Numerical solution of stochastic differential equations

Numerical solution of stochastic differential equations, P. E. Kioeden and E. Platen, Springer-Verlag (1992). 632 pp. $59.00 ISBN 0-386-54062-8     

Approximations for Solutions of Lévy-Type Stochastic Differential Equations

Abstract

The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for Lévy-type stochastic differential equation. In particular, the article generalizes the results from [2 Gardoń , A. 2004 . The order of approximations for solutions of Ito-type stochastic differential equations with jumps . Stoch. Anal. Appl. 22 ( 3 ): 679 – 699 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar], 5 Kloeden , P.E. , and Platen , E. 1995 . Numerical Solutions of Stochastic Differential Equations . Springer-Verlag , Berlin . [Google Scholar]]. The Euler and the Milstein schemes are shown for finite and infinite Lévy measure.     

Periodic solution of neutral Lotka-Volterra system with periodic delays

A nonautonomous n-species Lotka-Volterra system with neutral delays is investigated. A set of verifiable sufficient conditions is derived for the existence of at least one strictly positive periodic solution of this Lotka-Volterra system by applying an existence theorem and some analysis techniques, where the assumptions of the existence theorem are different from that of Gaines and Mawhin's continuation theorem [R.E. Gaines, J.L. Mawhin, Coincidence Degree and Nonlinear Differential Equations, Springer-Verlag, Berlin, 1977] and that of abstract continuation theory for k-set contraction [W. Petryshyn, Z. Yu, Existence theorem for periodic solutions of higher order nonlinear periodic boundary value problems, Nonlinear Anal. 6 (1982) 943-969]. Moreover, a problem proposed by Freedman and Wu [H.I. Freedman, J. Wu, Periodic solution of single species models with periodic delay, SIAM J. Math. Anal. 23 (1992) 689-701] is answered.     

Existence of almost periodic solutions for forced perturbed systems with piecewise constant argument

Certain almost periodic forced perturbed systems with piecewise argument are considered in this paper. By using the contraction mapping principle and some new analysis technique, some sufficient conditions are obtained for the existence and uniqueness of almost periodic solution of these systems. Furthermore, we study the harmonic and subharmonic solutions of these systems. The obtained results generalize the previous known results such as [A.M. Fink, Almost Periodic Differential Equation, Lecture Notes in Math., vol. 377, Springer-Verlag, Berlin, 1974; C.Y. He, Almost Periodic Differential Equations, Higher Education Press, Beijing, 1992 (in Chinese); Z.S. Lin, The existence of almost periodic solution of linear system, Acta Math. Sinica 22 (5) (1979) 515-528 (in Chinese); C.Y. He, Existence of almost periodic solutions of perturbation systems, Ann. Differential Equations 9 (2) (1992) 173-181; Y.H. Xia, M. Lin, J. Cao, The existence of almost periodic solutions of certain perturbation system, J. Math. Anal. Appl. 310 (1) (2005) 81-96]. Finally, a tangible example and its numeric simulations show the feasibility of our results, the comparison between non-perturbed system and perturbed system, the relation between systems with and without piecewise argument.     

On the lateral Cauchy problem

Considerable attention is currently begin devoted to Cauchy problems of mathemetical physics in view of their increasing importance for the solution of applied problems [M. Taylor, Partial Differential Equations, Springer, Berlin, 1966]. Uniqueness of the solution for these problems very important. In this paper we found a bound in the uniqueness theorem for the Cauchy problem.     

A population equation with diffusion

In this paper we discuss a population equation with diffusion. It is different from the equation proposed, for example, in [K.J. Engel, R. Nagel, One-Parameter Semigroups for Linear Evolution Equations, Springer-Verlag, 2000] or in [J. Wu, Theory and Applications of Partial Functional Differential Equations, Springer-Verlag, 1996] so far as it combines diffusion with delay. We explain the origin of this equation and study it with the theory developed by G. Fragnelli and G. Nickel (Differential Integral Equations 16 (2003) 327-348) and G. Fragnelli (Abstract Appl. Anal., in press).     

The existence of almost periodic solutions of certain perturbation systems

Certain almost periodic perturbation systems are considered in this paper. By using the roughness theory of exponential dichotomies and the contraction mapping principle, some sufficient conditions are obtained for the existence and uniqueness of almost periodic solution of the above systems. Our results generalize those in [J.K. Hale, Ordinary Differential Equations, Krieger, Huntington, 1980; C. He, Existence of almost periodic solutions of perturbation systems, Ann. Differential Equations 9 (1992) 173-181; M. Lin, The existence of almost periodic solution and bounded solution of perturbation systems, Acta Math. Sinica 22A (2002) 61-70 (in Chinese); W.A. Coppel, Almost periodic properties of ordinary differential equations, Ann. Math. Pura Appl. 76 (1967) 27-50; A.M. Fink, Almost Periodic Differential Equations, Lecture Notes in Math., vol. 377, Springer-Verlag, New York, 1974; Y. Xia, F. Chen, A. Chen, J. Cao, Existence and global attractivity of an almost periodic ecological model, Appl. Math. Comput. 157 (2004) 449-475].     

局部Lipschitz条件下的布朗运动和泊松过程混合驱动的正倒向随机微分方程

本文得到在局部Lipschiz条件下的布朗运动和泊松过程混合驱动的倒向随机微分方程的存在唯一性；同时也证明了布朗运动和泊松过程混合驱动的完全藕合的正倒向随机微分方程在局部Lipschitz条件下的解的存在唯一性。     

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.     

Representation of the solution to a model problem in semiconductor physics

We study a mixed type problem for the Poisson equation arising in the modeling of charge transport in semiconductor devices [V. Romano, 2D simulation of a silicon MESFET with a non-parabolic hydrodynamical model based on the maximum entropy principle, J. Comput. Phys. 176 (2002) 70-92; A.M. Blokhin, R.S. Bushmanov, A.S. Rudometova, V. Romano, Linear asymptotic stability of the equilibrium state for the 2D MEP hydrodynamical model of charge transport in semiconductors, Nonlinear Anal. 65 (2006) 1018-1038]. Unlike well-studied elliptic boundary-value problems in domains with smooth boundaries (see, for example, [O.A. Ladyzhenskaya, N.N. Uralceva, Linear and Quasilinear Elliptic Equations, Nauka, Moscow, 1973; D. Gilbarg, N.S. Trudinger, Elliptic Partial Differential Equations of Second Order, Springer-Verlag, Berlin, 1983]), our problem has two significant features: firstly, the boundary is not a smooth curve and, secondly, the type of boundary conditions is mixed (the Dirichlet condition is satisfied on the one part of the boundary whereas the Neumann condition on the other part). The well-posedness of the problem in Hölder and Sobolev spaces is proved. The representation of the solution to the problem is obtained in an explicit form.