy.tI x; v/w.x; v/ D 0g. Then,
we can prove that t.x; v/ is well-defined and if x is not proportional to v, it indicates
a unique t such that y.tI x; v/ is proportional to v. Hence, y.t.x; v/I x; v/ D cv
for some constant c > 0. If x is proportional to v, then y.tI x; v/ x, and thus
t.x; v/ D 0 and y.t.x; v/I x; v/ D cv for the constant c D kxkkvk
. Let ug .x; v/ denote
such a constant c. Define the relation %g 2 as
x %g v , ug .x; v/ 1:
6
Clearly, f % satisfies the homogeneity of degree zero. In addition, f % satisfies Walras law if %
is locally nonsatiated, i.e., for any x 2 and any neighborhood U of x, there exists y 2 U such
that y x.
This implies x D f % .g.x/; g.x/ x/ for any x 2 . This result can be shown even if g is
7 g
not included in the range of P1 . In fact, x 2 f % .g.x/; g.x/ x/ for any x 2 if and only if
g
f 2 F , this condition holds automatically. See Theorem 1 and Proposition 1 of Hosoya [6] for
more detailed arguments.
38 Y. Hosoya
f % D f;
g
The first property comes from the representation property of ug . In fact, because
x; v 2 spanfx; vg and ug .v; v/ D 1,
Let P denote the set of all relations % 2 that are continuous, i.e., closed in 2 .
On P, we introduce a topology, known as the closed convergence topology. For any
sequence .%k /k of P, define the following two sets Limsupk %k and Liminfk %k .
.x; v/ 2 Limsupk %k if and only if for any neighborhood U of .x; v/ and any
k0 2 N, there exists k k0 such that %k \U ;. .x; v/ 2 Liminfk %k if and only
if for any neighborhood U of .x; v/, there exists k0 2 N such that %k \U ; for
any k k0 .
By construction, we have Liminfk %k Limsupk %k . If Liminfk %k D
Limsupk %k D% for some %2 P, then we write Limk %k D%, and the topology
induced by this definition of the limit is called the closed convergence topology.
Note that because Liminfk %k Limsupk %k , we can prove Limk %k D% by
showing that Limsupk %k % Liminfk %k .
Next, consider the space C.X / of all continuous functions on the locally compact
Hausdorff topological space X into Rm . We say the sequence .fk /k of C.X /
converges to f uniformly on any compact set if for any compact set K X ,
Then, we can show the following fact. .fk /k converges to f uniformly on any
compact set if and only if .fk /k converges to f locally uniformly, that is, for
any x 2 X , there exists a neighborhood U of x such that
as k ! 1.
xP D f .t; x; y; z/;
x.t0 / D y;
where f is defined on some open set A RRm Rm Rk that includes .t0 ; y; y; z/,
and is C 1 -class. Then, there uniquely exists a function x.t/ that is defined on an
open interval a; b with a < t0 < b, x.t0 / D y, dx dt
.t/ D f .t; x.t/; y; z/, and
is nonextendable: that is, there is no other function y.t/ that is defined on c; d
with a; bc; d , y.t/ D x.t/ if t 2a; b, and dy
dt
.t/ D f .t; y.t/; y; z/.8 We call
this function x the nonextendable solution under .t0 ; y; z/. The following result is
well-known: suppose ft0 g C f.y; z/g A and C is compact. Let the domain of
the nonextendable solution x under .t0 ; y; z/ be a; b. If b < C1, then there exists
t < b such that if t t < b, then x.t/ C .9
Now, let x.tI y; z/ have the following property: for any .y; z/ with .t0 ; y; y; z/ 2
A, x.y;z/ W t 7! x.tI y; z/ is the nonextendable solution of the above differential
equation under .t0 ; y; z/. We also call the function x itself the nonextendable
solution. It is well-known that the domain of x is an open set in R Rm Rk
and that x is continuous in .t; y; z/.10
R t The following result was given in the 2nd editionb ofatPontryagin [11]: if u.t/
0 .au.s/ C b/ds for any t 2 0; c, then u.t/ a .e 1/ for any t 2 0; c.
However, the 2nd edition of this book has not been translated to English. Therefore,
we introduce a short sketch of the proof of this inequality. Let u0 .t/ D u.t/ and
Z t
ui .t/ D .aui 1 .s/ C b/ds:
0
8
Note that a might be 1 and b might be C1.
9
See Ch.8 of Smale and Hirsch [15] for detailed arguments.
10
See Ch.5 of Hartman [4] for detailed arguments.
A Theory for Estimating Consumers Preference from Demand 41
3 Main Results
and
Then, .gk /k D .P1 .fk //k converges to g D P1 .f / uniformly on any compact set.
Combining these theorems, we obtain the following result.
Theorem 3. Suppose .fk /k and f satisfy the same property as in Theorem 2.
Then the relation .P2 .P1 .fk ///k converges to P2 .P1 .f // with respect to the closed
convergence topology.
Remarks. Theorem 1 asserts that if the estimate error on the inverse demand
function is small with respect to the local uniform topology, then the estimate error
of the preference is also small. It is known that local uniform topology is metrizable
by the following metric:
X1
1
.g1 ; g2 / D m
arctan. sup kg1 .y/ g2 .y/k/:
mD1
2 y2 1 ;mn
m
Similarly, Theorem 3 asserts that if the estimate error on the demand function is
small with respect to local C 1 topology, then the estimate error of the preference is
also small.
Why does Theorem 2 require C 1 convergence? Answering this question is rather
difficult, but we attempt to interpret this requirement. Suppose .hk /k is a sequence
of continuous functions that converges uniformly to h. Moreover, suppose all h; hk
are bijective. Our question is the following: is .h1
k /k equicontinuous?
If it is equicontinuous, then by using Ascoli-Arzela theorem, we can show that
.h1
k /k converges to h
1
uniformly. However, we could not ensure that .h1 k /k is
equicontinuous unless .hk /k converges to h with respect to C 1 . Readers will see
42 Y. Hosoya
that, in the proof of Theorem 2, Lemma 4 ensures this equicontinuity, though its
proof is rather complicated. The proof of this fact is closely related to the proof of
the inverse function theorem. In fact, Lemma 4 can be seen as an extension of
inverse function theorem.
To prove Theorem 1, we separate the proof into two parts. In the first, we prove
that Limk %gk D%g if .ugk /k converges to ug uniformly on any compact set. This
result can be verified easily. We should mention the following fact: if g satisfies
the integrability condition (or equivalently, if the Slutsky matrix Sf .p; m/ is always
g g
symmetric), then ug .x; z/ D uug.x;v/ .z;v/
for any x; z; v 2 and uv W x 7! ug .x; v/
is a C 1 -class utility function representing %g .11 Therefore, this result implies that
g g
Limk %gk D%g if the sequence of utility functions .uv k /k converges to uv uniformly
on any compact set.
In the second part, we prove that if .gk /k converges to g uniformly on any
compact set, then .ugk /k converges to ug uniformly on any compact set. To prove
this result, we will use several deep results for ordinary differential equations. The
main problem to be treated is the following: let V 2 be compact, and define
y.tI x; v/; yk .tI x; v/; t.x; v/ and tk .x; v/ as in Sect. 2.1. Then, is t.x; v/ included in
the domain of yk .I x; v/ for any .x; v/ 2 V and sufficiently large k? Or, is tk .x; v/
included in the domain of y.I x; v/? Note that t is not necessarily continuous at
.x; v/ when x is proportional to v. To answer this problem, we should use the
inequality proved in Sect. 2.3.
We have assumed that the consumption space is RnCC . If is RnC , can our results
in both Hosoya [6] and this paper be extended to this case?
Let F be the all function f W RnCC RCC ! RnC such that it satisfies
continuity, homogeneity of degree zero, Walras law, and the weak axiom, RnCC
f .RnCC RCC /, and if f .p; m/ 2 RnCC , then f is C 1 -class around .p; m/ and
Sf .p; m/ has rank n 1. Let R.f / be the restriction of f into f 1 .RnCC /. Then,
R.f / 2 F , and thus there uniquely exist a complete, p-transitive, and continuous
preference relation %g D P2 .P1 .R.f /// such that f % D R.f /. Clearly, if .fk /k
g
11
See Theorem 1 of Hosoya [6].
12
That is, .fk /k converges to f uniformly on any compact set, and for any .p; m/ with f .p; m/ 2
RnCC , there exists a neighborhood U of .p; m/ such that .Dfk /k converges to Df uniformly on
U.
A Theory for Estimating Consumers Preference from Demand 43
Moreover, is the operator f 7!%f continuous with respect to the local C 1 topology?
However, the answer to this question is negative. In fact, we can construct a
preference relation % .R2CC /2 that is represented by a C 1 -class utility function,
and two different indifference curves of % have the same limit point. In this case,
any extension of % into the complete binary relation of R2C is either not continuous
or not transitive. Note that this preference has the C 1 -class demand function f % 2
F \ F.
Example 1. At first, we consider the following function:
( 1
e c2 (if c > 0,)
h1 .c/ D
0 (otherwise.)
h1 .1 c/
h2 .c/ D 1 ;
h1 .1/
h3 .c/ D tan. h1 .c 2//;
2
h.c/ D h2 .c/ C h3 .c/:
Because the derivative of the left-hand side of this equation with respect to c is
negative, we have the solution c.x; y/ of this equation is unique. By the implicit
function theorem, we have c.x; y/ is C 1 -class. As the left-hand side is increasing
in both x and y, we have c.x; y/ is increasing in both x and y. Let
and thus we can verify that it is strictly convex toward the origin and has non-zero
Gaussian curvature.13 For any p; q; m > 0, define .x.t/; y.t// D .t; mpt q /. Then
d d
dt
c.x.t/; y.t// is positive if t is sufficiently small and dt c.x.t/; y.t// is negative if
m=p t is sufficiently small. Therefore, we have f is a single-valued C 1 -class
%
1 1 1 1
. ; /
.0; 1/
. 3=2 ; 3=2 /;
4 4 2 2
Fig. 1 Illustration of y
example
L(2)
L(1)
13
This condition assures the differentiability of the demand function. See Debreu [3].
This % has a unique upper semi-continuous and transitive extension. However, we cannot state
14
5 Conclusion
We have shown that if the estimate error of a demand function is sufficiently small
with respect to the local C 1 topology, then the estimate error of the corresponding
preference relation is also small with respect to the closed convergence topology.
Moreover, we showed that if the estimate error of an inverse demand function
is sufficiently small with respect to the local uniform topology, then the estimate
error of the corresponding preference relation is also small. Furthermore, we gave
an example that indicates our results cannot be extended in the case of a closed
consumption space.
Three future tasks remain. At first, we defined %g from an ordinary differential
equation. But if f violates the rank condition, then g cannot become a continuous
single-valued function.15 However, we might be able to define %g by considering
differential inclusion. Secondly, we did not treat the case in which f is a multi-
valued function. In some cases, f % might be multi-valued, and thus this should be
g
considered. Thirdly, even when the consumption space is the nonnegative orthant,
there might be an appropriate class of preferences such that f 7!%f is a one-to-one
mapping for any F .
x %k v , uk .x; v/ 1
x % v , u.x; v/ 1
15
See Samuelson [14] or Hurwicz and Uzawa [7].
16
Note that under these conditions, %; %k must satisfy completeness and continuity.
46 Y. Hosoya
Proof. Suppose .uk /k converges to u uniformly on any compact set, and choose any
.x; v/ 2 Limsupk %k . Then, for any neighborhood U of .x; v/ and any k0 2 N,
there exists k k0 such that %k \U ;. Therefore, there exists an increasing
sequence .k.m// such that uk.m/.xm ; vm / 1 and k.xm ; vm / .x; v/k m1 . By
the assumption of uniform convergence, we have juk.m/.xm ; vm / u.xm ; vm /j ! 0.
