Stochastic Evolution Equations Driven by a Fractional White Noise

Abstract

In this paper we study stochastic evolution equations driven by a fractional white noise with arbitrary Hurst parameter in infinite dimension. We establish the existence and uniqueness of a mild solution for a nonlinear equation with multiplicative noise under Lipschitz condition by using a fixed point argument in an appropriate inductive limit space. In the linear case with additive noise, a strong solution is obtained. Those results are applied to stochastic parabolic partial differential equations perturbed by a fractional white noise.     

Solving parabolic Wick-stochastic boundary value problems using a finite element method

A class of linear parabolic stochastic boundary value problems of Wick-type is studied. The equations are understood in a weak sense on a suitable stochastic distribution space, and existence and uniqueness results are provided. The paper continues to discuss a numerical method for this type of problem, based on a Galerkin type of approximation. Estimates showing linear convergence in time and space are derived, and rate of convergence results for the stochastic dimension are reported.     

Sur l'existence de solutions d'équations différentielles stochastiques progréssives rétrogrades couplées

Nonlinear BSDEs were first introduced by Pardoux and Peng, 1990, Adapted solutions of backward stochastic differential equations, Systems and Control Letters, 14, 51–61, who proved the existence and uniqueness of a solution under suitable assumptions on the coefficient. Fully coupled forward–backward stochastic differential equations and their connection with PDE have been studied intensively by Pardoux and Tang, 1999, Forward–backward stochastic differential equations and quasilinear parabolic PDE's, Probability Theory and Related Fields, 114, 123–150; Antonelli and Hamadène, 2006, Existence of the solutions of backward–forward SDE's with continuous monotone coefficients, Statistics and Probability Letters, 76, 1559–1569; Hamadème, 1998, Backward–forward SDE's and stochastic differential games, Stochastic Processes and their Applications, 77, 1–15; Delarue, 2002, On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case, Stochastic Processes and Their Applications, 99, 209–286, amongst others.

Unfortunately, most existence or uniqueness results on solutions of forward–backward stochastic differential equations need regularity assumptions. The coefficients are required to be at least continuous which is somehow too strong in some applications. To the best of our knowledge, our work is the first to prove existence of a solution of a forward–backward stochastic differential equation with discontinuous coefficients and degenerate diffusion coefficient where, moreover, the terminal condition is not necessary bounded.

The aim of this work is to find a solution of a certain class of forward–backward stochastic differential equations on an arbitrary finite time interval. To do so, we assume some appropriate monotonicity condition on the generator and drift coefficients of the equation.

The present paper is motivated by the attempt to remove the classical condition on continuity of coefficients, without any assumption as to the non-degeneracy of the diffusion coefficient in the forward equation.

The main idea behind this work is the approximating lemma for increasing coefficients and the comparison theorem. Our approach is inspired by recent work of Boufoussi and Ouknine, 2003, On a SDE driven by a fractional brownian motion and with monotone drift, Electronic Communications in Probability, 8, 122–134; combined with that of Antonelli and Hamadène, 2006, Existence of the solutions of backward–forward SDE's with continuous monotone coefficients, Statistics and Probability Letters, 76, 1559–1569. Pursuing this idea, we adopt a one-dimensional framework for the forward and backward equations and we assume a monotonicity property both for the drift and for the generator coefficient.

At the end of the paper we give some extensions of our result.     

Non-random Invariant Sets for Some Systems of Parabolic Stochastic Partial Differential Equations

Abstract

In this article we investigate a class of non-autonomous, semilinear, parabolic systems of stochastic partial differential equations defined on a smooth, bounded domain 𝒪 ? ? ⁿ and driven by an infinite-dimensional noise defined from an L ²(𝒪)-valued Wiener process; in the general case the noise can be colored relative to the space variable and white relative to the time variable. We first prove the existence and the uniqueness of a solution under very general hypotheses, and then establish the existence of invariant sets along with the validity of comparison principles under more restrictive conditions; the main ingredients in the proofs of these results consist of a new proposition concerning Wong–Zakaï approximations and of the adaptation of the theory of invariant sets developed for deterministic systems. We also illustrate our results by means of several examples such as certain stochastic systems of Lotka–Volterra and Landau–Ginzburg equations that fall naturally within the scope of our theory.     

Positive and unbounded solution of stochastic delayed evolution equations

This article is concerned with the blowup phenomenon of stochastic delayed evolution equations. We first establish the sufficient condition to ensure the existence of a unique nonnegative solution of stochastic parabolic equations. Then the problem of blow-up solutions in mean L^q-norm, q ? 1, in a finite time is considered. The main aim in this article is to investigate the effect of time delay and stochastic term. A new result shows that the stochastic delayed term can induce singularities.     

