Strong solution of Itô type set-valued stochastic differential equation

In this paper, we shall firstly illustrate why we should introduce an It5 type set-valued stochastic differential equation and why we should notice the almost everywhere problem. Secondly we shall give a clear definition of Aumann type Lebesgue integral and prove the measurability of the Lebesgue integral of set-valued stochastic processes with respect to time t. Then we shall present some new properties, especially prove an important inequality of set-valued Lebesgue integrals. Finally we shall prove the existence and the uniqueness of a strong solution to the It5 type set-valued stochastic differential equation.     

CHARACTERISTIC DIFFERENCE METHODS FOR TWO-PHASE DISPLACEMENT IN NATURALLY FRACTURED RESERVOIRS

In this paper we shall give the characteristic difference methods for two phase displace meat problem in naturally fractured reservoirs.We shall prove the existence,uniqueness of the ap proximate solution and a priori discrete L2-error estimates.     

General Tricomi-Rassias problem and oblique derivative problem for generalized Chaplygin equations

Many authors have discussed the Tricomi problem for some second order equations of mixed type, which has important applications in gas dynamics. In particular, Bers proposed the Tricomi problem for Chaplygin equations in multiply connected domains [L. Bers, Mathematical Aspects of Subsonic and Transonic Gas Dynamics, Wiley, New York, 1958]. And Rassias proposed the exterior Tricomi problem for mixed equations in a doubly connected domain and proved the uniqueness of solutions for the problem [J.M. Rassias, Lecture Notes on Mixed Type Partial Differential Equations, World Scientific, Singapore, 1990]. In the present paper, we discuss the general Tricomi-Rassias problem for generalized Chaplygin equations. This is one general oblique derivative problem that includes the exterior Tricomi problem as a special case. We first give the representation of solutions of the general Tricomi-Rassias problem, and then prove the uniqueness and existence of solutions for the problem by a new method. In this paper, we shall also discuss another general oblique derivative problem for generalized Chaplygin equations.     

Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations

We discuss the stochastic linear-quadratic (LQ) optimal control problem with Poisson processes under the indefinite case. Based on the wellposedness of the LQ problem, the main idea is expressed by the definition of relax compensator that extends the stochastic Hamiltonian system and stochastic Riccati equation with Poisson processes (SREP) from the positive definite case to the indefinite case. We mainly study the existence and uniqueness of the solution for the stochastic Hamiltonian system and obtain the optimal control with open-loop form. Then, we further investigate the existence and uniqueness of the solution for SREP in some special case and obtain the optimal control in close-loop form.     

Approximation of solutions to impulsive functional differential equations

In this paper we shall study a semilinear impulsive functional differential equation in a separable Hilbert space. We shall use the analytic semigroups theory of linear operators and fixed point technique to establish the existence, uniqueness, and the convergence of approximate solutions to the given problem. We will also prove the existence and convergence of finite-dimensional approximate solutions to the given problem. An example is also illustrated.     

A flow method to the Orlicz-Aleksandrov problem

In this paper, we obtain an existence result of smooth solutions to the Orlicz-Aleksandrov problem from the perspective of geometric flow. Furthermore, a special uniqueness result of solutions to this problem shall be discussed.     

Existence and uniqueness of stationary solutions to a one-dimensional bipolar hydrodynamic model of semiconductors

We consider a one-dimensional bipolar hydrodynamic model of semiconductors. Although some results exist for the bipolar case, almost their conditions (the boundary condition, the doping profile, etc.) are far from practical application. In the present paper, under a condition appropriate for engineering, we shall prove the existence and the uniqueness of classical solutions for the stationary problem. The most difficult point is to obtain the bounded estimate and the energy estimate.     

On the uniqueness of a solution of a two-phase free boundary problem

In this paper, we study the uniqueness problem of a two-phase elliptic free boundary problem arising from the phase transition problem subject to given boundary data. We show that in general the comparison principle between the sub- and super-solutions does not hold, and there is no uniqueness of either a viscosity solution or a minimizer of this free boundary problem by constructing counter-examples in various cases in any dimension. In one-dimension, a bifurcation phenomenon presents and the uniqueness problem has been completely analyzed. In fact, the critical case signifies the change from uniqueness to non-uniqueness of a solution of the free boundary problem. Non-uniqueness of a solution of the free boundary problem suggests different physical stationary states caused by different processes, such as melting of ice or solidification of water, even with the same prescribed boundary data. However, we prove that a uniqueness theorem is true for the initial-boundary value problem of an ε-evolutionary problem which is the smoothed two-phase parabolic free boundary problem.     

American option valuation in a stochastic volatility model with transaction costs

In the present paper we analyse the American option valuation problem in a stochastic volatility model when transaction costs are taken into account. We shall show that it can be formulated as a singular stochastic optimal control problem, proving the existence and uniqueness of the viscosity solution for the associated Hamilton–Jacobi–Bellman partial differential equation. Moreover, after performing a dimensionality reduction through a suitable choice of the utility function, we shall provide a numerical example illustrating how American options prices can be computed in the present modelling framework.     

Busemann functions and equilibrium measures in last passage percolation models

The interplay between two-dimensional percolation growth models and one-dimensional particle processes has been a fruitful source of interesting mathematical phenomena. In this paper we develop a connection between the construction of Busemann functions in the Hammersley last-passage percolation model with i.i.d. random weights, and the existence, ergodicity and uniqueness of equilibrium (or time-invariant) measures for the related (multi-class) interacting fluid system. As we shall see, in the classical Hammersley model, where each point has weight one, this approach brings a new and rather geometrical solution of the longest increasing subsequence problem, as well as a central limit theorem for the Busemann function.