Research article Special Issues

Optimal control of stochastic system with Fractional Brownian Motion

  • Received: 26 March 2021 Accepted: 14 June 2021 Published: 22 June 2021
  • In this paper, we introduce a class of stochastic harvesting population system with Fractional Brownian Motion (FBM), which is still unclear when the stochastic noise has the character of memorability. Stochastic optimal control problems with FBM can not be studied using classical methods, because FBM is neither a Markov pocess nor a semi-martingale. When the external environment impact on the system of FBM, the necessary and sufficient conditions for the optimization are offered through the stochastic maximum principle, Hamilton function and Itˆo formula in our work. To illustrate our study, we provide an example to demonstrate the obtained theoretical results, which is the expansion of certainty population system.

    Citation: Chaofeng Zhao, Zhibo Zhai, Qinghui Du. Optimal control of stochastic system with Fractional Brownian Motion[J]. Mathematical Biosciences and Engineering, 2021, 18(5): 5625-5634. doi: 10.3934/mbe.2021284

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  • In this paper, we introduce a class of stochastic harvesting population system with Fractional Brownian Motion (FBM), which is still unclear when the stochastic noise has the character of memorability. Stochastic optimal control problems with FBM can not be studied using classical methods, because FBM is neither a Markov pocess nor a semi-martingale. When the external environment impact on the system of FBM, the necessary and sufficient conditions for the optimization are offered through the stochastic maximum principle, Hamilton function and Itˆo formula in our work. To illustrate our study, we provide an example to demonstrate the obtained theoretical results, which is the expansion of certainty population system.



    In recent decades, researchers have paid considerable attention to nonlinear waves at the ocean surface. Phenomena of nonlinear waves play a key role in many fields of engineering and science, such as ocean engineering, plasma physics, Control theory, tsunami waves, communications industry, fluid dynamics, and coastal engineering, etc.

    Non-linear PDEs have great potential for application in various fields; therefore, researchers pay special attention to their analytical and numerical solutions [1,2,3,4,5,6,7,8]. In the literature, many researchers in mathematics and physics have developed various methods to analyze the nonlinear evolution equations (NLEEs), such as the exp-function approach [9], the modified simple equation technique [10,11,12,13,14], the generalized Kudryashov technique [15,16], the GG-expansion approach [17,18,19,20,21,22,23], the extended rational function expansion approach [23], the Hirota bilinear method [24,25,26,27,28,29,30], the extended homoclinic approach [31], the traveling wave scheme [32], the Darboux transformation method [32,33,34,35], the sine-cosine approach [36], the semi-inverse variational principle [37], He's variational iteration technique [38], the sine-Gordon method [39,40,41], A special kind of distributive product [42], the Lie symmetric method [43], the extended homogeneous principal method [44], the power series method [45] and some other methods [46,47].

    The Boussinesq equation represents a long-wavelength and weakly nonlinear approximation used in numerical models, water waves, and coastal engineering for simulating water waves in shallow seas and harbors. A Scottish engineer named John Scott Russell closely observed solitary waves (also called translational waves and solitons). Joseph Boussinesq based his approximation on the obervation of John Scott Russell observation. In 1872, the simulation of one-dimensional water waves was determined by Boussinesq which states that the horizontal velocity is constant and the vertical velocity is linear in addition to the water depth, referred to as the Boussinesq equation [48]. Previously, the Boussinesq equation was investigated using various mathematical approaches [49,50,51,52,53].

    Consider, the Boussinesq equation in the following form

    QttQxx=(Q2)xx+λQxxxx, (1.1)

    where Q=Q(x,t) represents the wave envelope containing x as a spatial variable and t as a temporal variable. Here λ is an arbitrary constant. This is called frequency dispersion phenomenon when water waves of different wavelengths are related, and in the case of an infinitesimal wave amplitude it is also called a linear frequency dispersion. For this reason, this is a valid approximation. The Boussinesq equation allows for waves to propagate in different directions as well, but it is advantageous to consider waves that propagate in the same direction. To form strong and reliable solitons of the Boussinesq equation using (SSET) [54,55,56], the following traveling wave transformation is used.

    X(x,t)=X(β), β=ηx+χt. (1.2)

    Here η and χ are real constants. Applying Eq (1.2) in Eq (1.1), the following ordinary differential equation (ODE) is constructed.

    χ2Qη2Qη2(Q2)λη4Q(iv)=0. (1.3)

    Integrating Eq (1.3) twice with respect to β and neglecting the integration constants, we obtain the following equation.

    (χ2η2)Qη2Q2λη4Q=0. (1.4)

    Where χ and η are the velocity and frequency of the propagating wave.

    We proceed with these main steps in this work:

    Step 1:

    H(X,Xx,Xt,Xxx,Xtt,...)=0, (2.1)

    where H is a polynomial of X and X(β)=X(x,t) is a unknown function. Consider the wave transformation

    β=ηx+χt,

    where χ0 is a constant to be determined later.