Stochastic Convolution-Type Heat Equations with Nonlinear Drift

Abstract

In this article, we study the solution of a class of stochastic convolution-type heat equations with nonlinear drift. For general initial condition and coefficients, we prove existence and uniqueness by using the characterization theorem and Banach's fixed-point theorem. We also give an implicit solution, which is a well-defined generalized stochastic process in a suitable distribution space. Finally, we investigate the continuous dependence of the solution on the initial data as well as the dependence on the coefficient.     

Existence of β-martingale solutions of stochastic evolution functional equations of parabolic type with measurable locally bounded coefficients

We prove a theorem on the existence of ??-martingale solutions of stochastic evolution functional equations of parabolic type with Borel measurable locally bounded coefficients. A ??-martingale solution of a stochastic evolution functional equation is understood as a martingale solution of a stochastic evolution functional inclusion constructed on the basis of the equation. We find sufficient conditions for the existence of ??-martingale solutions that do not blow up in finite time.     

A New Generalized Gronwall Inequality with a Double Singularity and Its Applications to Fractional Stochastic Differential Equations

Abstract

In many cases, the existence and uniqueness of the solution of a differential equation are proved using fixed point theory. In this paper, we utilize the theory of operators and ingenious techniques to investigate the well-posedness of mild solution to semilinear fractional stochastic differential equations. We first discuss some properties of a class of Volterra integral operators and then establish a new generalized Gronwall integral inequality with a double singularity. Finally, we use the properties and integral inequality to study the well-posedness of mild solution to the semilinear fractional stochastic differential equations. One sees that it is concise and effectiveness using the previous results to investigate the well-posedness of the mild solution.     

The Bismut-Elworthy formula for backward SDE's and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces

We consider a forward-backward system of stochastic evolution equations in a Hilbert space. Under nondegeneracy assumptions on the diffusion coefficient (that may be nonconstant) we prove an analogue of the well-known Bismut-Elworthy formula. Next, we consider a nonlinear version of the Kolmogorov equation, i.e. a deterministic quasilinear equation associated to the system according to Pardoux, E and Peng, S. (1992). "Backward stochastic differential equations and quasilinear parabolic partial differential equations". In: Rozowskii, B.L., Sowers, R.B. (Eds.), Stochastic Partial Differential Equations and Their Applications , Lecture Notes in Control Inf. Sci., Vol. 176, pp. 200-217. Springer: Berlin. The Bismut-Elworthy formula is applied to prove smoothing effect, i.e. to prove existence and uniqueness of a solution which is differentiable with respect to the space variable, even if the initial datum and (some) coefficients of the equation are not. The results are then applied to the Hamilton-Jacobi-Bellman equation of stochastic optimal control. This way we are able to characterize optimal controls by feedback laws for a class of infinite-dimensional control systems, including in particular the stochastic heat equation with state-dependent diffusion coefficient.     

Existence of Random Solutions of a General Class of Stochastic Functional Integral Equations

Abstract

In this paper, we establish the existence of solutions of a more general class of stochastic functional integral equations. The main tools here are the measure of noncompactness and the fixed point theorem of Darbo type. The results of this paper generalize the results of Rao–Tsokos [Rao, A.N.V.; Tsokos, C.P. A class of stochastic functional integral equations. Coll. Math. 1976, 35, 141–146.] and Szynal–Wedrychowicz [Szynal, D.; Wedrychowicz, S. On existence and an asymptotic behaviour of random solutions of a class of stochastic functional integral equations. Coll. Math. 1987, 51, 349–364.].     

Mild solutions for a class of fractional SPDEs and their sample paths

We introduce a notion of mild solution for a class of non-autonomous parabolic stochastic partial differential equations defined on a bounded open subset ${D\subset\mathbb{R}^{d}}We introduce a notion of mild solution for a class of non-autonomous parabolic stochastic partial differential equations defined on a bounded open subset and driven by an infinite-dimensional fractional noise. We prove the existence of such a solution, establish its relation with the variational solution introduced by Nualart and Vuillermot (J Funct Anal 232:390–454, 2006) and the H?lder continuity of its sample paths when we consider it as an L ²(D)-valued stochastic process. When h is an affine function, we also prove uniqueness. An immediate consequence of our results is the indistinguishability of mild and variational solutions in the case of uniqueness. M. Sanz-Solé was supported by the grant MTM 2006-01351 from the Dirección General de Investigación, Ministerio de Educación y Ciencia, Spain.     

