共查询到20条相似文献,搜索用时 46 毫秒
1.
讨论了随机加速度为位移的给定函数的随机运动的存在性(即R上的随机微分方程弱解的存在性),给出并证明了具有随机加速度的随机运动存在的几个充分性条件. 相似文献
2.
Boualem Djehiche 《Journal of Mathematical Analysis and Applications》2011,384(1):63-69
In this note, nonlinear stochastic partial differential equations (SPDEs) with continuous coefficients are studied. Via the solutions of backward doubly stochastic differential equations (BDSDEs) with continuous coefficients, we provide an existence result of stochastic viscosity sub- and super-solutions to this class of SPDEs. Under some stronger conditions, we prove the existence of stochastic viscosity solutions. 相似文献
3.
In this paper,the theory of stochastic differential utility is studied.Sufficient conditions for existence,uniqueness,continuity,monotonicity.time consistency,risk aversion and concavity are given under non-Lipschtz assumptions. 相似文献
4.
林清泉 《中国科学A辑(英文版)》2002,45(12):1518-1522
The notion of weak solution for stochastic differential equation with terminal conditions is introduced. By Girsanov transformation,
the equivalence of existence of weak solutions for two-type equations is established. Several sufficient conditions for the
existence of the weak solutions for stochastic differential equation with terminal conditions are obtained, and the solution
existence condition for this type of equations is relaxed. Finally, an example is given to show that the result is an essential
extension of the one under Lipschitz condition ong with respect to (Y,Z). 相似文献
5.
本文提出且讨论了一类两种群随机的改进Lotka Volterra竞争模型.白噪声及有色噪声都在本文中被考虑.我们得到了全局唯一正解、随机有界性、随机持久和随机灭绝等种群动力性质的充分条件. 相似文献
6.
In this note, we extend the sufficiency conditions obtained by Bean and Smith for the existence of decision and forecast horizons in discounted deterministic problems to a stochastic environment. Also developed are some examples for illustration of the results and the need for the development of necessary and sufficient conditions for undiscounted problems. 相似文献
7.
《Stochastics An International Journal of Probability and Stochastic Processes》2013,85(3-4):297-327
We will present several results concerning multivalued stochastic integration and existence of solutions for some stochastic differential inclusion under certain Lipschitz type conditions 相似文献
8.
带随机跳跃的线性二次非零和微分对策问题 总被引:1,自引:0,他引:1
对于一类以布朗运动和泊松过程为噪声源的正倒向随机微分方程,在单调性假设下,给出了解的存在性和唯一性的结果.然后将这些结果应用于带随机跳跃的线性二次非零和微分对策问题之中,由上述正倒向随机微分方程的解得到了开环Nash均衡点的显式形式. 相似文献
9.
本文讨论Markov调制的随机系统平稳分布的存在与唯一性. 利用Lyapunov方法与耦合方法得到这类系统存在唯一平稳分布的一些充分条件, 这些条件易于验证具可操作性. 相似文献
10.
研究了一类具有标准发生率以及考虑随机扰动与系统变量成正比的随机SIR传染病模型.首先,对于任意的正的初值,系统存在唯一的全局正解以及通过构造合适的随机李雅普诺夫函数,得到了模型遍历平稳分布存在的充分条件.其次,给出了疾病灭绝的充分条件,并与模型遍历平稳分布存在的充分条件作对比,得出了在特定条件下随机SIR模型的阈值.最后通过数值模拟验证了结果的正确性. 相似文献
11.
B. Krishna Das J. Martin Lindsay Orawan Tripak 《Journal of Mathematical Analysis and Applications》2014
A theory of quantum stochastic processes in Banach space is initiated. The processes considered here consist of Banach space valued sesquilinear maps. We establish an existence and uniqueness theorem for quantum stochastic differential equations in Banach modules, show that solutions in unital Banach algebras yield stochastic cocycles, give sufficient conditions for a stochastic cocycle to satisfy such an equation, and prove a stochastic Lie–Trotter product formula. The theory is used to extend, unify and refine standard quantum stochastic analysis through different choices of Banach space, of which there are three paradigm classes: spaces of bounded Hilbert space operators, operator mapping spaces and duals of operator space coalgebras. Our results provide the basis for a general theory of quantum stochastic processes in operator spaces, of which Lévy processes on compact quantum groups is a special case. 相似文献
12.