    Using the transformation, Eq (2.1) is converted to the following ODE.

    G=(Q,Q,Q,...,)=0. (2.2)

    Step 2: G is a function of Q(β) and prime express the derivatives in regard to β.

    Solution of Eq (2.2) can be formulated as

    Q(β)=Nl=0clMl(β), cl0, (2.3)

    where cl(0lN) are real constants and M(β) satisfying the ODE in the form

    M(β)=ξ+uM(β)2+M(β)4. (2.4)

    Here ξ and u are real constants and Eq (2.4) presents the solutions as

    Case I: If u>0 and ξ=0, then

    M±1(β)=±pqusechpq(uβ),M±2(β)=±pqucschpq(uβ),

    where

    sechpq(β)=2peβ+qeβ,cschpq(β)=2peβqeβ.

    Case II: If u<0 and ξ=0, then

    M±3(β)=±pqusecpq(uβ),M±4(β)=±pqucscpq(uβ),

    where

    secpq(β)=2peιβ+qeιβ,cscpq(β)=2ιpeιβqeιβ.

    Case III: If u<0 and ξ=u24, then

    M±5(β)=±u2tanhpq(u2β),M±6(β)=±u2cothpq(u2β),M±7(β)=±u2(tanhpq(2uβ)±ιpqsechpq(2uβ)),M±8(β)=±u2(cothpq(2uβ)±pqcschpq(2uβ)),M±9(β)=±u8(tanhpq(u8β)+cothpq(u8β)),

    where

    tanhpq(β)=peβqeβpeβ+qeβ,cothpq(β)=peβ+qeβpeβqeβ.

    Case IV: If u>0 and ξ=u24, then

    M±10(β)=±u2tanpq(u2β),M±11(β)=±u2cotpq(u2β),M±12(β)=±u2(tanpq(2uβ)±pqsecpq(2uβ)),M±13(β)=±u2(cotpq(2uβ)±pqcscpq(2uβ)),M±14(β)=±u8(tanpq(u8β)+cotpq(u8β)),

    where

    tanpq(β)=ιpeιβqeιβpeιβ+qeιβ,cotpq(β)=ιpeιβ+qeιβpeιβqeιβ.

    These are generalized trigonometric and hyperbolic functions with parameters p and q. If we take p=q=1, they become known trigonometric and hyperbolic functions.

    Step 3: We calculate the integer N by balancing the capital. Substituting Eq (2.3) into Eq (2.2) we obtain an algebraic equation in the form of Ml(β), which we balance by equating the powers of Ml(β) l = (0, 1, 2, ...) to zero thus obtaining a set of algebraic equations.

    Step 4: This set of equations leads to the required parameters and the exact solution of the given equation.

    In this section, SSET is applied to the Boussinesq equation to construct the traveling wave solution. By the equilibrium rule Eq (2.3) reduces into

    Q(β)=c0+c1M(β)+c2M(β)2, (3.1)

    where c0, c1, c2 are constants. Substitute Eq (3.1), Eq (1.4) into Eq (2.4), we obtain a polynomial in the form of Ml(β) and equate powers of Ml(β) to zero resulting in algebraic equations in c0, c1, c2, χ, η and λ.

    Set of algebraic equations are as:

    2c2η4λξc20η2c0η2+c0χ2=0,
    2c0c1η2c1η2+c1η4λ(u)+c1χ2=0,
    2c0c2η2c2η2c21η24c2η4λu+c2χ2=0,
    2c1η4λ2c1c2η2=0,
    6c2η4λc22η2=0. (3.2)

    With the help of Mathematica software, the following parameters are determined.

    c0=13(c2uc22u23c22ξ),c1=0,c2=c2,
    χ=3η22η2c22(u23ξ)3,λ=c26η2. (3.3)

    Using Eqs (2.4), (3.1) and (3.3) with Eq (1.2), following solutions are constructed.

    Case I: If u>0 and ξ=0, then

    Q±1(x,t)=13(c2uc22u23c22ξ)+c2(±pqu)2sechpq(u(tχ+ηx))2, (3.4)
    Q±2(x,t)=13(c2uc22u23c22ξ)+c2(±pqu)2cschpq(u(tχ+ηx))2. (3.5)

    Case II: If u<0 and ξ=0, then

    Q±3(x,t)=13(c2uc22u23c22ξ)+c2(±pqu)2secpq(u(tχ+ηx))2, (3.6)
    Q±4(x,t)=13(c2uc22u23c22ξ)+c2(±pqu)2cscpq(u(tχ+ηx))2. (3.7)