Because u is continuous, u.xm ; vm / ! u.x; v/, and thus uk.m/.xm ; vm / ! u.x; v/.
As uk.m/.xm ; vm / 1, we have u.x; v/ 1, and thus Limsupk %k %.
Next, under the same assumption, choose any .x; v/ 2%. Then, we have
u.x; v/ 1. This implies u.x; .1 m1 /v/ > 1 for any m. Now, take any
neighborhood U of .x; v/. Then, there exists m > 0 such that .x; .1 m1 /v/ 2 U .
Because uk .x; .1 m1 /v/ ! u.x; .1 m1 /v/ > 1, there exists k0 2 N such that
.x; .1 m1 /v/ 2%k for any k k0 . Hence, we have % Liminfk %k . Therefore, we
have Limk %k D%.
Hence, it suffices to show that .ugk /k converges to ug uniformly on any compact
set.
The next lemma was proved in Hosoya [6]. Thus, we omit the proof of this result.
Lemma 2. Let g W ! RnCC be C 1 -class, and y.tI x; v/ be the nonextendable
solution of the following problem:
where x; v 2 . Define w.x; v/ D .v x/v .v v/x. Then, for any z 2 spanfx; vg,
z w.x; v/ D 0 if and only if z is proportional to v. Let a; b be the domain of
y.I x; v/. Then, t.x; v/ D minft 0jy.tI x; v/ w.x; v/ 0g is well-defined.
Moreover, there exists a continuous function y1 .x; v/; y2 .x; v/ such that y1 .x; v/ D
y2 .x; v/ D x if x is proportional to v, and y.t.x; v/I x; v/ 2 y1 .x; v/; y2 .x; v/
for any .x; v/ 2 2 . Let
vx
A.x; v/ D kxkkv xk:
kxk2
Hence, y.tI x; v/ w.x; v/ is increasing in t, and thus t.x; v/ is a unique t such that
y.tI x; v/ w.x; v/ D 0.
Lemma 3. Suppose .gk /k converges to g uniformly on any compact set. Then,
.ugk /k converges to ug uniformly on any compact set.
A Theory for Estimating Consumers Preference from Demand 47
Let y.I x; v/ be defined on a.x; v/; b.x; v/. We separate this proof into four steps.
Step 1: fix any .x; v/ 2 2 and c 20; b.x; v/. Then, there exists a compact
neighborhood V of .x; v/ such that y.I y; z/ is defined on 0; c for any .y; z/ 2
V . The set fy.tI y; z/jt 2 0; c; .y; z/ 2 V g is a compact set of , and thus there
exists a compact set C such that the above set is included in the interior
of C . We shall prove that, for sufficiently large k, yk .tI y; z/ is defined for any
.t; y; z/ 2 0; c V , yk .tI y; z/ 2 C , and
kgk gk 2M kykkzkt
kyk .tI y; z/ y.tI y; z/k .e 1/; (1)
M
where M > 0 is a Lipschitz constant of g on C and kgk gk D supw2C kgk .w/
g.w/k.
First,
which implies equation (1).17 Hence, if k is sufficiently large (and thus, kgk
gk is sufficiently small), then kyk .tI y; z/ y.tI y; z/k , where > 0 is
sufficiently small so that the following inequality holds:
Note that
1 1
ug .x; v/ D y.t.x; v/I x; v/ v; ugk .x; v/ D yk .tk .x; v/I x; v/ v:
kvk2 kvk2
(3)
Hence, if .x; v/ 2 W ,
1
jug .x; v/ ugk .x; v/j D j.yk .tk .x; v/I x; v/ y.t.x; v/I x; v// vj
kvk2
kyk .tk .x; v/I x; v/ y.t.x; v/I x; v/k
kvk
":
17
See Sect. 2.3.
A Theory for Estimating Consumers Preference from Demand 49
1
jugk .x; v/ ug .x; v/j D j.yk .tk .x; v/I x; v/ y.t.x; v/I x; v// vj
kvk2
1
j.yk .tk .x; v/I x; v/ yk .t.x; v/I x; v// vj
kvk2
1
C j.yk .t.x; v/I x; v/ y.t.x; v/I x; v// vj:
kvk2
By Eq. (1),
1
jyk .t.x; v/I x; v/ y.t.x; v/I x; v/ vj
kvk2
1
kyk .t.x; v/I x; v/ y.t.x; v/I x; v/k
kvk
kgk gk 2M kxkkvkci
.e 1/;
M kvk
50 Y. Hosoya
where the right-hand side is less than 2" uniformly on Vi if k is sufficiently large.
Hence, it suffices to show that, for any sufficiently large k,
1 "
max j.yk .tk .x; v/I x; v/ yk .t.x; v/I x; v// vj :
.x;v/2Vi kvk2 2
kvk"
max kyk .tk .x; v/I x; v/ yk .t.x; v/I x; v/k :
.x;v/2Vi 2
Recall that y.tI x; v/ w.x; v/ > 0 (resp. yk .tI x; v/ w.x; v/ > 0) if and only if
t > t.x; v/. (resp. t > tk .x; v/.) As ci > t.x; v/, we have there exists a positive
constant C > 0 such that y.ci I x; v/ w.x; v/ C for any .x; v/ 2 Vi . Hence,
for sufficiently large k, yk .ci I x; v/ w.x; v/ > 0 for any .x; v/ 2 Vi . Therefore,
ci > tk .x; v/, and thus tk .x; v/ is in the domain of y.I x; v/.
Now, define
..gk .y/ x/v .gk .y/ v/x/ w.x; v/ D A.x; v/2 .gk .y/ v/ > 0;
..g.y/ x/v .g.y/ v/x/ w.x; v/ D A.x; v/2 .g.y/ v/ > 0:
Hence, we have
1
t.x; v/ tk .x; v/ C yk .t.x; v/I x; v/ w.x; v/:
M1
A Theory for Estimating Consumers Preference from Demand 51
Hence, we have
1
t.x; v/ tk .x; v/ y.tk .x; v/I x; v/ w.x; v/:
M2
c;
D max j.yk .tk .x; v/I x; v/ y.tk .x; v/I x; v// w.x; v/j
.x;v/2Vi
max kyk .tk .x; v/I x; v/ y.tk .x; v/I x; v/kkw.x; v/k
.x;v/2Vi
c;
c
max k.g.y/ x/v .g.y/ v/xk
y2Ci M3
kvk"
;
2
which completes the proof.
Lemmas 1 and 3 ensure that the claim of Theorem 1 holds. This completes the
proof of Theorem 1.
Moreover, by the rank condition, we have all Dh.q/; Dhk .q/ are regular.19 Clearly,
.r/ D Dh.q/.r q/ .h.r/ h.q//;
k .r/ D Dhk .q/.r q/ .hk .r/ hk .q//:
18
That is, all h; hk are bijective. Injectivity follows from the uniqueness of the inverse demand
function. Surjectivity arises from the surjectivity and homogeneity of f and fk .
19
See the mathematical appendix of Samuelson [14], or the proof of Proposition 1 in Hosoya [6].
A Theory for Estimating Consumers Preference from Demand 53
1
supfkDh.q/1 kkD
.r/k; kDhk0 .q/1 kkD
k0 .r/k; : : :g :
2
r .s/ D Dh.q/1 .r C
.s C q//; rk .s/ D Dhk .q/1 .r C
k .s C q//:
Then, if s 2 S ,
20
See Eq. (5).
21
Use the mean value theorem for k.t / D
.t s C q/.
22
Again, use the mean value theorem for k.t / D
..1 t /s1 C t s2 C q/.
54 Y. Hosoya
> 0 such that kh.r/ h.q/k or khk .r/ hk .q/k for some k k0 implies
kr qk M and M ". Let U D fy 2 jkx yk g. Then for any y 2 U ,
kh1 1 1
k .y/ hk .x/k C khk .x/k C 1
M C sup kh1
` .x/k C 1 < C1;
`k0
Acknowledgements We are grateful to Toru Maruyama for his helpful comments and sugges-
tions. We would also like to express gratitude to the anonymous referee for their helpful advice.
A Theory for Estimating Consumers Preference from Demand 55
References
1. Afriat S (1967) The construction of a utility function from demand data. Int Econ Rev 8:6777
2. Antonelli GB (1886) Sulla Teoria Matematica Dell Economia Politica. Tipografia del
Folchetto, Pisa
3. Debreu G (1972) Smooth preferences. Econometrica 40:603615
4. Hartman P (1997) Ordinary differential equations. Society for Industrial and Applied Mathe-
matics, Birkhaeuser Verlag AG
5. Hildenbrand W (1974) Core and equilibria of a large economy. Princeton University Press,
New Jersey
6. Hosoya Y (2013) Measuring utility from demand. J Math Econ 49:8296
7. Hurwicz L, Uzawa H (1971) On the integrability of demand functions. In: Chipman JS,
Hurwicz L, Richter MK, Sonnenschein HF (eds) Preferences, utility and demand. Harcourt
Brace Jovanovich, New York, pp 114148
8. Kannai Y (1970) Continuity properties of the core of a market. Econometrica 38:791815
9. Kim T, Richter MK (1986) Nontransitive-nontotal consumer theory. J Econ Theory 34:324
363
10. Pareto V (1906) Manuale di economia politica con una introduzione alla scienza sociale.
Societa Editorice Libraria, Milano
11. Pontryagin LS (1962) Ordinary differential equations. Addison-Wesley (translated from
Russian). Reading, Massachusetts
12. Quah JK-H (2006) Weak axiomatic demand theory. Econ Theory 29:677699
13. Richter MK (1966) Revealed preference theory. Econometrica 34:635645
14. Samuelson PA (1950) The problem of integrability in utility theory. Economica 17:355385
15. Smale S, Hirsch MW (1974) Differential equations, dynamical systems, and linear algebra.
Academic, New York
Adv. Math. Econ. 19, 5789 (2015)
Abstract Least square regression methods are Monte Carlo methods to solve non-
linear problems related to Markov processes and are widely used in practice. In
these methods, first we choose a system of functions to approximate value functions.
So one of questions on these methods is what kinds of systems of functions one
has to take to get a good approximation. In the present paper, we will discuss on
this problem.
1 Introduction
Least square regression methods are Monte Carlo methods to solve non-linear prob-
lems related to Markov processes. These methods were introduced by Longstaff-
Schwartz [8] and Tsitsiklis-Van Roy[9] and are widely used in practice. There
are many works related to this methods. Concerning the applications for pricing
Bermudan derivatives, the convergence to a real price was proved by Clement-
Lamberton-Protter [4] and rate of convergence was studied by Belomestny [2]. In
these methods, first we choose a system of functions to approximate value functions.
So one of questions on these methods is what kinds of systems of functions one has
to take to get a good approximation. In the present paper, we will discuss on this
problem. Related topics have been discussed by Gobet-Lemor-Warin [5] and Bally-
Pags [1].
Let .; F ; P / be a probability space, M = 1; and fGm gM mD0 be a filtration
on .; F ; P /: Let .E; B/ a measurable space and m.E/ be the set of Borel
measurable functions on E: Let pm W E B ! 0; 1; m D 0; : : : ; M 1; be
such that pm .x; / W B ! 0; 1 is a probability measure on E for any x 2 E;
and pm .; A/ W E ! 0; 1 is B-measurable for any A 2 B: Let x0 2 E and fix
it throughout. Let X W f0; 1; : : : ; M g ! E be an E-valued process such that
X0 D x0 ; Xm W ! E is Gm -measurable, m D 0; : : : ; M; and
fQM D fM ;
Least Square Regression Methods 59
and
fQ0 is the price of a Bermudan derivative for which exercisable times are 1; : : : ; M;
and pay-off at each time is fm .Xm /; m D 1; : : : ; M: Our concern is to compute fQ0
numerically.
