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1.
In some recent papers, some procedures based on some weighted empirical measures related to decreasing-step Euler schemes have been investigated to approximate the stationary regime of a diffusion (possibly with jumps) for a class of functionals of the process. This method is efficient but needs the computation of the function at each step. To reduce the complexity of the procedure (especially for functionals), we propose in this paper to study a new scheme, called the mixed-step scheme, where we only keep some regularly time-spaced values of the Euler scheme. Our main result is that, when the coefficients of the diffusion are smooth enough, this alternative does not change the order of the rate of convergence of the procedure. We also investigate a Richardson–Romberg method to speed up the convergence and show that the variance of the original algorithm can be preserved under a uniqueness assumption for the invariant distribution of the “duplicated” diffusion, condition which is extensively discussed in the paper. Finally, we conclude by giving sufficient “asymptotic confluence” conditions for the existence of a smooth solution to a discrete version of the associated Poisson equation, condition which is required to ensure the rate of convergence results.  相似文献   

2.
Focusing on competitive Lotka-Volterra model in random environments, this paper uses regime-switching diffusions to model the dynamics of the population sizes of n different species in an ecosystem subject to the random changes of the external environment. It is demonstrated that the growth rates of the population sizes of the species are bounded above. Moreover, certain long-run-average limits of the solution are examined from several angles. A partial stochastic principle of competitive exclusion is also derived. Finally, simple examples are used to demonstrate our findings.  相似文献   

3.
In this paper we consider radially symmetric solutions of the nonlinear Dirichlet problem Δu+f(|x|,u)=0 in Ω, where Ω is a ball in RN, N?3 and f satisfies some appropriate assumptions. We prove existence of radially symmetric solutions with k prescribed number of zeros. Moreover, when f(|x|,u)=K(|x|)|u|p−1u, using the uniqueness result due to Tanaka (2008) [21], we verify that these solutions are non-degenerate and we prove that their radial Morse index is exactly k.  相似文献   

4.
For a supercritical branching process (Zn) in a stationary and ergodic environment ξ, we study the rate of convergence of the normalized population Wn=Zn/E[Zn|ξ] to its limit W: we show a central limit theorem for WWn with suitable normalization and derive a Berry-Esseen bound for the rate of convergence in the central limit theorem when the environment is independent and identically distributed. Similar results are also shown for Wn+kWn for each fixed kN.  相似文献   

5.
In this paper, we are interested in numerical solutions of stochastic functional differential equations with jumps. Under a global Lipschitz condition, we show that the pth-moment convergence of Euler-Maruyama numerical solutions to stochastic functional differential equations with jumps has order 1/p for any p≥2. This is significantly different from the case of stochastic functional differential equations without jumps, where the order is 1/2 for any p≥2. It is therefore best to use the mean-square convergence for stochastic functional differential equations with jumps. Moreover, under a local Lipschitz condition, we reveal that the order of mean-square convergence is close to 1/2, provided that local Lipschitz constants, valid on balls of radius j, do not grow faster than logj.  相似文献   

6.
This paper deals with a class of degenerate quasilinear elliptic equations of the form −div(a(x,u,u)=g−div(f), where a(x,u,u) is allowed to be degenerate with the unknown u. We prove existence of bounded solutions under some hypothesis on f and g. Moreover we prove that there exists a renormalized solution in the case where gL1(Ω) and f∈(Lp(Ω))N.  相似文献   

7.
We value CDS spreads and kth-to-default swap spreads in a tractable shot noise model. The default dependence is modelled by letting the individual jumps of the default intensity be driven by a common latent factor. The arrival of the jumps is driven by a Poisson process. By using conditional independence and properties of the shot noise processes we derive tractable closed form expressions for the default distribution and the ordered survival distributions. These quantities are then used to price kth-to-default swap spreads. We calibrate a homogeneous version of the model to the term structure on market data from the iTraxx Europe index series sampled during the period 2008-01-14 to 2010-02-11. We perform 435 calibrations in this turbulent period and almost all calibrations yield very good fits. Finally we study kth-to-default spreads in the calibrated model.  相似文献   

8.
It is well known that the biharmonic equation Δ2u=u|u|p−1 with p∈(1,∞) has positive solutions on Rn if and only if the growth of the nonlinearity is critical or supercritical. We close a gap in the existing literature by proving the existence and uniqueness, up to scaling and symmetry, of oscillatory radial solutions on Rn in the subcritical case. Analyzing the nodal properties of these solutions, we also obtain precise information about sign-changing large radial solutions and radial solutions of the Dirichlet problem on a ball.  相似文献   

9.
In this paper we examine semilinear and nonlinear Neumann problems with a nonsmooth locally Lipschitz potential function. Using variational methods based on the nonsmooth critical point theory, for the semilinear problem we prove a multiplicity result under conditions of double resonance at higher eigenvalues. Our proof involves a nonsmooth extension of the reduction method due to Castro-Lazer-Thews. The nonlinear problem is driven by the p-Laplacian. So first we make some observations about the beginning of the spectrum of (−Δp,W1,p(Z)). Then we prove an existence and multiplicity result. The existence result permits complete double resonance. The multiplicity result specialized in the semilinear case (i.e. p=2) corresponds to the super-sub quadratic situation.  相似文献   

10.
For p-harmonic functions on unweighted R2, with 1<p<∞, we show that if the boundary values f has a jump at an (asymptotic) corner point z0, then the Perron solution Pf is asymptotically a+barg(zz0)+o(|zz0|). We use this to obtain a positive answer to Baernstein's problem on the equality of the p-harmonic measure of a union G of open arcs on the boundary of the unit disc, and the p-harmonic measure of . We also obtain various invariance results for functions with jumps and perturbations on small sets. For p>2 these results are new also for continuous functions. Finally we look at generalizations to Rn and metric spaces.  相似文献   

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