    Case III: If u<0 and ξ=u24, then

    Q±5(x,t)=13(c2uc22u23c22ξ)+c2(±u2)2tanhpq(u(tχ+ηx)2)2, (3.8)
    Q±6(x,t)=13(c2uc22u23c22ξ)+c2(±u2)2cothpq(u(tχ+ηx)2)2, (3.9)
    Q±7(x,t)=13(c2uc22u23c22ξ)+c2(±u2(tanhpq(2u(tχ+ηx))±ipqsechpq(2u(tχ+ηx))))2, (3.10)
    Q±8(x,t)=13(c2uc22u23c22ξ)+c2(±u2(cothpq(2u(tχ+ηx))±pqcschpq(2u(tχ+ηx))))2, (3.11)
    Q±9(x,t)=13(c2uc22u23c22ξ)+c2(±u22(tanhpq(u(tχ+ηx)22)+cothpq(u(tχ+ηx)22)))2. (3.12)

    Case IV: If u>0 and ξ=u24, then

    Q±10(x,t)=13(c2uc22u23c22ξ)+c2(±u2)2tanpq(u(tχ+ηx)2)2, (3.13)
    Q±11(x,t)=13(c2uc22u23c22ξ)+c2(±u2)2cotpq(u(tχ+ηx)2)2, (3.14)
    Q±12(x,t)=13(c2uc22u23c22ξ)+c2(±u2(tanpq(2u(tχ+ηx))±pqsecpq(2u(tχ+ηx))))2, (3.15)
    Q±13(x,t)=13(c2uc22u23c22ξ)+c2(±u2(cotpq(2u(tχ+ηx))±pqcscpq(2u(tχ+ηx))))2, (3.16)
    Q±14(x,t)=13(c2uc22u23c22ξ)+c2(±u22(tanpq(u(tχ+ηx)22)+cotpq(u(tχ+ηx)22)))2. (3.17)

    Mathematical calculations of achieved exact solutions are more proficient and advantageous in analyzing the dynamical behavior of non-linear wave phenomena based upon their graphical depiction. These obtained solutions elaborates different types of soliton solutions. Some of which are presented in 3D, 2D and contour plots with the help of maple. Figure 1 represents bright soliton solution, Figure 2 represents singular soliton solution for Eqs (3.4) and (3.5) respectively. Figures 3 and 5 demonstrate periodic singular soliton solutions for Eqs (3.7) and (3.17). Solution (3.10) represents dark-bright soliton and is plotted in Figure 4.

    Figure 1.  (a) and (b), 3D and contour graphs of Q±1(x,t) are sketched with η = 0.91, ξ=0,p=0.98,q=0.95,u=0.2, for 8x8, 8t8 respectively. (c) 2D graph with η = 0.91, ξ=0,p=0.98,q=0.95,u=0.2, and t=0,0.2,0.4,0.6,0.8,1 for 10x10.
    Figure 2.  (a) and (b), 3D and contour graphs of Q±2(x,t) are sketched with η = 0.9, ξ=0,p=0.98,q=0.99,u=0.21 for 10x10, 10t10 respectively. (c) 2D graph with η = 0.9, ξ=0,p=0.98,q=0.99,u=0.1, and t=0,0.1,0.2,0.3,0.4,0.5 for 20x20.
    Figure 3.  (a) and (b), 3D and contour graphs of Q±4(x,t) are sketched with η = 0.91, ξ=0,p=0.98,q=0.95,u=0.2, for 7x7, 7t7 respectively. (c) 2D graph with η = 0.91, ξ=0,p=0.98,q=0.95,u=0.2, and t=0,0.1,0.14,0.16,0.18,0.2 for 12x12.
    Figure 4.  (a) and (b), 3D and contour graphs of Q±7(x,t) are sketched with η = 0.91, ξ=0.0200,p=0.98,q=0.95,u=0.2, for 8x8, 8t8 respectively. (c) 2D graph with η = 0.91, ξ=0.0200,p=0.98,q=0.95,u=0.2, and t=0,0.01,0.02,0.03,0.04,0.05 for 15x15.
    Figure 5.  (a) and (b), 3D and contour graphs of Q±14(x,t) are sketched with η = 0.91, ξ=0.0200,p=0.98,q=0.95,u=0.2, for 8x8, 8t8 respectively. (c) 2D graph with η = 0.91, ξ=0.0200,p=0.98,q=0.95,u=0.2, and t=0,0.5,1,1.5,2,2.5 for 25x25.

    SSET is a realistic, effective, and expressive tool that has been successfully implemented in the Boussinesq equation to extract exact traveling wave solutions that are highly beneficial. The obtained results are in the form of rational, hyperbolic and trigonometric functions. As we can see, this method is powerful, efficient and simple tool for solving various types of nonlinear PDEs found in different models of engineering and natural sciences. The obtained results may be practical, beneficial and can explain the water waves in marine engineering, shallow water with long wavelength, optics, nonlinear grids, coupled circuits, elastic rods and so on. At the end 3D, 2D and contour plots of these solutions are sketched using maple.

    The authors extend their appreciation to the Deanship of Scientific Research at King Khalid University, Abha, Saudi Arabia for funding this work through research groups program under grant number RGP.2/20/43.

    The authors declare no conflict of interest.



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