Let V denote the set of finite dimensional vector subspaces of m.E/: For any
probability measure on .E; B/; let V ./ denote the subset of V such that V 2
V ./; if and only if V satisfies the following two conditions.
R
1. If g 2 V; then E g.x/4 .dx/ < 1:
2. If g 2 V and g.x/ D 0 a:e:x; then g 0:
For any probability measure on .E; B/ and V 2 V ./; we define 0 .V; / and
1 .V; / by the following.
R
g.x/4 .dx/
0 .V; / D supf R E I g 2 V n f0gg
. E g.x/2 .dx//2
Z dim
XV
1 .V I / D inff . er .x/2 /2 .dx/I fer gdim V
rD1 is an orthonormal basis
E rD1
of V as a subspace of L2 .EI d/ g:
1 .V I / 5 .dim V /2 0 .V I / and 0 .V I / 5 1 .V I /:
1 X
L
.`/
.L/
Dm .g; f /.!/ D . .g.Xm.`/ .!/ f .XmC1 .!//2 /1=2 ; g; f 2 m.E/:
L
`D1
.k/
Let Vm ; k D 1; 2; : : : ; be a sequence of strictly increasing vector spaces in
S
V .m / such that 1
.k/
kD1 Vm is dense in L .EI dm / for m D 1; : : : ; M 1:
2
60 S. Kusuoka and Y. Morimoto
.L/ .L/
Now we assume that gm W ! Vm ; m D 0; 1; : : : ; M 1; L D 1; 2; : : : ;
satisfy the following.
.L/ .L/
Dm1 .gm1 .!/; gm .!/ _ fm /.!/
D inffDm1 .h; gm
.L/
.!/ _ fm /I h 2 Vm.L/ .!/g (1)
.L/
for m D 1; 2; : : : ; M: Here we let gM D fM :
.L/
We will show that such gm s always exist.
Then we will prove the following.
.L/
Theorem 1. Suppose that 1 .Vm I m /=L ! 0; as L ! 1 for m D 1; : : : ; M 1:
Then there are L 2 F ; L D 1; 2; : : : ; and random variables ZL ; L D 1; 2; : : : ;
such that
P .L / ! 1; as L ! 1;
and
EZL2 ; L 1=2 ! 0; as L ! 1:
Moreover, we have
EZL2 ; L 1=2
X
M 1
1
56 1 .Vm.L/ ; m /1=4 .1 C 0 .Vm.L/ ; m //1=4 jjPm fQmC1
jjL4 .EIdm /
mD1
L1=2
X
M 1
C5 jjPm fQmC1
m;V .L/ Pm fQmC1
jjL2 .EIdm / :
m
mD1
.L/
Here m;V .L/ is the orthogonal projection in L2 .E; dm / onto Vm ; m D 1; : : : ; M:
m
.L/
So roughly speaking, g0 ! f0 in probability as L ! 1 in a certain rate.
It is obvious that 0 .V I m / = 1 and 1 .V I m / = dim V for any V 2 Vm ;
m D 1; 2; : : : ; M: So the above theorem raises the following question. Can one
estimate 0 .V I / and jjPm fQmC1
m;V Pm fQmC1
jjL2 .EIdm / for V 2 V .m /? If we
.k/
can do it, we may find a sequence Vm 2 V .m / such that the convergence rate is
good.
We give an estimate when an underlying process is a 1-dimensional Brownian
motion and V is a space of polynomials in Sect. 6. Also, we introduce a random
systems of piece-wise polynomials in Sect. 8, and we give some estimates when an
Least Square Regression Methods 61
2 Preliminary Results
s .f I V; / D inffS.g; f I /I g 2 V g
and
S.g g;
Q 0I /1=2
Z
D supfj h.x/.f .y/ g.x//.dx;
Q dy/jI h 2 V; S.h; 0I / D 1g:
EE
62 S. Kusuoka and Y. Morimoto
for any h 2 V:
Let fi 2 m.E/; gi 2 .fi I V; /; i D 1; 2: Then we have
S.g1 g2 ; f1 f2 I /
D S.g1 g2 ; 0I / C S.0; f1 f2 I /
Z
2 .g1 .x/ g2 .x//.f1 .y/ g1 .x/ .f2 .y/ g2 .x///.dx; dy/:
EE
S.gQ C h; f I /
Z
D S.g;
Q f I / C S.h; 0I / 2 h.x/.f .y/ g.x//.dx;
Q dy/:
EE
Let
Z
c D supf h.x/.f .y/ g.x//.dx;
Q dy/I h 2 V; S.h; 0I / D 1g = 0:
EE
s .f I V; / D S.g;
Q f I / C inf.t 2 2tc/ D S.g;
Q f I / c 2 :
t =0
Least Square Regression Methods 63
In particular,
XV
dim Z
m .V I /2 5 . .ei .x/ej .x/ ij /.dx; dy//2 :
i;j D1 E
XV
dim X
dimV
m .V I / D supfjS. ai ei ; 0I / 1jI ai2 D 1g
i D1 i D1
XV
dim XV
dim
D supfj ai aj .ANij ij /jI ai2 D 1g:
i;j D1 i D1
and
0 .V; / 5 1 .V; /:
Z XV
dim Z XV
dim
. er .x/2 /2 .dx/ 5 .dim V /. er .x/4 /.dx/ 5 .dim V /2 0 .V; /:
E rD1 E rD1
Note that
XV
dim Z
.g; er /2L2 .d/ D g.x/2 .dx/:
rD1 E
3 Random Measures
.L/
For m D 1; : : : ; M; and L = 1; let m be a random probability measure belonging
to Pf .E E/ given by
1 .`/
.L/
m .A/ D #f` 2 f1; : : : ; LgI .Xm1 ; Xm.`/ / 2 Ag; A 2 B B:
L
.L/
For any m D 0; 1; : : : ; M 1; and L = 1; we define Nm W m.E/ ! 0; 1/
by
1 X
L
Nm.L/ .f /.!/ D . f .Xm.`/ .!//2 /1=2 :
L
`D1
Least Square Regression Methods 65
(2)
1
Em .V I m / 5
.L/ 2
1 .V; m /:
L
In particular, we have
1 4
P .m .V I m
.L/
/> / 5 1 .V; m /:
2 L
.L/ R
Proof. (1) Suppose that m .V I m / 5 1=2: If h 2 V and E h.x/2 m .dx/ D 1;
then from the definition we have
1 .L/
5 Nm1 .h/2 5 2:
2
So we have our assertion.
(2) Let fer gdim V
rD1 be an orthonormal basis of V: It is easy to see that
XV
dim
1X
L
Em .V I m / 5
.L/ 2
E. .er .Xm` /er 0 .Xm` / r;r 0 //2
L
r;r 0 D1 `D1
dim V Z dim V Z
1 X 1 X
D .er .x/er 0 .x/ r;r 0 / m .dx/ 5
2
er .x/2 er 0 .x/2 m .dx/:
L 0 E L 0 E
r;r D1 r;r D1
Z XV
dim
1
D . er .x/2 /2 m .dx/:
L E rD1
So we have the first part of our assertion. The second part is an easy
consequence of Chebyshevs inequality.
66 S. Kusuoka and Y. Morimoto
for example).
For V 2 V .m /; m D 1; : : : ; M; let m;V W L2 .EI dm / ! V be the orthogonal
projection onto V:
Then we have the following.
Proposition 5. Let m D 1; : : : ; M 1; and L = 1: Then for V 2 Vm and f 2
L4 .E; B.E/; dmC1 /; we have
1
ENm.L/ . m;V Pm f O m;V .f I m
.L/ 2 .L/
// ; m .V; m /5
2
Z
8
5 .1 .V; /.1 C 0 .V; ///1=2 . f .y/4 mC1 .dy//1=2 :
L E
1
ENm.L/ .g O m;V .f I m
.L/ 2 .L/
// ; m .V; m /5
2
Z Z
.L/
5 2Esupfj h.x/.f .y/g.x//mC1 .dx; dy/j I h 2 V; h.x/2 m .dx/D1g
2
EE E
XV
dim Z XV
dim
.L/
D 2Esupfj ar er .x/.f .y/ g.x//mC1 .dx; dy/j2 I ar2 D 1g
rD1 EE rD1
Least Square Regression Methods 67
XV
dim Z
.L/
D 2E . er .x/.f .y/ g.x//mC1 .dx; dy//2
rD1 EE
XV
dim
1 X
L
D2 E. er .Xm` /.f .XmC1
`
/ g.Xm` ///2
rD1
L
`D1
2 X
dim V
D Eer .Xm1 /2 .f .XmC1
1
/ g.Xm1 //2
L rD1
dim V Z
2 X
D er .x/2 .f .y/ g.x//2 m .dx/pm .x; dy/
L rD1 EE
Z XV
dim Z
2
5 . . er .x/2 /2 m .dx//1=2 . .f .y/ g.x//4 m .dx/pm .x; dy//1=2 :
L E rD1 EE
Note that
Z Z
.f .y/g.x//4 m .dx/pm .x; dy/516 .f .y/4 Cg.x/4 /m .dx/pm .x; dy/
EE EE
Z Z
D16. f .y/4 mC1 .dy/C g.x/4 m .dx//:
E E
4 Proof of Theorem 1
m .x; z/ D fm .x/ _ z; x 2 E; z 2 R; m D 1; 2; : : : ; M:
Note that
.L/ .L/
Remind that Vm 2 V .m /; L = 1; m D 1; : : : ; M: Let us take gm W !
.L/
Vm ; m D M; : : : ; 0; such that
.L/
gM .!/ D fM ;
.L/
.L/
gm .!/ 2 .mC1 .; gmC1 .!/.//; Vm.L/ I m
L
.!//; m D M 1; : : : ; 0:
ZQ m
.L/
.L/
Also, let Zm ; m D 0; 1; : : : ; M 1; be given by
X
M 1
ZQ k ;
.L/ .L/
Z0 D
kD0
and
.L/
Zm
X
M 1
D jjfQm m;V .L/ fQm jjL2 .E;d
m / C 2Nm .fQm m;V .L/ fQm ; !/ C 2 ZQ k ;
.L/
m m
kDm
Least Square Regression Methods 69
m D 1; : : : ; M 1: Finally, let
\
M 1
1
L D fm .Vm.L/ I m
.L/
/5 g:
mD1
2
jjfQm .gm
.L/
.!/ _ fm /jjL2 .EIdm / 5 jjfQm gm
.L/
.!/jjL2 .EIdm /
5 Zm
.L/
; m D 1; : : : ; M:
(3)
X
M 1
4 .L/
P . n L / 5 1 .Vk ; k /;
L
kD1
and
j ; L 1=2
.L/ 2
EjZm
X
M 1
1
f. 1 .Vk ; k /1=2 .1 C 0 .Vk ; k //1=2 g1=2 jjPk fQkC1
.L/ .L/
56 jjL4 .EIdk /
L
kD1
X
M 1
C5 jjPk fQkC1
k;V .L/ Pk fQkC1
jjL2 .EIdk / ; m D 0; 1; : : : ; M 1:
k
kD1
So we see that
X
M 1
Nm.L/ .fQm gm Nk .Pk fQkC1
O k;Vk;L .fQkC1
.L/
.L/
.!/; !/ 5 I kL /; !/:
kDm
Then we have
X
M 1
Nm.L/ .fQm gm ZQ k :
.L/
.L/
.!/; !/ 5
kDm
In particular,
X
M 1
jfQ0 g0 .!/j 5 ZQ k D Z0 :
.L/ .L/ .L/
kD0
jjfQm gm
.L/
.!/jjL2 .E;d
m /
5 jjfQm m;V .L/ fQm jjL2 .E;d
m / C Nm.L/ . m;V .L/ fQm gm
.L/
.!/; !/
m m
5 jjfQm m;V .L/ fQm jjL2 .E;d
m / j C 2Nm .fQm m;V .L/ fQm ; !/
m m
E.ZQ m
.L/ 2
/ ; L 1=2
5 jjfQm m;V .L/ Pm fQm jjL2 .E;d
m /
m
1
C3. .1 .V; /.1 C 0 .V; //1=2 /1=2 jjfQmC1
jjL4 .EIdmC1 / :
L
So we have the second assertion of (3).
