一类非线性二元算子方程的迭代求解及其应用

运用锥与半序理论与混合单调算子理论,讨论半序Banach空间一类非线性二元算子方程解的存在唯一性,并给出迭代序列收敛于解的误差估计.作为应用,讨论了不具有单调性的算子方程的可解性,所得结果是某些已有结果的本质改进和推广.     

Obstacle problem for nonlinear integro-differential equations arising in option pricing

Abstract  We study the obstacle problem for a class of nonlinear integro-partial differential equations of second order, possibly degenerate, which includes the equation modeling American options in a jump-diffusion market with large investor. The viscosity solutions setting reveals appropriate, because of a monotonicity property with respect to the integral term. The same property allows to approximate the problem by penalization and to obtain the existence and uniqueness of solutions via a comparison principle. We also give uniform estimates of the solutions of the penalized problems which allow to prove further regularity. Keywords: Integro-differential equations, Obstacle problem, Viscosity solutions, American options Mathematics Subject Classification (2000): 45K05, 35K85, 49L25, 91B24     

Multidimensional BSDEs with weak monotonicity and general growth generators

This paper aims at solving a multidimensional backward stochastic differential equation （BSDE） whose generator g satisfies a weak monotonicity condition and a general growth condition in y. We first establish an existence and uniqueness result of solutions for this kind of BSDEs by using systematically the technique of the priori estimation, the convolution approach, the iteration, the truncation and the Bihari inequality. Then, we overview some assumptions related closely to the monotonieity condition in the literature and compare them in an effective way, which yields that our existence and uniqueness result really and truly unifies the Mao condition in y and the monotonieity condition with the general growth condition in y, and it generalizes some known results. Finally, we prove a stability theorem and a comparison theorem for this kind of BSDEs, which also improves some known results.     

一类含参数分数阶微分方程边值问题正解的性质研究

研究了一类含参数的分数阶微分方程边值问题,主要运用锥上的不动点定理及混合单调算子特征值问题的性质得出了正解关于参数的性质:存在唯一性、单调性、连续性以及极限性质.最后举例说明了结果的可行性.     

Existence results for degenerate <Emphasis Type="Italic">p</Emphasis>(<Emphasis Type="Italic">x</Emphasis>)-Laplace equations with Leray-Lions type operators

We show the existence and multiplicity of solutions to degenerate p(x)-Laplace equations with Leray-Lions type operators using direct methods and critical point theories in Calculus of Variations and prove the uniqueness and nonnegativeness of solutions when the principal operator is monotone and the nonlinearity is nonincreasing. Our operator is of the most general form containing all previous ones and we also weaken assumptions on the operator and the nonlinearity to get the above results. Moreover, we do not impose the restricted condition on p(x) and the uniform monotonicity of the operator to show the existence of three distinct solutions.     

Stefan problems with nonlinear diffusion and convection

We consider a class of Stefan-type problems having a convection term and a pseudomonotone nonlinear diffusion operator. Assuming data in L¹, we prove existence, uniqueness and stability in the framework of renormalized solutions. Existence is established from compactness and monotonicity arguments which yield stability of solutions with respect to L¹ convergence of the data. Uniqueness is proved through a classical L¹-contraction principle, obtained by a refinement of the doubling variable technique which allows us to extend previous results to a more general class of nonlinear possibly degenerate operators.     

非线性发展方程非局部初值问题解的存在性

本文讨论非线性方程的非局部初值问题，利用半群理论、单调算子理论以及Banach不动点定理，分别得到两个问题的温和解和弱解的存在唯一性定理．     

On the worst scenario method: Application to a quasilinear elliptic 2D-problem with uncertain coefficients

We apply a theoretical framework for solving a class of worst scenario problems to a problem with a nonlinear partial differential equation. In contrast to the one-dimensional problem investigated by P. Harasim in Appl. Math. 53 (2008), No. 6, 583–598, the two-dimensional problem requires stronger assumptions restricting the admissible set to ensure the monotonicity of the nonlinear operator in the examined state problem, and, as a result, to show the existence and uniqueness of the state solution. The existence of the worst scenario is proved through the convergence of a sequence of approximate worst scenarios. Furthermore, it is shown that the Galerkin approximation of the state solution can be calculated by means of the Kachanov method as the limit of a sequence of solutions to linearized problems.     

Impulsive Noise Driven One-Dimensional Higher-Order Fractional Partial Differential Equations

We are going to study a kind of stochastic fractional partial differential equation driven by an impulsive noise, which is singular not only in time but also in space. We first study the existence and uniqueness of the solution and then investigate the regularity of the solution in its spatial variable which depends on the order of the fractional operator, and deeply relies on the precise analysis of the kernel generated by our operator. In addition, we also discuss the stochastic flow property of the solutions.     

A sum operator equation and applications to nonlinear elastic beam equations and Lane-Emden-Fowler equations

This paper is concerned with an operator equation Ax+Bx+Cx=x on ordered Banach spaces, where A is an increasing α-concave operator, B is an increasing sub-homogeneous operator and C is a homogeneous operator. The existence and uniqueness of its positive solutions is obtained by using the properties of cones and a fixed point theorem for increasing general β-concave operators. As applications, we utilize the fixed point theorems obtained in this paper to study the existence and uniqueness of positive solutions for two classes nonlinear problems which include fourth-order two-point boundary value problems for elastic beam equations and elliptic value problems for Lane-Emden-Fowler equations.     

