Approximations of Euler–Maruyama type for stochastic differential equations with Markovian switching,under non-Lipschitz conditions

We develop the Euler–Maruyama scheme for a class of stochastic differential equations with Markovian switching (SDEwMSs) under non-Lipschitz conditions  . Both L¹$L^1$ and L²$L^2$-convergence are discussed under different non-Lipschitz conditions. To overcome the mathematical difficulties arisen from the Markovian switching as well as the non-Lipschitz coefficients, several new analytical techniques have been developed in this paper which should prove to be very useful in the numerical analysis of stochastic systems.     

The interrelation between stochastic differential inclusions and set-valued stochastic differential equations

In this paper we connect the well established theory of stochastic differential inclusions with a new theory of set-valued stochastic differential equations. Solutions to the latter equations are understood as continuous mappings taking on their values in the hyperspace of nonempty, bounded, convex and closed subsets of the space L²$L^2$ consisting of square integrable random vectors. We show that for the solution X$X$ to a set-valued stochastic differential equation corresponding to a stochastic differential inclusion, there exists a solution x$x$ for this inclusion that is a _‖⋅‖L2${\Vert \cdot \Vert }_{L^2}$-continuous selection of X$X$. This result enables us to draw inferences about the reachable sets of solutions for stochastic differential inclusions, as well as to consider the viability problem for stochastic differential inclusions.     

Transportation inequalities for stochastic differential equations with jumps

For stochastic differential equations with jumps, we prove that _W1H$W_{1}H$ transportation inequalities hold for their invariant probability measures and for their process-level laws on the right-continuous path space w.r.t. the L¹$L^1$-metric and uniform metric, under dissipative conditions, via Malliavin calculus. Several applications to concentration inequalities are given.     

Remark on the stability of the large stationary solutions to the Navier–Stokes equations under the general flux condition

Consider stationary weak solutions of the Navier–Stokes equations in a bounded domain in R³${\mathbb{R}}^3$ under the nonhomogeneous boundary condition. We give a new approach for the stability of the stationary flow in the L²$L^2$-framework. Furthermore, we give some examples of stable solutions which may be large in L³(Ω)$L^3\left(\Omega \right)$ or W^1,3/2(Ω)$W^{1,3/2}\left(\Omega \right)$.     

Generalized stochastic flows and applications to incompressible viscous fluids

We introduce a notion of generalized stochastic flows on manifolds, that extends to the viscous case the one defined by Brenier for perfect fluids. Their kinetic energy extends the classical kinetic energy to Brownian flows, defined as the L²$L^2$ norm of their drift. We prove that there exists a generalized flow which realizes the infimum of the kinetic energy among all generalized flows with prescribed initial and final configuration. We also construct generalized flows with prescribed drift and kinetic energy smaller than the L²$L^2$ norm of the drift.     

The stationary Oseen equations in an exterior domain: An approach in weighted Sobolev spaces

In this work, we study the linearized Navier–Stokes equations in an exterior domain of R³${\mathbb{R}}^3$ at the steady state, that is, the Oseen equations. We are interested in the existence and the uniqueness of weak, strong and very weak solutions in L^p$L^p$-theory which makes our work more difficult. Our analysis is based on the principle that linear exterior problems can be solved by combining their properties in the whole space R³${\mathbb{R}}^3$ and the properties in bounded domains. Our approach rests on the use of weighted Sobolev spaces.     

Nonconforming finite element method for stochastic Stokes equations

In this paper, we study nonconforming finite element method for stochastic Stokes equation driven by white noise. We apply “green function framework” and standard duality technique to study the error estimate for velocity in L²$L^2$-norm and for pressure in H^-1$H^{-1}$-norm. Finally, numerical experiment proves our theoretical results.     

Asymptotic profiles for wave equations with strong damping

We consider the Cauchy problem in Rⁿ${\mathbf{R}}^n$ for strongly damped wave equations. We derive asymptotic profiles of these solutions with weighted L^1,1(Rⁿ)$L^{1,1}({\mathbf{R}}^n)$ data by using a method introduced in [9] and/or [10].