Theorem 1 follows from Proposition 7 immediately.
The following is an easy consequence of Proposition 7.
.L/
Proposition 8. Assume that 1 .Vm I m /=L ! 0; L ! 1; m D 1; : : : ; M 1:
Let 2 .0; 1/; and let
Least Square Regression Methods 71
X
M 1
dL D .L/ 2
E.Zm / ; L 1=2 ; L = 1;
mD0
Q 2 F ; L = 1; be given by
and let L
\
M 1
Q L D L \
fZm
.L/
5 dL1 g:
mD1
Q / ! 1; L ! 1: Also, we have
Then dL ! 0; and P . L
5 Re-simulation
Then we have
X
M 1
jfQ0 c0 j 5 .C0 C 1/ jjfQm hm jjL2 .EId
1C=.2C/
:
m/
mD1
hO M D fM D hM ;
Therefore we have
fQm1 hO m1
D Pm1 .1ffm <fQm ^hm g .fQm hO m /C1fhm 5fm <fQm g .fQm fm /C1ffQm 5fm <hm g .fm hO m //
D Pm1 .1ffm <hm g .fQm hO m /C1fhm 5fm <fQm g .fQm fm /C1ffQm 5fm <hm g .fm fQm //;
jfQm1 hO m1 j
5 Pm1 .jfQm hO m j/ C Pm1 .1fjfm fQm j5jfQm hm jg jfm fQm j/
5 Pm1 .jfQm hO m j/CPm1 .1fjfm fQm j5"g jfm fQm j/CPm1 .1f"<jfQm hm jg jfQm hm j/
So we have
5 jjfQm hO m jjL1 .EIdm / C "m .fjfm fQm j 5 "g/ C "1 jjfQm hm jj2L2 .EIdm1 /
So letting
we have
jjfQm1 hO m1 jjL1 .EIdm1 / 5 jjfQm hO m jjL1 .EIdm / C .C0 C 1/jjfQm hm jjL2 .EIdm / :
1C=.2C/
and let
1X
n
cQ0n .!/ D fk .!/ .XQkk .!/ .!//
n
kD1
Least Square Regression Methods 73
jfQ0 g0 .!/j 5 dL ;
.L/
! 2 L :
From now on, we try to give estimates for 0 .V; / and jjPm fQmC1
m;V Pm fQmC1
jj
for some examples.
Let fBt I t = 0g be a standard Brownian motion and T > 0: Now let Vn ; n = 1;
be the space of polynomials of degree less than or equal to n: Let Pt ; t = 0; be the
diffusion operators for the standard Brownian motion, i.e.,
Z
1 1=2 .x y/2
.Pt g/.x/ D . / g.y/ exp. /dy; g 2 m.R/:
2 t R 2t
1 x2
.dx/ D p exp. /dx:
2 T 2T
1 1
lim log 0 .Vn ; / D lim log 1 .Vn ; / D log 9:
n!1 n n!1 n
Proof. Let
x2 d n x2
Hn .xI v/ D exp. / n exp. /; x 2 RN ; v > 0; n = 0:
2v dx 2v
Then we have
1 n
X t x2 .x C t/2 xt t2
Hn .xI v/ D exp. / exp. / D exp. /;
nD0
n 2v 2v v 2v
and
X1
tn sm x.t C s/ t 2 C s 2
Hn .xI v/ Hm .xI v/ D exp. /:
n;mD0
n n v 2v
So we have
X1 Z
t n sm
Hn .xI T /Hm .xI T /.dx/
n;mD0
n n R
X1
.t C s/2 t 2 C s 2 ts t nsn
D exp. / D exp. / D ;
2T 2T T nD0
nT n
and
Z
n
Hn .xI T /Hm .xI T /.dx/ D nm :
R Tn
n
So we see that en .xI T / D . Tn /1=2 Hn .xI T /; n D 1; 2; : : : ; is an orthonormal basis
in L2 .R; d/:
Note that
1 P4 P4
X Y 4
tini Y
4
x. 2
i D1 ti / i D1 ti
. / Hni .xI v/ D exp. /:
n1 ;n2 ;n3 ;n4 D0
n i D1
i D1 i
v 2v
and so
1
X Y 4 Z Y4
tini
Hn .xI T /.dx/
n1 ;n2 ;n3 ;n4
n R i D1 i
D0 i D1 i
P4 P4
. 2 2 X
i D1 ti / i D1 ti 1
D exp. / D exp. ti tj /:
2T 2T T
15i <j 54
Least Square Regression Methods 75
So we have
Z X
1 dn dn 1
Hn .xI T /4 .dx/ D n n . 2n . ti tj /2n //jt1 DDt4 D0 :
R .2n/ dt4 dt1 T
15i <j 54
Note that
X
ti tj D t1 .t2 C t3 C t4 / C t2 .t3 C t4 / C t3 t4
15i <j 54
and so we have
dn X .2n/
.. ti tj /2n /jt1 D0 D .t2 C t3 C t4 /n .t2 .t3 C t4 / C t3 t4 /n ;
dt1n n
15i <j 54
d dn
n X
.. ti tj /2n /jt1 Dt2 D0
dt2n dt1n
15i <j 54
!
.2n/ X n n
n
n
D .t3 C t4 /k .t3 C t4 /k .t3 t4 /nk
n k k .n k/
kD0
!2
X
n
n
D .2n/ .t3 C t4 /2k .t3 t4 /nk :
k
kD0
So we have
!2 !
dn dn X X
n
n 2k
n n.
2n
ti tj / /jt1 DDt4 D0 D .2n/.n/ 2
:
dt4 dt1 k k
15i <j 54 kD0
Let
n
an D log. /; n = 0:
nn1=2 e n
we have
!2 ! ! !
1 n 2k 1 n 1 2k
log. / D 2 log C log
n k k n k n k
k 1
D 2h. / C . log n C log.n k/ C log k C 2an 2ank 2ak /
n n
2k 1 1
C log 2 C . log.2k/ C log k C a2k 2a2k /;
n n 2
where
Also, we have
!2 ! !2 !
1 n 2k 1 X
n
n 2k
max log. / 5 log. /
kD0;1;:::;n n k k n k k
kD0
!2 !
1 n 2k 1
5 max log. / C log.n C 1/:
kD0;1;:::;n n k k n
So we have
!2 !
1
nX n 2k
log. / ! max .2h.x/ C 2x log 2/ D log 9; n ! 1:
n k k x20;1
kD0
Since
Z
en .xI T /4 .dx/ 5 0 .Vn ; /
R
and
n Z
X
0 .Vn ; / 5 1 .Vn ; / 5 .n C 1/ ek .xI T /4 .dx/
kD0 R
Z
5 .n C 1/2 max ek .xI T /4 .dx/;
kD0;:::;n R
Least Square Regression Methods 77
we see that
1 1
lim log 0 .Vn ; / D lim log 1 .Vn ; / D log 9:
n!1 n n!1 n
d2
Note that dx 2
f .x/ D .x/: So we have
d2 1 x2
.Pt f /.x/ D p exp. /:
dx 2 2 t 2t
Then we have
1
X Z
sn
HnC2 .xI T /.Pt f /.x/.dx/
nD0
n R
1
X Z
sn 1 d nC2 x2
D p nC2
.exp. //.Pt f /.x/dx
nD0
n 2 T R dx 2T
1 n
X Z
s 1 dn x2 d 2
D p n
.exp. // 2 .Pt f /.x/dx
nD0
n 2 T R dx 2T dx
Z
1 1 sx s2 x2 x2
Dp p exp. / exp. / exp. /dx
2 t 2 T R T 2T 2T 2t
1 tT s 2 s2 1 s2
Dp exp. 2 /D p exp. /:
2 .T C t/ 2T .T C t/ 2T 2 .T C t/ 2.T C t/
So we have
Z
1 .2m/ 1
H2mC2 .xI T /.Pt f /.x/.dx/ DD p . /m
R 2 .T C t/ m 2.T C t/
and so
Z
e2mC2 .xI T /.Pt f /.x/.dx/
R
So we see that
Z
t m
lim m3=4 .1 C / j e2mC2 .xI T /Pt f .x/.dx/j
m!1 T R
d Z
X t
X.t; x/ D x C Vi .X.s; x// dB i .s/: (3)
i D0 0
Then there is a unique solution to this equation. Moreover we may assume that
X.t; x/ is continuous in t and smooth in x and X.t; / W RN ! RN ; t 2 0; 1/; is a
diffeomorphism withSprobability 1.
Let A D f;g [ 1 kD1 f0; 1; : : : ; d g and for 2 A , let jj D 0 if D ;; let
k
jjI i D 0g: Let A and A denote A n f;g and A n f;; 0g; respectively. Also,
for each m = 1; A5m ; f 2 A I k k5 mg:
We define vector fields V ; 2 A ; inductively by
V; D 0; Vi D Vi ; i D 0; 1; : : : ; d;
Vi D V ; Vi ; i D 0; 1; : : : ; d:
Proposition 12. For any T > 0; there are C 2 .0; 1/ and 0 > 0 such that
20
p.t; x; y/ 5 C t .N C1/`0 =2 h.x/2.N C1/`0 exp. jy xj2 /
t
and
20
p.t; x; y/ 5 C t .N C1/`0 =2 h.y/2.N C1/`0 exp. jy xj2 /
t
and
Proposition 14. For any m = 1 and T > 0; there is a C 2 .0; 1/ such that
@
j .p.t; x; y/." C h.y//m /jN C1
@yi
@
5 2N C1 j p.t; x; y//jN C1 ." C h.y//m.N C1/
@yi
@h
C2N C1 mN C1 p.t; x; y/N C1 ." C h.y//.mC1/.N C1/j .y/jN C1 :
@yi
These and Sobolevs inequality imply that there is a C > 0 such that
for any x 2 E; y 2 RN ; t 2 .0; T ; and " > 0: This proves our assertion.
Let Pt ; t = 0; be a diffusion operator defined in Cb1 .RN / given by
@
j .Pt f /.x/j 5 C t .jjCN C2/`0 =2 h.x/2.jjCN C2/`0 .Pt .jf j2 /.x//1=2
@x
@
j .p.t; x; y/ /j 5 C t `0 h.x/4`0 ; x 2 E; t 2 .0; T :
@y i
.m/
Y N
.2.ki 1/ m/ .2ki m/
DE D log m; log m/;
k
i D1
m m
and
.D/ = C 1 m.2N C C/
Proof. Let us fix n = 0: Since Pr is a finite dimensional vector space, any norms
on Pr are equivalent. So we see that there is a Cr > 0 such that
Z Z
. jf .x/j4 dx/1=4 5 Cr . jf .x/j2 dx/1=2 ; f 2 Pr :
.1;1/N .1;1/N
and
.0/ .1/
Then it is obvious that Dm Dm :
Then we have the following.
