中立型随机延迟微分方程分裂步θ方法的强收敛性

中立型随机延迟微分方程常出现在一些科学技术和工程领域中.本文在漂移系数和扩散系数关于非延迟项满足全局Lipschitz条件,关于延迟项满足多项式增长条件以及中立项满足多项式增长条件下,证明了分裂步θ方法对于中立型随机延迟微分方程的强收敛阶为1/2.数值实验也验证了这一理论结果.     

Exponential stabilization by delay feedback control for highly nonlinear hybrid stochastic functional differential equations with infinite delay

Given an unstable hybrid stochastic functional differential equation, how to design a delay feedback controller to make it stable? Some results have been obtained for hybrid systems with finite delay. However, the state of many stochastic differential equations are related to the whole history of the system, so it is necessary to discuss the feedback control of stochastic functional differential equations with infinite delay. On the other hand, in many practical stochastic models, the coefficients of these systems do not satisfy the linear growth condition, but are highly nonlinear. In this paper, the delay feedback controls are designed for a class of infinite delay stochastic systems with highly nonlinear and the influence of switching state.     

Stability of highly nonlinear hybrid stochastic integro-differential delay equations

For the past few decades, the stability criteria for the stochastic differential delay equations (SDDEs) have been studied intensively. Most of these criteria can only be applied to delay equations where their coefficients are either linear or nonlinear but bounded by linear functions. Recently, the stability criterion for highly nonlinear hybrid stochastic differential equations is investigated in Fei et al. (2017). In this paper, we investigate a class of highly nonlinear hybrid stochastic integro-differential delay equations (SIDDEs). First, we establish the stability and boundedness of hybrid stochastic integro-differential delay equations. Then the delay-dependent criteria of the stability and boundedness of solutions to SIDDEs are studied. Finally, an illustrative example is provided.     

Theorems of comparison and stability with probability 1 for one-dimensional stochastic differential equations

We prove the comparison theorems for scalar stochastic differential equations in the case of different diffusion coefficients. Conditions are given of stability with probability 1 with respect to the trivial solution to stochastic differential equations with random coefficients. The results remain valid for deterministic analogs of stochastic differential equations with symmetric integrals.     

Stochastic differential delay equations with jumps,under nonlinear growth condition

In this paper, we investigate the existence and uniqueness of solutions to stochastic differential delay equations under a local Lipschitz condition but without linear growth condition on its coefficients. Moreover, we prove convergence in probability of the Euler–Maruyama approximation as well as of the stochastic theta method approximation to the exact solution.     

Stability analysis of highly nonlinear hybrid multiple-delay stochastic differential equations

Stability criteria for stochastic differential delay equations (SDDEs) have been studied intensively for the past few decades. However, most of these criteria can only be applied to delay equations where their coefficients are either linear or nonlinear but bounded by linear functions. Recently, the stability of highly nonlinear hybrid stochastic differential equations with a single delay is investigated in [Fei, Hu, Mao and Shen, Automatica, 2017], whose work, in this paper, is extended to highly nonlinear hybrid stochastic differential equations with variable multiple delays. In other words, this paper establishes the stability criteria of highly nonlinear hybrid variable multiple-delay stochastic differential equations. We also discuss an example to illustrate our results.     

Stochastic evolution equations with general white noise disturbance

Existence and uniqueness theorems are proved for a general class of stochastic linear abstract evolution equations, with a general type of stochastic forcing term. The abstract evolution equation is modeled using an evolution operator (or 2-parameter semigroup) approach and this includes linear partial differential equations and linear differential delay equations. The stochastic forcing term is modeled by defining an Itô stochastic integral with respect to a Hilbert space-valued orthogonal increments process, which can be used to model both Gaussian and non-Gaussian white noise processes. The theory is illustrated by examples of stochastic partial differential equations and delay equations, which arise in filtering problems for distributed and delay systems.     

General decay pathwise stability of neutral stochastic differential equations with unbounded delay

Without the linear growth condition, by the use of Lyapunov function, this paper establishes the existence-and-uniqueness theorem of global solutions to a class of neutral stochastic differential equations with unbounded delay, and examines the pathwise stability of this solution with general decay rate. As an application of our results, this paper also considers in detail a two-dimensional unbounded delay neutral stochastic differential equation with polynomial coefficients.     

无限时滞随机泛函微分方程的Razumikhin型定理

在无限时滞的随机泛函微分方程整体解存在的前提下,建立了一般衰减稳定性的Razumikhin型定理.在此基础上,基于局部Lipschitz条件和多项式增长条件,得到了无限时滞随机泛函微分方程整体解的存在唯一性,以及具有一般衰减速率的p阶矩和几乎必然渐近稳定性定理.     

Uniqueness and explosion time of solutions of stochastic differential equations driven by fractional Brownian motion

In this paper, we first study the existence and uniqueness of solutions to the stochastic differential equations driven by fractional Brownian motion with non-Lipschitz coefficients. Then we investigate the explosion time in stochastic differential equations driven by fractional Browmian motion with respect to Hurst parameter more than half with small diffusion.     

Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump

In this paper, we are concerned with the stochastic differential delay equations with Poisson jump (SDDEsPJ). As stochastic differential equations, most SDDEsPJ cannot be solved explicitly. Therefore, numerical solutions have become an important issue in the study of SDDEsPJ. The key contribution of this paper is to investigate the strong convergence between the true solutions and the numerical solutions to SDDEsPJ when the drift and diffusion coefficients are Taylor approximations.     

Stability in distribution of neutral stochastic functional differential equations with Markovian switching

Stability in distribution of stochastic differential equations with Markovian switching and stochastic differential delay equations with Markovian switching have been studied by several authors and this kind of stability is an important property for stochastic systems. There are several papers which study this stability for stochastic differential equations with Markovian switching and stochastic differential delay equations with Markovian switching technically. In our paper, we are concerned with the general neutral stochastic functional differential equations with Markovian switching and we derive the sufficient conditions for stability in distribution. At the end of our paper, one example is established to illustrate the theory of our work.     

Exponential stability of energy solutions to stochastic partial differential equations with variable delays and jumps

In this work, we investigate stochastic partial differential equations with variable delays and jumps. We derive by estimating the coefficients functions in the stochastic energy equality some sufficient conditions for exponential stability and almost sure exponential stability of energy solutions, and generalize the results obtained by Taniguchi [T. Taniguchi, The exponential stability for stochastic delay partial differential equations, J. Math. Anal. Appl. 331 (2007) 191-205] and Wan and Duan [L. Wan, J. Duan, Exponential stability of non-autonomous stochastic partial differential equations with finite memory, Statist. Probab. Lett. 78 (5) (2008) 490-498] to cover a class of more general stochastic partial differential equations with jumps. Finally, an illustrative example is established to demonstrate our established theory.     

Convergence of the Stochastic Euler Scheme for Locally Lipschitz Coefficients

Stochastic differential equations are often simulated with the Monte Carlo Euler method. Convergence of this method is well understood in the case of globally Lipschitz continuous coefficients of the stochastic differential equation. However, the important case of superlinearly growing coefficients has remained an open question. The main difficulty is that numerically weak convergence fails to hold in many cases of superlinearly growing coefficients. In this paper we overcome this difficulty and establish convergence of the Monte Carlo Euler method for a large class of one-dimensional stochastic differential equations whose drift functions have at most polynomial growth.     

Optimal estimation of parameters and states in stochastic time-varying systems with time delay

In this study estimation of parameters and states in stochastic linear and nonlinear delay differential systems with time-varying coefficients and constant delay is explored. The approach consists of first employing a continuous time approximation to approximate the stochastic delay differential equation with a set of stochastic ordinary differential equations. Then the problem of parameter estimation in the resulting stochastic differential system is represented as an optimal filtering problem using a state augmentation technique. By adapting the extended Kalman–Bucy filter to the resulting system, the unknown parameters of the time-delayed system are estimated from noise-corrupted, possibly incomplete measurements of the states.     

RAZUMIKHIN-TYPE THEOREM FOR NEUTRAL STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS WITH UNBOUNDED DELAY

This paper establishes the Razumikhin-type theorem on stability for neutral stochastic functional differential equations with unbounded delay. To overcome difficulties from unbounded delay, we develop several different techniques to investigate stability. To show our idea clearly, we examine neutral stochastic delay differential equations with unbounded delay and linear neutral stochastic Volterra unbounded-delay-integro-differential equations.     

Khasminskii-type theorems for stochastic functional differential equations with infinite delay

The classical Khasminskii-type theorem gives a powerful tool to examine the global existence of solutions for stochastic differential equations without the linear growth condition by the use of the Lyapunov functions. However, there is no such result for stochastic functional equations with infinite delay. The main aim of this paper is to establish the existence-and-uniqueness theorems of global solutions for stochastic functional differential equations with infinite delay.     

Existence results and the moment estimate for nonlocal stochastic differential equations with time-varying delay

This paper considers a class of nonlocal stochastic differential equations with time-varying delay whose coefficients are dependent on the pth moment. By applying the fixed point theorem, the existence and uniqueness of the solution of nonlocal stochastic differential delay equations is studied. Also, a class of moment estimates of solutions is considered. The results are a generalization and continuation of the recent results on this issue. An example is provided to illustrate the effectiveness of our results.     

On the Moments of the Modulus of Continuity of Itô Processes

The modulus of continuity of a stochastic process is a random element for any fixed mesh size. We provide upper bounds for the moments of the modulus of continuity of Itô processes with possibly unbounded coefficients, starting from the special case of Brownian motion. References to known results for the case of Brownian motion and Itô processes with uniformly bounded coefficients are included. As an application, we obtain the rate of strong convergence of Euler–Maruyama schemes for the approximation of stochastic delay differential equations satisfying a Lipschitz condition in supremum norm.     

Razumikhin-type Theorems on Exponential Stability of Stochastic Functional Differential Equations with Infinite Delay

The main aim of this paper is to study the stability of the stochastic functional differential equations with infinite delay. We establish several Razumikhin-type theorems on the exponential stability for stochastic functional differential equations with infinite delay. By applying these results to stochastic differential equations with distributed delay, we obtain some sufficient conditions for both pth moment and almost surely exponentially stable. Finally, some examples are presented to illustrate our theory.