考虑具有二次成本函数的随机线性系统,研究了状态反馈控制的保证成本控制问题.依据线性矩阵不等式得到了保证成本控制器存在的充分条件,最后得到了随机线性闭环系统保证成本最小的最优保证成本控制律的表达式. 相似文献
13.
91. IntroductionSince the result of monotonic lied theorem of BSDE and its aPPlication to nonlinearDoolyMeyer decomposition theorem, the smallest g-supersolution with a constraint on (Y, Z)(see [1]), some developments have been done, for example, in 14], where by a penallzationmethod, Chen and Peng discussed nonlinear Doob-Meyer decomposition theorem ash theBSDE introduced by Duffie and EPsteinI3]. In [51 Lin discussed the smallest g-supersolutionto BSDE with a constraint on (y,z) wi… 相似文献
14.
Optimal variational principle for backward stochastic control systems associated with Lévy processes
The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel’s martingales and an independent multi-dimensional Brownian motion,where Teugel’s martin- gales are a family of pairwise strongly orthonormal martingales associated with Lévy processes (see e.g.,Nualart and Schoutens’ paper in 2000).We derive the necessary and sufficient conditions for the existence of the op- timal control by means of convex variation methods and duality techniques.As an application,the optimal control problem of linear backward stochastic differential equation with a quadratic cost criteria (or backward linear-quadratic problem,or BLQ problem for short) is discussed and characterized by a stochastic Hamilton system. 相似文献
15.
We study a stochastic analogy of the famous center problem of Dulac for quadratic differential equations in the plane. We introduce the concept of center for systems of stochastic differential
equations of It\^o''s type on the plane, called stochastic center. We derive a criterion for the existence of such a center. We apply it to obtain necessary and sufficient conditions for quadratic stochastic differential equations in dimension 2. 相似文献
16.
Xicheng Zhang 《Bulletin des Sciences Mathématiques》2007,131(2):175-217
By solving a deterministic Skorohod problem in the framework of evolutional triple, we prove the existence and uniqueness of solutions to multivalued stochastic evolution equations involving maximal monotone operators. The existence and uniqueness of invariant measures associated with the solutions as Markov processes are also considered in the present paper. Moreover, we apply the results to stochastic differential equations with normal reflecting boundary conditions and with singular drift terms, as well as a class of multivalued nonlinear stochastic partial differential equations with possibly discontinuous coefficients. 相似文献
17.
Yong-Kui Chang Chao Tang 《Stochastics An International Journal of Probability and Stochastic Processes》2016,88(7):980-1011
In this paper, a new concept of Poisson asymptotically almost automorphy for stochastic processes is introduced. And then, some fundamental properties including composition theorems for the space of such processes are proved. Subsequently, this concept is applied to investigate the existence and uniqueness of asymptotically almost automorphic solutions in distribution to some linear and semilinear stochastic differential equations driven by a Lévy process under some suitable conditions. Finally, an example is given to illustrate the main results. 相似文献
18.
《Annals of Differential Equations》2012,(3):283-289
By applying the properties of almost periodic function and exponential dichotomy of linear system as well as Banach fixed point theorem,we establish the conditions for the existence and uniqueness of square-mean almost periodic solution to some stochastic functional differential equations. 相似文献
19.
This paper deals with the synchronized stationary distribution of stochastic coupled systems. The response system is constructed to help achieve a synchronized stationary distribution. Firstly, an error system obtained by the drive system and the response system is given and an appropriate Lyapunov function for the error system is constructed. On the basis of the graph theory and the Lyapunov method, some sufficient conditions are proposed to guarantee the existence of a stationary distribution for the error system, which reflects the coupling structure has a close relationship with synchronized stationary distribution. Then, an application to stochastic coupled oscillators is presented and sufficient conditions are obtained to illustrate the feasibility of the theoretical results. Finally, a numerical example is provided to demonstrate the effectiveness of theoretical results. 相似文献