Proposition 18. (1) Let 0;m;n ; m = 2; n = 1; be the set of ! 2 such that
.0/
Dm Dm;n .!/: Then we have
.1/
(2) Let 1;m;n ; m = 2; n = 1; be the set of ! 2 such that Dm;n .!/ Dm : Then
there is an m1 = 1 such that
1 1
5 .1 /x 5 e 1 ; x = 2:
4 x
For D 2 Dm we have
for any D 2 Dm with .D/ 2 0; 1=2: So we see that for any D 2 Dm with
.D/ 2 0; 1=2;
Note that
and
X
P . n 1;m;n / 5 P .Nn .D/ = 1/ 5 .2 log 2/nmN 1 m = m1 :
.0/
D2Dm nDm
1
inf .x/ = sup .x/ = m.N C C2=3/ ; m = m2 :
x2D 2 x2D
Then we see that .x1 / = .2 log m/N mN =3 : Applying Proposition 16 for D
1=.2.N C C =3// > 0; we see that there is a C0 > 0 such that
So we see that
2N log m
j.x/ .x1 / j 5 C0 : x 2 D;
m
and so
2N log m
.x/ = .x1 / C0
m
1 2N log m
= . .x1 // C .1 2 /.2 log m/N m1=2 C0
2 m
So we see that if m is sufficiently large
1
inf .x/ = sup .x/ = m.N C C2=3/ :
x2D 2 x2D
X Z
52 inf .x/Cr4 .2m1 log m/ N
. fD .x/2 dx/2
x2D D
D2Dm:n .!/
X Z
1
52 Cr4 .2m1 log m/N . fD .x/2 .dx//2
infx2D .x/ D
D2Dm:n .!/
Z
5 m2N C C .2N C1 Cr4 m=3 .log m/N /. f .x/2 .dx//2 :
RN
So we see that
X Z
@
sup jf .x/j 5 C0 j j .f ."x//j2 dx/1=2
x2.";"/N .1;1/N @x
2ZN
=0 ;jj5N
X Z
jjN=2 @ f
5 C0 " . j .x/j2 dx/1=2 :
.";"/N @x
2ZN
=0 ;jj5N
X Z
1 @ f t
.1 t/r d rC1
jf .x/ .0/x j 5 j rC1 f .tx/jdt
@x 0 r dt
2ZN
=0 ;jj5r
X @ f
5 jxjrC1 sup j .tx/j;
t 20;1 @x
2ZN
=0 ;jjDrC1
and so we have
Z
inff. jf .x/ g.x/j2 dx/1=2 I g 2 Pr g
.";"/N
X @ f
5 .2N "/rC1CN=2 sup j .x/j
x2.";"/N @x
2ZN
=0 ;jjDrC1
X Z
@C f
5 "rC1 C0 .2N /rC1CN=2 . j .x/j2 dx/1=2 :
..";"/N @x C
;2ZN
=0 ;jjDrC1;jj5N
.1/
Proposition 22. For any T > 0 there is an m4 = 1 such that for any D 2 Dm ;
m = m4 ;
Z
inff jPt f .x/ g.x/j2 .dx/I g 2 Pr g
D
Z
5 m2.rC1/C2=3 t .rC2N C3/`0 =2 Pt .jf j2 /.x/.dx/;
D
.1/
see that there is a C2 > 0 such that for D 2 Dm ; m = m2 ;
Z
inff. jPt f .x/ g.x/j2 .dx//1=2 I g 2 Pr g
D
Z
5 .sup .x// 1=2
inff. jPt f .x/ g.x/j2 dx/1=2 I g 2 Pr g
x2D D
X Z
@
5 2. inf .x//1=2 C2 .2m1 log m/rC1 . j Pt f .x/j2 dx/1=2
x2D D @x
2ZN
=0 ;rC15jj5rCN
Z
5 2C2 .2m1 log m/rC1 C1 m=4 t .rC2N C3/`0 =2 . .Pt .jf j2 //.x/.dx//1=2 :
D
.RN n A0;m / D . log m; log m/N n A0;m / C .RN n log m; log m/N /
X Z
D .D/ C p.T0 ; x0 ; x/dx
.0/ RN n log m;log m/N /
D2Dm nDm
Z
N 0 .N C1/`0 =2 20 jx x0 j2
5m C C T0 h.x0 /2.N C1/`0 exp. /dx:
RN n log m;log m/N / T0
References
Alexander J. Zaslavski
1 Introduction
X
T 1
1
v.xt ; xt C1 / ! max; f.xt ; xt C1 /gtTD0 ; x0 D z1 ; xT D z2 (P1)
t D0
X
T 1
1
v.xt ; xt C1 / ! max; f.xt ; xt C1 /gtTD0 ; x0 D z1 (P2)
t D0
Discrete Time Optimal Control Problems on Large Intervals 93
X
T 1
1
v.xt ; xt C1 / ! max; f.xt ; xt C1 /gtTD0 ; (P3)
t D0
fxt gTtD0 is an approximate solution of the problem (P2), then .xT t ; yt / for all
integers t 2 0; , where fyt g1
t D0 2 P.v/.
N
Moreover, using the Baire category approach, we show that for most objective
functions v the set P.v/N is a singleton.
In the second part of the paper we establish new results on the structure of
solutions of optimal control systems which are discrete-time analogs of Bolza
problems in the calculus of variations. These systems are described by a pair of
objective functions which determines an optimality criterion.
Our paper is organized as follows. Section 2 contains turnpike results for discrete-
time Lagrange problems. Section 3 contains preliminaries which we need for the
study of the structure of solutions in the regions close to the endpoints. The results
of [39], which describe the structure of solutions of Lagrange problems in the
regions close to the endpoints, are discussed in Sect. 4. The turnpike results for
discrete-time Bolza problems are proved in Sect. 5. Our results (Theorems 1518
and Propositions 17 and 18) which describe the structure of solutions of Bolza
problems in the regions close to the endpoints, are stated in Sect. 6. Section 7
contains a basic lemma for the proof of Theorem 15 which is proved in Sect. 8.
Proposition 17 is proved in Sect. 9. Section 10 contains the proof of Theorem 17.
Proposition 18 is proved in Sect. 11.
X
T 1
.u; T; x/ D supf u.xi ; xi C1 / W fxi gTiD0 is an ./ program and x0 D xg;
i D0
(2)
X
T 1
.u; T; x; y/ D supf u.xi ; xi C1 / W
i D0
fxi gTiD0 is an ./ program and x0 D x; xT D yg; (3)
X
T 1
.u; T / D supf u.xi ; xi C1 / W fxi gTiD0 is an ./ programg: (4)
i D0
(Here we use the convention that the supremum of an empty set is 1).
Discrete Time Optimal Control Problems on Large Intervals 95
2 1
TX
2 1
.fut gtTDT 1
; T1 ; T2 ; x/ D supf ut .xt ; xt C1 / W
t DT1
fxt gTt DT
2
1
is an ./ program and xT1 D xg; (5)
2 1
TX
2 1
.fut gTt DT 1
; T1 ; T2 ; x; y/ D supf ut .xt ; xt C1 / W
t DT1
fxt gTt DT
2
1
is an ./ program and xT1 D x; xT2 D yg; (6)
2 1
TX
2 1
.fut gtTDT 1
; T1 ; T2 / D supf ut .xt ; xt C1 / W fxt gTt DT
2
1
is an ./ programg;
t DT1
(7)
2 1
TX
2 1
O t gtTDT
.fu 1
; T1 ; T2 ; y/ D supf ut .xt ; xt C1 / W
t DT1
fxt gTt DT
2
1
is an ./ program and xT2 D yg: (8)
X
T 1
v.xt ; xt C1 / .v; T / T v.xN v ; xN v / C cNv : (9)
t D0
X
T 1
f v.xt ; xt C1 / T v.xN v ; xN v /g1
T D1
t D0
P 1
is bounded or limT !1 tTD0 v.xt ; xt C1 / T v.xN v ; xN v / D 1:
96 A.J. Zaslavski
An ./-program fxt g1
t D0 is called .v; /-good if the sequence
X
T 1
f v.xt ; xt C1 / T v.xN v ; xN v /g1
T D1
t D0
is bounded.
We suppose that the following assumption holds:
(A3) (the asymptotic turnpike property or, briefly, (ATP)) For any .v; /-good
program fxt g1 N v / D 0.
t D0 , limt !1 .xt ; x
It follows from assumptions (A1) and (A3) that if .xN v ; xN v / is not an isolated point
of X X , then kvk > 0.
Examples of optimal control problems satisfying (A1)(A3) are given in [28, 29,
37].
Denote by Card.A/ the cardinality of a set A and suppose that the sum over
empty set is zero.
Evidently, for each pair of integers T1 ; T2 satisfying 0 T1 < T2 , each sequence
2 1
fwt gtTDT 1
M ./ and each x; y 2 X satisfying .x; xN v /; .y; xN v / rNv the value
2 1
.fwt gtTDT 1
; T1 ; T2 ; x; y/ is finite.
Let T be a natural number. We denote by YT the set of all points x 2 X such that
there exists an ./-program fxt gTtD0 satisfying x0 D xN v and xT D x and denote by
YNT the set of all points x 2 X such that there exists an ./-program fxt gTtD0 such
that x0 D x and xT D xN v .
The following two theorems obtained in [32] establish the turnpike property for
approximate solutions of the optimal control problems of the types (P1) and (P2)
with objective functions ut , t D 0; : : : ; T 1 which belong to a small neighborhood
of v.
Theorem 1. Let 2 .0; rNv /, L0 be a natural number and M0 > 0. Then there
exist an integer L 1 and 2 .0; / such that for each integer T > 2L, each
1
fut gTt D0 M ./ satisfying
kut vk ; t D 0 : : : T 1;
x0 2 YNL0 ; xT 2 YL0 ;
X
T 1
1
ut .xt ; xt C1 / .fut gtTD0 ; 0; T; x0 ; xT / M0
t D0
and
CL1
X
CL1
ut .xt ; xt C1 / .fut gtD ; ; C L; x ; x CL /
t D
Discrete Time Optimal Control Problems on Large Intervals 97
.xt ; xN v / ; t D 1 ; : : : ; 2 :
kut vk ; t D 0 : : : ; T 1
X
T 1
x0 2 YNL0 ; 1
ut .xt ; xt C1 / .fut gtTD0 ; 0; T; x0 / M0
t D0
and
CL1
X
CL1
ut .xt ; xt C1 / .fut gtD ; ; C L; x ; x CL /
t D
.xt ; xN v / ; t D 1 ; : : : ; 2 :
kut vk ; t D 0; : : : ; T 1; (10)
X
T 1
1
ut .xt ; xt C1 / .fut gtTD0 ; 0; T / M: (11)
t D0
98 A.J. Zaslavski
holds.
1
2. Assume that an integer T 2L, fut gtTD0 M ./ and an ./-program fxt gTtD0
satisfy (10), (11) and
X
T 1
1
ut .xt ; xt C1 / .fut gtTD0 ; 0; T; x0 ; xT / : (12)
t D0
.xt ; xN v / ; t D 1 ; : : : ; 2 :
X
T 1
1
lim sup ut .xt ; xt C1 / .fut gtTD0 ; 0; T / > M:
T !1 t D0
Then
1
4. Assume that an integer T > 0, fut gtTD0 M ./, an ./-program fxt gTtD0
satisfy (10)(12) and integers T1 ; T2 satisfy 0 T1 < T2 T . Then
2 1
TX
2 1
ut .xt ; xt C1 / .fut gtTDT 1
; T1 ; T2 / .4L C 2/.2kvk C 2/ M 1:
t DT1
X
T 1
lim sup v.yt ; yt C1 / v.xt ; xt C1 / 0
T !1 t D0
holds.
The following result obtained in [28] establishes the existence of an overtaking
optimal program.
Theorem 4. Assume that x 2 X and that there exists a .v; /-good program
fxt g1
t D0 such that x0 D x. Then there exists an .v; /-overtaking optimal program
fxt g1
t D0 such that x0 D x.
The next result obtained in [28] provides necessary and sufficient conditions for
overtaking optimality.