An adiabatic theorem for section determinants of spectral projections

We derive an adiabatic‐type theorem that expresses the section determinants of spectral projections of a selfadjoint operator through the solution to an operator‐valued Wiener‐Hopf equation. The solution theory of this equation is developed and for a special case a concrete criterion that ensures uniqueness of the solution is presented. Furthermore, for a special class of operators a dichotomy criterion, which is used in the proof of the adiabatic theorem, is proved. (© 2005 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

一类非线性算子方程的求解方法

1.引言首先研究线性方程Au=f (1.1)的求解问题,其中A是H→H的连续线性算子,H是可分Hilbert空间,U,f∈H,||f||=1.利用得到的结论,研究一类非线性算子方程AuBu+Cu=f(1.2)     

Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach

In this paper, we establish a new existence and uniqueness result of a continuous viscosity solution for integro-partial differential equation (IPDE in short). The novelty is that we relax the so-called monotonicity assumption on the driver which is classically assumed in the literature of viscosity solutions of equation with non-local terms. Our method strongly relies on the link between IPDEs and backward stochastic differential equations with jumps for which we already know that the solution exists and is unique for general drivers. In the second part of the paper, we deal with the IPDE with obstacle and we obtain similar results.     

Formulation and well-posedness of the Cauchy problem for a diffusion equation with discontinuous degenerating coefficients

The choice of a differential diffusion operator with discontinuous coefficients that corresponds to a finite flow velocity and a finite concentration is substantiated. For the equation with a uniformly elliptic operator and a nonzero diffusion coefficient, conditions are established for the existence and uniqueness of a solution to the corresponding Cauchy problem. For the diffusion equation with degeneration on a half-line, it is proved that the Cauchy problem with an arbitrary initial condition has a unique solution if and only if there is no flux from the degeneration domain to the ellipticity domain of the operator. Under this condition, a sequence of solutions to regularized problems is proved to converge uniformly to the solution of the degenerate problem in L ₁(R) on each interval.     

Yosida approximations for multivalued stochastic partial differential equations driven by Lévy noise on a Gelfand triple

We prove the existence and uniqueness of solutions for a class of multivalued stochastic partial differential equations with maximal monotone drift on Banach space driven by multiplicative Lévy noise. We also establish the strong convergence result for solutions of the approximating equations where the maximal monotone drift operator is replaced by its Yosida approximation. As an application, the existence and uniqueness of solutions for multivalued stochastic porous medium equations is obtained.     

Homogeneous differential-operator equations in locally convex spaces

We describe a general method that allows us to find solutions to homogeneous differential-operator equations with variable coefficients by means of continuous vector-valued functions. The “homogeneity” is not interpreted as the triviality of the right-hand side of an equation. It is understood in the sense that the left-hand side of an equation is a homogeneous function with respect to operators appearing in that equation. Solutions are represented as functional vector-valued series which are uniformly convergent and generated by solutions to a kth order ordinary differential equation, by the roots of the characteristic polynomial and by elements of a locally convex space. We find sufficient conditions for the continuous dependence of the solution on a generating set. We also solve the Cauchy problem for the considered equations and specify conditions for the existence and the uniqueness of the solution. Moreover, under certain hypotheses we find the general solution to the considered equations. It is a function which yields any particular solution. The investigation is realized by means of characteristics of operators such as the order and the type of an operator, as well as operator characteristics of vectors, namely, the operator order and the operator type of a vector relative to an operator. We also use a convergence of operator series with respect to an equicontinuous bornology.     

A constructive theory for shock-free,isentropic flow

We construct by finite differences solutions of the Cauchy problem for the nonlinear wave equation in one space dimension. We make certain monotonicity assumptions about the initial data, and we show that the resulting solution is Lipschitz continuous for positive times. In addition, we prove the uniqueness of the solution in a certain class, and we characterize its large-time behavior in terms of the equilibrium state for a corresponding Riemann problem. Finally, we show how our results can be extended to more general 2 × 2 systems of hyperbolic conservation laws which are genuinely nonlinear.     

A Smoothing Method of Global Optimization that Preserves Global Minima

A new smoothing method of global optimization is proposed in the present paper, which prevents shifting of global minima. In this method, smoothed functions are solutions of a heat diffusion equation with external heat source. The source helps to control the diffusion such that a global minimum of the smoothed function is again a global minimum of the cost function. This property, and the existence and uniqueness of the solution are proved using results in theory of viscosity solutions. Moreover, we devise an iterative equation by which smoothed functions can be obtained analytically for a class of cost functions. The effectiveness and potential of our method are then demonstrated with some experimental results.     

Existence and uniqueness of positive solutions of semilinear elliptic equations

This paper is devoted to the study of existence,uniqueness and non-degeneracy of positive solutions of semi-linear elliptic equations.A necessary and sufficient condition for the existence of positive solutions to problems is given.We prove that if the uniqueness and non-degeneracy results are valid for positive solutions of a class of semi-linear elliptic equations,then they are still valid when one perturbs the differential operator a little bit.As consequences,some uniqueness results of positive solutions under the domain perturbation are also obtained.