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We study a robust Dynkin game over a set of mutually singular probabilities. We first prove that for the conservative player of the game, her lower and upper value processes coincide (i.e. She has a value process $V $ in the game). Such a result helps people connect the robust Dynkin game with second-order doubly reflected backward stochastic differential equations. Also, we show that the value process $V$ is a submartingale under an appropriately defined nonlinear expectations up to the first time $\tau_*$ when $V$ meets the lower payoff process $L$. If the probability set is weakly compact, one can even find an optimal triplet. The mutual singularity of probabilities in causes major technical difficulties. To deal with them, we use some new methods including two approximations with respect to the set of stopping times. The mutual singularity of probabilities causes major technical difficulties. To deal with them, we use some new methods including two approximations with respect to the set of stopping times, Comment: To appear in Annals of Applied Probability. Keywords: robust Dynkin game, nonlinear expectation, dynamic programming principle, controls in weak formulation, weak stability under pasting, martingale approach, path-dependent stochastic differential equations with controls, optimal triplet, optimal stopping with random maturity

We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of some continuous index process at which the payoff process is even allowed to have a positive jump. When $\mathcal{P}$ is a collection of semimartingale measures, the optimal stopping problem can be viewed as a {\it discretionary} stopping problem for a player who can influence both drift and volatility of the dynamic of underlying stochastic flow., Comment: Keywords: discretionary stopping, random maturity, controls in weak formulation, optimal stopping, nonlinear expectation, weak stability under pasting, Lipschitz continuous stopping time, dynamic programming principle, martingale approach

We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle $L$ and the upper obstacle $U$ of the equation are completely separated, we construct a unique solution of the doubly reflected BSDE by pasting local solutions and show that the $Y-$component of the unique solution represents the value process of the corresponding Dynkin game under $g-$evaluation, a nonlinear expectation induced by BSDEs with the same generator $g$ as the doubly reflected BSDE concerned. In particular, the first time when process $Y $ meets $L$ and the first time when process $Y $ meets $U$ form a saddle point of the Dynkin game., Comment: Final version. To appear in Stochastic Processes and Their Applications

This paper considers the supercritical Navier-Stokes equations posed in the whole space $\R^d$, with suitably randomized initial data, in the weak solution setting. The global weak solutions are constructed for a large set of initial data in $H^{-s}(\R^d)$ for some $s>0$ via a probabilistic argument, and this in turn implies the almost sure existence., Comment: This is a short version of our research note which draws heavily from arXiv:1204.5444

With a sky brightness monitor in Xinglong station of National Astronomical Observatories of China (NAOC), we collected data from 22 dark clear nights and 90 lunar nights. We first measured the sky brightness variation with time in dark nights, found a clear correlation between the sky brightness and human activity. Then with a modified sky brightness model of moon night and data from moon night, we derived the typical value for several important parameters in the model. With these results, we calculated the sky brightness distribution under a given moon condition for Xinglong station. Furthermore, we simulated the moon night sky brightness distribution in a 5 degree field of view telescope (such as LAMOST). These simulations will be helpful to determine the magnitude limit, exposure time as well as the survey design for LAMOST at lunar night., Comment: 16 pages, 9 figures, accepted by RAA

We study a robust optimal stopping problem with respect to a set $\cP$ of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse player wants to minimize this payoff by choosing an evaluation criteria from $\cP$. We show that the \emph{upper Snell envelope $\ol{Z}$} of the reward process $Y$ is a supermartingale with respect to an appropriately defined nonlinear expectation $\ul{\sE}$, and $\ol{Z}$ is further an $\ul{\sE}-$martingale up to the first time $\t^*$ when $\ol{Z}$ meets $Y$. Consequently, $\t^*$ is the optimal stopping time for the robust optimal stopping problem and the corresponding zero-sum game has a value. Although the result seems similar to the one obtained in the classical optimal stopping theory, the mutual singularity of probabilities and the game aspect of the problem give rise to major technical hurdles, which we circumvent using some new methods., Comment: Final Version, 50 pages. This is a much more comprehensive version of what appeared in the SIAM Journal on Control and Optimization

We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority value satisfies a weak dynamic programming principle and thus solves the associated fully non-linear partial differential equation in the viscosity sense., Comment: Key words: Zero-sum stochastic differential games, Elliott-Kalton strategies, weak dynamic programming principle, backward stochastic differential equations, viscosity solutions, fully non-linear PDEs. A shorter version is to appear in the SIAM Journal on Control and Optimization

The weather at Xinglong Observing Station, where the Guo Shou Jing Telescope (GSJT) is located, is strongly affected by the monsoon climate in north-east China. The LAMOST survey strategy is constrained by these weather patterns. In this paper, we present a statistics on observing hours from 2004 to 2007, and the sky brightness, seeing, and sky transparency from 1995 to 2011 at the site. We investigate effects of the site conditions on the survey plan. Operable hours each month shows strong correlation with season: on average there are 8 operable hours per night available in December, but only 1-2 hours in July and August. The seeing and the sky transparency also vary with seasons. Although the seeing is worse in windy winters, and the atmospheric extinction is worse in the spring and summer, the site is adequate for the proposed scientific program of LAMOST survey. With a Monte Carlo simulation using historical data on the site condition, we find that the available observation hours constrain the survey footprint from 22h to 16h in right ascension; the sky brightness allows LAMOST to obtain the limit magnitude of V = 19.5mag with S/N = 10., Comment: 10 pages, 8 figures, accepted for publication in RAA

We generalize the results of Fleming and Souganidis (1989) on zero sum stochastic differential games to the case when the controls are unbounded. We do this by proving a dynamic programming principle using a covering argument instead of relying on a discrete approximation (which is used along with a comparison principle by Fleming and Souganidis). Also, in contrast with Fleming and Souganidis, we define our pay-off through a doubly reflected backward stochastic differential equation. The value function (in the degenerate case of a single controller) is closely related to the second order doubly reflected BSDEs., Comment: Key Words: Zero-sum stochastic differential games, Elliott-Kalton strategies, dynamic programming principle, stability under pasting, doubly reflected backward stochastic differential equations, viscosity solutions, obstacle problem for fully non-linear PDEs, shifted processes, shifted SDEs, second-order doubly reflected backward stochastic differential equations