Theorem 5. Assume that fxt g1 t D0 is an ./-program and that there exists a .v; /-
good program fyt g1t D0 such that y0 D x0 . Then the program fxt g1t D0 is .v; /-
overtaking optimal if and only if the following conditions hold:
(i) limt !1 .xt ; xN v / D 0;
(ii) For each natural number T and each ./-program fyt gTtD0 satisfying y0 D x0 ,
P 1 P 1
yT D xT the inequality tTD0 v.yt ; yt C1 / tTD0 v.xt ; xt C1 / holds.
The following two theorems obtained in [39] establish the uniform convergence
of overtaking optimal programs to xN v .
Theorem 6. Let L0 be a natural number and be a positive number. Then there
exists an integer T0 1 such that for each .v; /-overtaking optimal program
fxt g1 N
t D0 satisfying x0 2 YL0 the inequality .xt ; x
N v / holds for all integers t
T0 .
Theorem 7. Let > 0. Then there is > 0 such that for each .v; /-overtaking
optimal program fxt g1 N v / the inequality .xt ; xN v / holds
t D0 satisfying .x0 ; x
for all nonnegative integers t.
The following two lemmas play an important role in the proofs of the results
stated above. Their proofs can be found in [37].
Lemma 1 (Lemma 2.16 of [37]). Let ; M0 be positive numbers. Then there exists
an integer T0 1 such that for each natural number T T0 , each ./-program
fxt gTtD0 which satisfies
X
T 1
v.xt ; xt C1 / T v.xN v ; xN v / M0
t D0
minf.xi ; xN v / W i D s C 1; : : : ; s C T0 g :
100 A.J. Zaslavski
Lemma 2 (Lemma 2.15 of [37]). Let be positive number. Then there exists a
number 2 .0; rNv / such that for each natural number T and each ./-program
fxt gTtD0 which satisfies
.x0 ; xN v /; .xT ; xN v / ;
X
T 1
v.xt ; xt C1 / .v; x0 ; xT ; T /
t D0
We associate with any v 2 M0 ./ the triplet .xN v ; cNv ; rNv / satisfying (13)(15).
Denote by M ./ the set of all v 2 M0 ./ such that for any .v; /-good
program fxi g1
i D0 ,
lim .xi ; xN v / D 0:
i !1
Discrete Time Optimal Control Problems on Large Intervals 101
Set
3 Preliminaries
X
T 1
v.xt ; xt C1 / T v.xN v ; xN v / M:
t D0
Clearly, [fXM W M 2 .0; 1/g is the set of all points x 2 X such that there exists
a .v; /-good program fxt g1
t D0 satisfying x0 D x.
The boundedness of the function v implies the following useful auxiliary result.
Proposition 2. Let T 1 be an integer. Then there exists M > 0 such that YNT
XM .
Lemma 1 implies the following useful auxiliary result.
Proposition 3. Let M > 0. Then there exists a natural number T such that the
inclusion XM YNT holds.
We define a function v .x/, x 2 X which plays an important role in our study.
For all x 2 X n [fXM W M 2 .0; 1/g set
v .x/ D 1:
Let
Put
X
T 1
v .x/ D supflim sup .v.xt ; xt C1 / v.xN v ; xN v // W
T !1 t D0
ffxt g1
t D0 is an ./ program such that x0 D xg: (17)
X
T 1
v .x/ D supflim sup .v.xt ; xt C1 / v.xN v ; xN v // W
T !1 t D0
fxt g1
t D0 is an .v; / good program such that x0 D xg: (19)
Denote by P.v; x/ the set of all .v; /-overtaking optimal programs fxt g1
t D0 such
that x0 D x. In view of Theorem 4, the set P.v; x/ is nonempty. Definition (17)
implies the following result.
Proposition 4. 1. Let fxt g1
t D0 be a .v; /-good program. Then for each integer
t 0,
2. Let T be a natural number and fxt gTtD0 be an ./-program such that v .xT / >
1. Then inequality (20) is valid for all integers t D 0; : : : ; T 1.
The next result follows from the definition of .v; /-overtaking optimal pro-
grams.
Proposition 5. Let x 2 [fXM W M 2 .0; 1/g and fxt g1
t D0 be a .v; /-overtaking
optimal program such that x0 D x. Then
X
T 1
v .x/ D lim sup .v.xt ; xt C1 / v.xN v ; xN v //:
T !1 t D0
Corollary 1. Let fxt g1t D0 be a .v; /-overtaking optimal and .v; /-good program.
Then for any integer t 0,
Put
X
T 1
.x0 / D lim
v
.v.xt ; xt C1 / v.xN v ; xN v //:
T !1
t D0
Proposition 10 and (18) imply that the set D.v/ is nonempty and closed subset of
X . The following proposition is also proved in [39].
Proposition 11. Let fxt g1
t D0 be a .v; /-good program such that for all integers
t 0,
Then fxt g1
t D0 is a .v; /-overtaking optimal program.
The next result easily follows from Proposition 9, Theorem 6, (22) and (23).
Proposition 12. For each > 0 there exists an integer T 1 such that for each
z 2 D.v/ and each ./-program fxt g1t D0 2 P.v; z/ the inequality .xt ; x
Nv /
holds for all integers t T .
In order to study the structure of solutions of the problems (P2) and (P3) we
introduce the following notation and definitions.
104 A.J. Zaslavski
Set
N
f.x; y/ 2 X X W .x; xN v /; .y; xN v / rNv g : (25)
N
kuk D supfju.z/j W z 2 g:
N by
For each u 2 M ./ define uN 2 M ./
N
uN .x; y/ D u.y; x/; .x; y/ 2 : (26)
2 1
TX 2 1
TX
uN T2 t CT1 1 .xN t ; xN t C1 / D uT2 t CT1 1 .xT2 t CT1 1 ; xT2 t CT1 /
t DT1 t DT1
2 1
TX
D ut .xt ; xt C1 /: (28)
t DT1
.i /
and fxt gTtD0 , i D 1; 2 be ./-programs. Then
X
T 1 X
T 1
.1/ .1/ .2/ .2/
ut .xt ; xt C1 / ut .xt ; xt C1 / M
t D0 t D0
Discrete Time Optimal Control Problems on Large Intervals 105
if and only if
X
T 1 X
T 1
.1/ .1/ .2/ .2/
uN T t 1 .xN t ; xN t C1 / uN T t 1 .xN t ; xN t C1 / M:
t D0 t D0
hold:P
1 1
if tTD0 ut .xt ; xt C1 / .fut gtTD0 ; 0; T / M , then
X
T 1
1
uN T t 1 .xN t ; xN t C1 / .fNuT t 1 gtTD0 ; 0; T / M I
t D0
PT 1 1
if t D0 ut .xt ; xt C1 / .fut gtTD0 ; 0; T; x0 ; xT / M , then
X
T 1
1
uN T t 1 .xN t ; xN t C1 / .fNuT t 1 gtTD0 ; 0; T; xN 0 ; xN T / M I
t D0
PT 1 1
if t D0 ut .xt ; xt C1 / O .fut gtTD0 ; 0; T; xT / M , then
X
T 1
1
uN T t 1 .xN t ; xN t C1 / .fNuT t 1 gtTD0 ; 0; T; xN 0 / M I
t D0
PT 1 1
if t D0 ut .xt ; xt C1 / .fut gtTD0 ; 0; T; x0 / M , then
X
T 1
1
uN T t 1 .xN t ; xN t C1 / .fN
O uT t 1 gtTD0 ; 0; T; xN T / M:
t D0
N
f.x; y/ 2 X X W .x; xN v /; .y; xN v / rNv g ; (29)
N
N /-good
and for all .v; programs fxt g1
t D0 ,
lim .xt ; xN v / D 0:
t !1
We use the notation, definitions and assumptions introduced in Sects. 2 and 3. The
results of this session were obtained in [39].
The following result describes the structure of approximate solutions of the
problems of the type (P2) in the regions close to the right endpoints.
Theorem 9. Suppose that v 2 M ./ is an upper semicontinuous function, xN v 2
X , rNv > 0, cNv > 0 and that assumptions (A1)(A3) hold. Let L0 1, 0 1 be
integers and > 0. Then there exist > 0 and an integer T0 0 such that for each
1
integer T T0 , each fut gtTD0 M ./ satisfying
kut vk ; t D 0 : : : ; T 1
X
T 1
x0 2 YNL0 ; 1
ut .xt ; xt C1 / .fut gtTD0 ; 0; T; x0 /
t D0
N
there exists an ./-program
fxt g1
t D0 2 [fP.v;
N z/ W z 2 D.v/g
N
such that
.xT t ; xt / ; t D 0; : : : ; 0 :
kut vk ; t D 0 : : : ; T 1
X
T 1
1
ut .xt ; xt C1 / .fut gtTD0 ; 0; T /
t D0
fyt g1
t D0 2 [fP.v; z/ W z 2 D.v/g
N
and an ./-program
fxt g1
t D0 2 [fP.v;
N z/ W z 2 D.v/g
N
fyt g1
t D0 2 [fP.v; z/ W z 2 D.v/g
fyt g1
t D0 2 [fP.v;
N z/ W z 2 D.v/g
N
vN 2 MNc;0 ./
N if and only if v 2 MNc;0 ./:
The next theorem shows that for most objective functions v (in the sense of the
Baire category) the sets [fP.v; z/ W z 2 D.v/g and [fP.v; N z/ W z 2 D.v/g
N are
singletons. In this case approximate solutions of the problems of the types (P2) and
(P3) in the regions close to the endpoints have a simple structure.
Theorem 11. Let M be either MN0 ./ or MNc;0 ./. Then there exists a set F
M \ M ./ which is a countable intersection of open everywhere dense subsets of
M such that for each v 2 F there exists a unique pair of points z; zN 2 X such that
and there exist a unique .v; /-overtaking optimal program fzt g1 t D0 satisfying z0 D
z and a unique .v; N
N /-overtaking optimal program fbzt g1 satisfyingb z0 D zN.
t D0
sup.h/ D supfh.y/ W y 2 Y g:
khk D supfjh.x/j W x 2 X g:
dX .h1 ; h2 / D kh1 h2 k:
2 1
TX
1
ut .xt ; xt C1 / C h.xT2 / ! max; f.xt ; xt C1 /gtTD0 ; xT1 D x (P4)
t DT1
Discrete Time Optimal Control Problems on Large Intervals 109
and set
2 1
TX
2 1
.h; fut gtTDT 1
; T1 ; T2 ; x/ D supf ut .xt ; xt C1 / C h.xT2 / W
t DT1
fxt gTt DT
2
1
is an ./ program and xT1 D xg: (31)
2 1
.h; u; T1 ; T2 ; x/ D .h; fut gtTDT 1
; T1 ; T2 ; x/ where ut D u; t D T1 ; : : : ; T2 1:
(32)
In this section we study turnpike properties of approximate solutions of problems of
the type (P4) and establish the following three results.
Theorem 12. Let 2 .0; rNv / and M > 0. Then there exist a positive number
< minf1; M g and a natural number L such that for each integer T L, each
1
fut gTt D0 M ./, each h 2 M .X / and each ./-program fxt gTtD0 which satisfy
the inequality
holds.
Proof. By Assertion 1 of Theorem 3, there exist a positive number
< minf1; M g
kut vk ; t D 0; : : : ; T 1;
X
T 1
1
ut .xt ; xt C1 / .fut gtTD0 ; 0; T / 8M (36)
t D0
1
Assume that an integer T L, fut gtTD0 M ./, h 2 M .X /, khk M ,
fxt gt D0 is an ./-program and (33) and (34) hold. In view of (33) and (34),
T
inequality (36) holds. By (33), (36) and property (i), the inequality (35) holds.
Theorem 12 is proved.
Theorem 13. Let a positive number < rNv , L0 1 be an integer and M0 > 0.