Strong Solutions of Stochastic Generalized Porous Media Equations: Existence,Uniqueness, and Ergodicity

Explicit conditions are presented for the existence, uniqueness, and ergodicity of the strong solution to a class of generalized stochastic porous media equations. Our estimate of the convergence rate is sharp according to the known optimal decay for the solution of the classical (deterministic) porous medium equation.     

A {W}^{n}_{2}-Theory of Stochastic Parabolic Partial Differential Systems on C 1-domains

In this article we present a $W^n_2$ -theory of stochastic parabolic partial differential systems. In particular, we focus on non-divergent type. The space domains we consider are ? ^d , $ {\mathbb{R}}^d_+$ and eventually general bounded C ¹-domains $\mathcal{O}$ . By the nature of stochastic parabolic equations we need weighted Sobolev spaces to prove the existence and the uniqueness. In our choice of spaces we allow the derivatives of the solution to blow up near the boundary and moreover the coefficients of the systems are allowed to oscillate to a great extent or blow up near the boundary.     

Stochastic reaction diffusion equations on an infinite interval with reflection

We consider a time evolution of random fields with non-negative values on the real line. Such evolution is described by an infinite dimensional stochastic differential equation of Skorokhod's type, which is a stochastic partial differential equation (SPDE) of parabolic type with reflection. We shall show the existence of the solution, and its uniqueness when the diffusion coefficient is constant.     

Optimal Solutions of Fractional Nonlinear Impulsive Neutral Stochastic Functional Integro-Differential Equations

Abstract

In this article, we consider a new class of fractional impulsive neutral stochastic functional integro-differential equations with infinite delay in Hilbert spaces. First, by using stochastic analysis, fractional calculus, analytic α-resolvent operator and suitable fixed point theorems, we prove the existence of mild solutions and optimal mild solutions for these equations. Second, the existence of optimal pairs of system governed by fractional impulsive partial stochastic integro-differential equations is also presented. The results are obtained under weaker conditions in the sense of the fractional power arguments. Finally, an example is given for demonstration.     

On the existence of solution to one–dimensional forward–backward sdes

In this paper, we study the existence of the solution to one-dimensional forward–backward stochastic differential equations with neither the smooth condition nor the monotonicity condition for the coefficients. Under the nondegeneracy condition for the forward equation, we prove the existence of the solution to one-dimensional forward–backward stochastic differential equations. And we apply this result to establish the existence of the viscosity solution to a certain one-dimensional quasilinear parabolic partial differential equation     

Reflected BSDE's with discontinuous barrier and application

We deal with reflected backward stochastic differential equations with right continuous and left limited barrier. We show the existence and uniqueness of the solution and we give a comparison theorem. As an application, we study the link between such an equations with stochastic mixed control problems.     

Almost sure exponential stability for stochastic neutral partial functional differential equations

In this paper, we initiate a study on stochastic neutral partial functional differential equations in a real separable Hilbert space. Our goal here is to study the existence and uniqueness of a mild solution of this class of equations and also the exponential stability of the moments of a mild solution as well as its sample paths. The results obtained here generalize the main results from [Taniguchi, Stochastics and Stochastics Reports, 53, (1995) 41–52], [Taniguchi, Stochastic Analysis and Applications, 16, (1998) 965–975] and [Liu and Truman, Statistics Probability Letters, 50, (2000) 273–278]. An example is given to illustrate the theory.     

Maximum principle for quasi-linear backward stochastic partial differential equations

In this paper we are concerned with the maximum principle for quasi-linear backward stochastic partial differential equations (BSPDEs for short) of parabolic type. We first prove the existence and uniqueness of the weak solution to quasi-linear BSPDEs with the null Dirichlet condition on the lateral boundary. Then using the De Giorgi iteration scheme, we establish the maximum estimates and the global maximum principle for quasi-linear BSPDEs. To study the local regularity of weak solutions, we also prove a local maximum principle for the backward stochastic parabolic De Giorgi class.     

The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications

This paper deals with a class of backward stochastic differential equations with Poisson jumps and with random terminal times. We prove the existence and uniqueness result of adapted solution for such a BSDE under the assumption of non-Lipschitzian coefficient. We also derive two comparison theorems by applying a general Girsanov theorem and the linearized technique on the coefficient. By these we first show the existence and uniqueness of minimal solution for one-dimensional BSDE with jumps when its coefficient is continuous and has a linear growth. Then we give a general Feynman-Kac formula for a class of parabolic types of second-order partial differential and integral equations (PDIEs) by using the solution of corresponding BSDE with jumps. Finally, we exploit above Feynman-Kac formula and related comparison theorem to provide a probabilistic formula for the viscosity solution of a quasi-linear PDIE of parabolic type.