Then there exist an integer L 1 and a number 2 .0; / such that for each integer
1
T > 2L, each fut gtTD0 M ./ satisfying
kut vk ; t D 0 : : : ; T 1; (37)
each h 2 M .X / satisfying
khk M0 (38)
x0 2 YNL0 ; (39)
X
T 1
1
h.xT / C ut .xt ; xt C1 / .h; fut gtTD0 ; 0; T; x0 / M0 (40)
t D0
and
CL1
X
CL1
ut .xt ; xt C1 / .fut gtD ; ; C L; x ; x CL / (41)
t D
.xt ; xN v / ; t D 1 ; : : : ; 2 : (42)
X
T 1
1
ut .xt ; xt C1 / .fut gtTD0 ; 0; T; x0 / 4M0 (43)
t D0
and (41) for each integer 2 0; T L, there exist integers 1 2 0; L, 2 2
T L; T such that (42) holds; moreover if .x0 ; xN v / , then 1 D 0.
Discrete Time Optimal Control Problems on Large Intervals 111
1
Assume that an integer T > 2L, fut gtTD0 M ./ satisfies (37), h 2 M .X /
satisfies (38) and that an ./-program fxt gTtD0 satisfies (39)(41) for each integer
2 0; T L. In view of (38) and (40), relation (43) holds. By (37), (39), (41),
(43) and property (ii), there exist integers 1 2 0; L and 2 2 T L; T such that
(42) holds and if .x0 ; xN v / , then 1 D 0. Theorem 13 is proved.
Theorem 13 implies the following turnpike result.
Theorem 14. Let a positive number < rNv , L0 1 be an integer and M0 > 0.
Then there exist an integer L 1 and a number 2 .0; / such that for each integer
1
T > 2L, each fut gtTD0 M ./ satisfying
kut vk ; t D 0 : : : ; T 1;
each h 2 M .X / satisfying
khk M0
x0 2 YNL0 ;
X
T 1
1
h.xT / C ut .xt ; xt C1 / .h; fut gtTD0 ; 0; T; x0 /
t D0
.xt ; xN v / ; t D 1 ; : : : ; 2 :
kh gk ;
112 A.J. Zaslavski
1
each fut gtTD0 M ./ satisfying
kut vk ; t D 0 : : : ; T 1
x0 2 YNL0 ;
X
T 1
1
h.xT / C ut .xt ; xt C1 / .h; fut gtTD0 ; 0; T; x0 / M0 ;
t D0
CT
X 0 1
CT0 1
ut .xt ; xt C1 / .fut gt D ; ; C T0 ; x ; x CT0 /
t D
X
T 1
1
h.xT / C ut .xt ; xt C1 / .h; fut gtTDT T0 ; T T0 ; T; xT T0 /
t DT T0
N
N /-overtaking
there exists an .v; optimal program fxt g1
t D0 such that
BY .z; r/ BY .y; r/ n E:
Discrete Time Optimal Control Problems on Large Intervals 113
2. Let L0 1, 0 1 be integers and > 0, M0 > 1. Then there exist > 0 and
an integer T0 0 such that for each integer T T0 , each h 2 M .X / satisfying
kh gk ;
1
each fut gtTD0 M ./ satisfying
kut vk ; t D 0 : : : ; T 1
x0 2 YNL0 ;
X
T 1
1
h.xT / C ut .xt ; xt C1 / .h; fut gtTD0 ; 0; T; x0 / M0 ;
t D0
CT
X 0 1
CT0 1
ut .xt ; xt C1 / .fut gtD ; ; C T0 ; x ; x CT0 /
t D
X
T 1
1
h.xT / C ut .xt ; xt C1 / .h; fut gtTDT T0 ; T T0 ; T; xT T0 /
t DT T0
114 A.J. Zaslavski
N
N /-overtaking
there exists an .v; optimal program fxt g1
t D0 such that
x0 D xg ;
.xT t ; xt / ; t D 0; : : : ; 0 :
The next theorem which is proved in Sect. 10 shows that given a function
g 2 Mu .X /, for most objective functions v (in the sense of the Baire category) the
exists a unique pair of a .v; /-overtaking optimal program fzt g1 N
N /-
t D0 and a .v;
1
overtaking optimal program fb zt gt D0 such that
In this case approximate solutions of the problems of the types (P4) in the regions
close to the right endpoints have a simple structure.
Theorem 17. Let M be either MN0 ./ or MNc;0 ./ and let g 2 Mu .X /. Then there
exists a set F M \ M ./ which is a countable intersection of open everywhere
dense subsets of M such that for each v 2 F there exists a unique pair of points
z; zN 2 X such that
and there exist a unique .v; /-overtaking optimal program fzt g1 t D0 satisfying z0 D
z and a unique .v; N
N /-overtaking optimal program fbzt g1 satisfyingb z0 D zN.
t D0
Q
and denote by P.g; v/ the set of all .v; /-overtaking optimal programs fzt g1
t D0
satisfying z0 2 D.g; v/.
In Sect. 9 we prove the following result.
Proposition 17. Suppose that g 2 Mu .X / and v 2 M ./ are upper semicontin-
uous functions, xN v 2 X , rNv > 0, cNv > 0 and that assumptions (A1)(A3) hold. Let
0 1 be an integer and > 0. Then there exist > 0 and an integer T0 0 such
that for each u 2 Bd .v; r/ \ M ./ and each h 2 Mu .X / satisfying kh gk
the following properties hold:
for each fxt g1 Q 1 Q
t D0 2 P.h; u/ there exists fyt gt D0 2 P.g; v/ such that
.xt ; yt /
.xt ; yt /
Proof. Assume that the lemma does not hold. Then there exist a sequence of real
numbers fk g1
.k/ T0
kD1 .0; 1 and a sequence of ./-programs fxt gt D0 , k D 1; 2; : : :
such that
lim k D 0 (48)
k!1
116 A.J. Zaslavski
and that for each natural number k and each .v; /-overtaking optimal program
fzt g1
t D0 satisfying (46),
.k/
. v C g/.x0 / sup. v C g/ k ; (49)
0 1
TX
.k/ .k/ .k/ .k/
.v.xt ; xt C1 / v.xN v ; xN v // v .x0 / C v .xT0 / k ; (50)
t D0
.k/
maxf.zt ; xt / W t D 0; : : : ; T0 g > : (51)
.k/ .k/
By (49) and (50), for each natural numbers k, the values v .x0 / and v .xT0 /
are finite. Extracting a subsequence and re-indexing, if necessary, we may assume
without loss of generality that for each integer t 2 0; T0 there exists
.k/
xt D lim xt : (52)
k!1
.k/ .k/
v .x0 / lim sup v .x0 /; g.x0 / lim sup g.x0 /: (53)
k!1 k!1
.k/
sup. v C g/ . v C g/.x0 / lim sup. v C g/.x0 / sup. v C g/; (54)
k!1
.k/
sup. v C g/ D . v C g/.x0 / D lim . v C g/.x0 /: (55)
k!1
.k/ .k/
v .x0 / D lim v .x0 /; g.x0 / D lim g.x0 /: (56)
k!1 k!1
It follows from upper semicontinuity of v and v (see Proposition 10), (48), (50),
(52) and (56) that
0 1
TX
.v.xt ; xt C1 / v.xN v ; xN v // v .x0 / C v .xT0 /
t D0
0 1
TX
.k/ .k/ .k/ .k/
lim sup. .v.xt ; xt C1 / v.xN v ; xN v // v .x0 / C v .xT0 //
k!1 t D0
Relations (55) and (57) imply that the values v .x0 / and v .xT0 / are finite.
Combined with Proposition 4 and (57) this implies that for all integers t D
0; : : : ; T0 1,
Since v .xT0 / is finite it follows from Theorem 4 that there exists a .v; /-
overtaking optimal and .v; /-good program fxQ t g1
t D0 satisfying
xQ 0 D xT0 : (59)
xt D xQ t T0 : (60)
8 Proof of Theorem 15
N
N /-overtaking
there exists an .v; optimal program fzt g1
t D0 such that
Propositions 6 and 7 and assumption (A1) imply that there exists a real number
2 2 .0; 1 / such that for each point z 2 X satisfying .z; xN v / 22 ,
jv.x; y/ v.
N xN v ; xN v /j 1 =8: (67)
It follows from Theorem 13 that there exist a natural number L and a positive
number 3 such that the following property holds:
1
(Pii) For each integer T > 2L, each fut gtTD0 M ./ satisfying
kut vk 3 ; t D 0 : : : ; T 1;
each h 2 M .X / satisfying
kh gk 1
z0 2 YNL0 ;
X
T 1
1
h.zT / C ut .zt ; zt C1 / .h; fut gtTD0 ; 0; T; z0 / M0 ;
t D0
CL1
X
CL1
ut .zt ; zt C1 / .fut gtD ; ; C L; z ; z CL / 3
t D
Proposition 6, (18) and (25) imply that the set D0 is nonempty and closed.
Let
z 2 D0 : (69)
Discrete Time Optimal Control Problems on Large Intervals 119
z0 D z 2 D0 : (71)
N
N /-overtaking
By Proposition 8, for each .v; optimal program f
t g1
t D0 such that
0 2 D0 we have
X
T 1
vN .
0 / D lim N t ;
t C1 / v.
.v.
N xN v ; xN v //: (72)
T !1
t D0
Lemma 1, (70) and (72) imply that there exists a natural number L1 such that
D0 YL1 : (73)
By (73) and Theorem 6 applied to the function vN there exists a natural number 1
N
N /-overtaking optimal program fzt g1
such that for each .v; t D0 satisfying z0 2 D0 we
have
kh gk ; (77)
1
fut gTt D0 M ./ satisfies
kut vk ; t D 0 : : : ; T 1 (78)
x0 2 YNL0 ; (79)
X
T 1
1
h.xT / C ut .xt ; xt C1 / .h; fut gtTD0 ; 0; T; x0 / M0 ; (80)
t D0
120 A.J. Zaslavski
CT
X 0 1
CT0 1
ut .xt ; xt C1 / .fut gtD ; ; C T0 ; x ; x CT0 / (81)
t D
X
T 1
1
h.xT / C ut .xt ; xt C1 / .h; fut gtTDT T0 ; T T0 ; T; xT T0 / : (82)
t DT T0
It follows from (75) to (79), (81) and the property (Pii) that
.xt ; xN v / 2 ; t D L; : : : ; T L: (83)
By (76),
T L 0 1 4; T L 0 1 L; T L 0 1 : (84)
.xt ; xN v / 2 ; t 2 fT L 0 1 4; T L 0 1 g: (85)
N
N /-overtaking
There exists (see (68)(71)) an .v; optimal program fzt g1
t D0 such that
xQ t D xt ; t D 0; : : : ; T L 0 1 4;
xQ t D zT t ; t D T L 0 1 3; : : : ; T: (87)
It follows from (61), (85), (87) and (88) that fxQ t gTtD0 is an ./-program. By (76)
(78), (82) and (87),
X
T 1
1
.h; fut gtTDT T0 ; T T0 ; T; xT T0 / h.xT / ut .xt ; xt C1 /
t DT T0
X
T 1 X
T 1
h.xQ T / C ut .xQ t ; xQ t C1 / h.xT / ut .xt ; xt C1 /
t DT T0 t DT T0
Discrete Time Optimal Control Problems on Large Intervals 121
X
T 1
D h.xQ T / h.xT / C .ut .xQ t ; xQ t C1 / ut .xt ; xt C1 //
t DT L0 1 4
X
T 1
g.xQ T / g.xT / C v.xQ t ; xQ t C1 /
t DT L0 1 4
X
T 1
v.xt ; xt C1 / 2.L C 0 C 1 C 6/:
t DT L0 1 4
X
T 1
g.xT / C v.xt ; xt C1 /
t DT L0 1 4
X
T 1
g.xQ T / C v.xQ t ; xQ t C1 / 2.L C 0 C 1 C 8/
t DT L0 1 4
jv.z
N LC0 C1 C3 ; xT L0 1 4 / v.z
N LC0 C1 C3 ; zLC0 C1 C4 /j 1 =4:
X
T 1
g.xT / C v.xt ; xt C1 /
t DT L0 1 4
0 C1 C3
LCX
g.z0 / C N t ; zt C1 / 1 =4 2.L C 0 C 1 C 8/:
v.z (90)
t D0
Set
yt D xT t ; t D 0; : : : ; L C 0 C 1 C 4: (91)
0 C1 C3
LCX
g.y0 / C N t ; yt C1 /
v.y
t D0
122 A.J. Zaslavski
0 C1 C3
LCX
D g.xT / C v.xT t 1 ; xT t /
t D0
X
T 1
D g.xT / C v.xt ; xt C1 /
t DT L0 1 4
0 C1 C3
LCX
g.z0 / C N t ; zt C1 / 31 =8:
v.z (92)
t D0
. vN C g/.y0 / sup. vN C g/
0 1
X
C N xN v ; xN v // vN .y0 / C vN .y0 /
N t ; yt C1 / v.
.v.y
t D0
. vN C g/.y0 / . vN C g/.z0 /
0 C1 C3
LCX
C N xN v ; xN v // vN .y0 / C vN .yLC0 C1 C4 /
N t ; yt C1 / v.
.v.y
t D0
0 C1 C3
LCX
vN vN
.y0 / .z0 / C N t ; zt C1 / v.
.v.z N xN v ; xN v //
t D0
. vN C g/.y0 / sup. vN C g/
0 1
X
C N xN v ; xN v // vN .y0 / C vN .y0 / 1 :
N t ; yt C1 / v.
.v.y
t D0
Discrete Time Optimal Control Problems on Large Intervals 123
N
N /-overtaking
It follows from (95), (96) and the property (Pi) that there exists an .v;
1
optimal program f
t gt D0 such that
. vN C g/.
0 / D sup. vN C g/;
.
t ; xT t / D .
t ; yt / ; t D 0; : : : ; 0 : Theorem 15 is proved. t
u
9 Proof of Proposition 17
We show that together with (98) and Assertion 1 of Theorem 3 this implies that
there exists 0 2 .0; / such that for each u 2 Bd .v; 0 / \ M0 ./,
Q t D 0; : : : ; T 1;
kut vk ;
124 A.J. Zaslavski
X
T 1
1
ut .xt ; xt C1 / .fut gtTD0 ; 0; T / 2cNv 4
t D0
we have
Q
Card.ft 2 f0; : : : ; T g W .xt ; xN v / > 81 rNv g/ < L:
Assume that
t D xN u ; t D 0; 1; : : : : (102)
.
t ; xN v / > rNv =4; t D 0; 1; : : : : (103)
Q
X
.kC1/L1
Q 2cNv 4:
u.
t ;
t C1 / < .u; 0; L/ (104)
Q
t Dk L
.u; 0; L/ Q C 0 LQ Lv.
Q .v; 0; L/ Q xN v ; xN v / C cNv C 0 LQ
Q xN v ; xN v / C cNv C 20 LQ Lu.
Lu. Q xN v ; xN v / C cNv C 1: (105)
Q
X
.kC1/L1
Q xN v ; xN v / cNv 3:
u.
t ;
t C1 / Lu.
Q
t Dk L
Q xN u ; xN u / Lu.
Lu. Q xN v ; xN v / cNv 3;
Discrete Time Optimal Control Problems on Large Intervals 125
This contradicts (98). The contradiction we have reached proves (99). Thus we have
shown that for each function u satisfying (101) relation (99) is valid.
By Theorem 15, there exist 2 .0; 0 / and a natural number T0 0 such that
the following property holds:
(ii) For each integer T T0 , each h 2 M .X / satisfying kh gk , each
fut g0T 1 M0 ./ satisfying
kut vk ; t D 0; : : : ; T 1
.zT t ; xt / ; t D 0; : : : ; 0 :
Assume that
u 2 M ./; ku vk ; h 2 Mu .X /; kh gk ; (106)
fxt g1 Q
t D0 2 P.h; u
N /: (107)
lim xt D xN u : (108)
t !1
It follows from (100), (106) and the choice of 0 that (99) holds. By (108), there
exists an integer S0 > T0 such that
Set
zt D xS0 t ; t D 0; : : : ; S0 : (110)
126 A.J. Zaslavski
0 1
SX
h.zS0 / C u.zt ; zt C1 / D .h; u; S0 ; z0 /: (112)
t D0
y0 D z0 : (113)
0 1
SX 0 1
SX
h.zS0 / C u.zt ; zt C1 / h.yS0 / C u.yt ; yt C1 /:
t D0 t D0
0 1
SX 0 1
SX
h.zS0 / C u.zt ; zt C1 / D h.x0 / C uN .xS0 t 1 ; xS0 t /: (114)
t D0 t D0
Set
In view of (115),
0 1
SX 0 1
SX
h.yS0 / C u.yt ; yt C1 / D h.yN0 / C uN .yNt ; yNt C1 /: (116)
t D0 t D0
N
In view of (107), (109), (110), (113)(116), Proposition 4, Corollary 1 and .Nu; /-
overtaking optimality of fxt g1
t D0 (see (107)),
0 1
SX 0 1
SX
h.zS0 / C u.zt ; zt C1 / h.yS0 / C u.yt ; yt C1 /
t D0 t D0
0 1
SX 0 1
SX
D h.x0 / C uN .xt ; xt C1 / h.yN0 / C uN .yNt ; yNt C1 /
t D0 t D0
Discrete Time Optimal Control Problems on Large Intervals 127
0 1
SX
D h.x0 / C Nu.xt ; xt C1 / u.xN u ; xN u / uN .xt / C uN .xt C1 /
t D0
C uN .x0 / uN .xS0 /
0 1
SX
.h.yN0 / C Nu.yNt ; yNt C1 / u.xN u ; xN u / uN .yNt / C uN .yNt C1 /
t D0
C uN .yN0 / uN .yNS0 //
D h.x0 / C uN .x0 / h.yN0 / uN .yN0 /
0 1
SX
Nu.yNt ; yNt C1 / u.xN u ; xN u / uN .yNt / C uN .yNt C1 /
t D0
Thus (112) holds. By (106), (111), (112), the inequality S0 > T0 and the property (ii)
applied to fzt gSt D0 there exists an fxt g1 Q
t D0 2 P.g; v/
N such that for all t D 0; : : : ; 0 ,
0
Proposition 19 is proved.
10 Proof of Theorem 17
such that
. v C g/.zv / D sup. v C g/
zv .
Let M be either MN0 ./ or MNc;0 ./. By Theorem 8, there exists a set F0
M \ M ./ which is a countable intersection of open everywhere dense subsets of
M.
For each g 2 Mu .X / denote by Eg the set of all v 2 M \ M ./ for which the
following property holds:
(Pi) There exists a unique point zv 2 X such that
. v C g/.zv / D sup. v C g/
lim xt D xN v :
t !1
Hence
v 2 M ./: (121)
Discrete Time Optimal Control Problems on Large Intervals 129
z0 D z: (124)
X
T 1 X
T 1
D lim v.zt ; zt C1 / T v.xN v ; xN v / ..zt ; xN v / C .zt C1 ; xN v //
T !1
t D0 t D0
X
T 1 1
X
lim sup .v.zt ; zt C1 / v.xN v ; xN v // ..zt ; xN v / C .zt C1 ; xN v //
T !1 t D0 t D0
1
X
v .z/ ..zt ; xN v / C .zt C1 ; xN v //
t D0
1
X
D ..zt ; xN v / C .zt C1 ; xN v // C . v C g/.z/ g.z/:
t D0
z0 D z :
X
T 1
v .z / D lim v.zt ; zt C1 / v.xN v ; xN v /: (126)
T !1
t D0
lim z D xN v : (127)
t !1 t
. v C g/.z0 / D . v C g/.z /
and that
for all integers t > 0 . We may assume without loss of generality 0 D 0. Thus
v 2 M ./; xN v D xN v : (131)
It follows from (125), (126), (130), (131) and the equality z0 D z that
v .xN v / D 0: (134)
Set
y0 D y: (137)
X
T 1
D lim .v.yt ; yt C1 / v.xN v ; xN v / ..yt ; yt C1 /; K// C g.y/
T !1
t D0
1
X
v .y/ ..yt ; yt C1 /; K/ C g.y/:
t D0
In view of (118), (125), (129), (135), (137)(139) and the equality z0 D z ,
y D y0 D z : (140)
We show by induction that yt D zt for all integers t 0. There are two cases:
yt D zt ; t D 0; : : : ; T: (144)
(Note that in view of (140) and the equality z0 D z our assumption holds for
T D 0.) By (135), (139), (141), (143) and (144),
yt D zt ; t D 0; : : : ; T: (148)
(Note that in view of (140), our assumption holds for T D 0.) If T < S , then by
(135), (139), (145) and (148),
and yT C1 D xN v D zT C1 . Thus yt D zt for all integers t 0 in the both cases (see
(141) and (142)). This implies that v 2 Eg . Therefore the inclusion above holds in
the both cases (see (117) and (118)). Since v ! v as ! 0C in M we conclude
that for any neighborhood U of v in M, U \ Eg 6D ;: Thus Eg is an everywhere
dense subset of M. Lemma 4 is proved.
F1 D \1
pD1 [ fU .v; k/ W v 2 Eg ; k pg; F D F1 \ F0 : (149)
.i /
. v C g/.x0 / D sup. v C g/; i D 1; 2: (150)
u 2 U .vp ; kp /: (151)
v
In view of (149), (151) and property (Pii), .xt ; zt p / kp1 p 1 , t D 0; : : : ; p,
.i /
11 Proof of Proposition 18
Set
F D \1
pD1 [ fU .v; g; k/ W .v; g/ 2 E; k pg \ .G0 A/: (152)
fxt g1
.i / Q
t D0 2 P.h; u/; i D 1; 2: (153)
.gp ;vp /
/ kp1 p 1 , t D 0; : : : ; p, i D 1; 2. This
.i /
In view of (152)(154), .xt ; zt
implies that .xt ; xt / 2p 1 , t D 0; : : : ; p. Since p is any natural number we
.1/ .2/
.1/ .2/
conclude that xt D xt for all integers t 0: Proposition 18 is proved. t
u
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Index
K R
K -valued random set, 5 Random fuzzy convex upper semicontinuous
integrands, level sets, 9, 12
Random fuzzy convex upper semicontinuous
L variable, level sets, 89
Lagrange problem, 92 Random lower semicontinuous integrands, 8
Least square regression methods, 58 Random systems of piece-wise polynomials,
Local C 1 topology, 35, 4143, 45 60
Local uniform topology, 41, 45 Random upper semicontinuous integrands, 8
Lower semicontinuous integrand martingale, Re-simulation, 7173
27 Revealed preference theory, 34
M
Martingales, 27 S
Monte Carlo methods, 58 Scalarly F-measurable mapping, 3, 4
Scalarly integrable, 4
Sequential weak lower limit w -liXn , 6
N Sequential weak upper limit w -lsXn , 6
Normal integrand, 4 Support function, 3
O T
Optimal control problem, 92 Turnpike phenomenon, 93
Overtaking optimal program, 98, 99
P W
Perturbation, 98 Weak axiom of revealed preference, 34
Preference relation, 34, 35, 38, 42, 43, 45 Weakly compactly generated (WCG), 6
(/-Program, 92 Weak star (w K for short) converges, 6
p-transitive, 34, 36, 38, 42, 43 w -topology, 3