CONTINUOUS DEPENDENCE ON THE TERMINAL CONDITION OF SOLUTIONS TO NONLINEAR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

In this paper,we derive the continuous dependence on the terminal condition of solutions to nonlinear reflected backward stochastic differential equations involving the subdifferential operator of a lower semi-continuous,proper and convex function under non-Lipschitz condition by means of the corollary of Bihari inequality.     

STABILITY OF THE MILD SOLUTION OF STOCHASTIC NONLINEAR EVOLUTION DIFFERENTIAL EQUATIONS

In this paper, we consider the stability problem associated with the mild solutions of stochastic nonlinear evolution differential equations in Hilbert space under hypothesis which is weaker than Lipschitz condition. And the result is established by employing the Ito-type inequality and the extension of the Bihari's inequality.     

STABILITY OF THE SOLUTIONS TO STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS WITH INFINITE DELAY

In this paper,we obtain the stability of solutions to stochastic functional differential equations with infinite delay at phase space BC((-∞,0];Rd),under non-Lipschitz condition with Lipschitz condition being considered as a special case and a weakened linear growth condition by means of the corollary of Bihari inequality.     

Burkholder-Gundy-Davis inequality in martingale Hardy spaces with variable exponent

In this article, by extending classical Dellacherie's theorem on stochastic sequences to variable exponent spaces, we prove that the famous Burkholder-Gundy-Davis inequality holds for martingales in variable exponent Hardy spaces. We also obtain the variable exponent analogues of several martingale inequalities in classical theory, including convexity lemma, Chevalier's inequality and the equivalence of two kinds of martingale spaces with predictable control. Moreover, under the regular condition on σ-algebra sequence we prove the equivalence between five kinds of variable exponent martingale Hardy spaces.     

Multidimensional BSDEs with weak monotonicity and general growth generators

This paper aims at solving a multidimensional backward stochastic differential equation （BSDE） whose generator g satisfies a weak monotonicity condition and a general growth condition in y. We first establish an existence and uniqueness result of solutions for this kind of BSDEs by using systematically the technique of the priori estimation, the convolution approach, the iteration, the truncation and the Bihari inequality. Then, we overview some assumptions related closely to the monotonieity condition in the literature and compare them in an effective way, which yields that our existence and uniqueness result really and truly unifies the Mao condition in y and the monotonieity condition with the general growth condition in y, and it generalizes some known results. Finally, we prove a stability theorem and a comparison theorem for this kind of BSDEs, which also improves some known results.     

EXISTENCE AND UNIQUENESS OF SOLUTION OF NONLINEAR IT■ TYPE STOCHASTIC INTEGRAL EQUATIONS

In this paper we study the existence and uniqueness of solutions of It type stochastic integral equations. The main tools employed in our analysis are the method of integral contractor and the integral inequality recently established by Pachpatte.     

REGULARITY FOR NONLINEAR ELLIPTIC SYSTEMS WITH DINI COEFFICIENTS UNDER NATURAL GROWTH CONDITION FOR THE CASE：1〈m〈2

In this article,we consider interior regularity for weak solutions to nonlinear elliptic systems of divergence type with Dini continuous coefficients under natural growth condition for the case 1相似文献   

Boundary Value Problems for First Order Stochastic Differential Equations

In this paper, we present a new technique to study nonlinear stochastic differential equations with periodic boundary value condition （in the sense of expectation）. Our main idea is to decompose the stochastic process into a deterministic term and a new stochastic term with zero mean value. Then by using the contraction mapping principle and Leray-Schauder fixed point theorem, we obtain the existence theorem. Finally, we explain our main results by an elementary example.     

ON THE EXISTENCE WITH EXPONENTIAL DECAY AND THE BLOW-UP OF SOLUTIONS FOR COUPLED SYSTEMS OF SEMI-LINEAR CORNER-DEGENERATE PARABOLIC EQUATIONS WITH SINGULAR POTENTIALS

In this article,we study the initial boundary value problem of coupled semi-linear degenerate parabolic equations with a singular potential term on manifolds with corner singularities.Firstly,we introduce the corner type weighted p-Sobolev spaces and the weighted corner type Sobolev inequality,the Poincare′inequality,and the Hardy inequality.Then,by using the potential well method and the inequality mentioned above,we obtain an existence theorem of global solutions with exponential decay and show the blow-up in finite time of solutions for both cases with low initial energy and critical initial energy.Significantly,the relation between the above two phenomena is derived as a sharp condition.Moreover,we show that the global existence also holds for the case of a potential well family.     

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.     

具有非Lipschitz和非增长条件的带跳倒向随机微分方程

本文研究一类带Poisson跳的倒向随机微分方程。在方程的系数满足非增长条件和非Lipschitz条件下,讨论方程适应解的存在唯一性和稳定性。为了证明解的存在性,首先通过函数变换,构造出一逼近序列,然后运用推广的Bihari不等式和Lebesgue控制收敛定理证明该逼近序列是收敛的,得到逼近序列的极限就是方程的适应解。解的唯一性和稳定性主要运用了Bihari不等式和推广的Bihari不等式来进行证明。     

分数布朗运动驱动下z一致连续的BSDE解的存在性与唯一性

本文研究一类由分数布朗运动驱动的一维倒向随机微分方程解的存在性与唯一性问题,在假设其生成元满足关于y Lipschitz连续,但关于z一致连续的条件下,通过应用分数布朗运动的Tanaka公式以及拟条件期望在一定条件下满足的单调性质,得到倒向随机微分方程的解的一个不等式估计,应用Gronwall不等式得到了一个关于这类方程的解的存在性与唯一性结果,推广了一些经典结果以及生成元满足一致Lipschitz条件下的由分数布朗运动驱动的倒向随机微分方程解的结果.     

Estimate on the Pathwise Lyapunov Exponent of Linear Stochastic Differential Equations with Constant Coefficients

In this article, we study the problem of estimating the pathwise Lyapunov exponent for linear stochastic systems with multiplicative noise and constant coefficients. We present a Lyapunov type matrix inequality that is closely related to this problem, and show under what conditions we can solve the matrix inequality. From this we can deduce an upper bound for the Lyapunov exponent. In the converse direction, it is shown that a necessary condition for the stochastic system to be pathwise asymptotically stable can be formulated in terms of controllability properties of the matrices involved.     

On a maximal inequality and its application to SDEs with singular drift

In this paper we present a Doob type maximal inequality for stochastic processes satisfying the conditional increment control condition. If we assume, in addition, that the margins of the process have uniform exponential tail decay, we prove that the supremum of the process decays exponentially in the same manner. Then we apply this result to the construction of the almost everywhere stochastic flow to stochastic differential equations with singular time dependent divergence-free drift.     

Attracting and Invariant Sets of Nonlinear Stochastic Neutral Differential Equations with Delays

In this paper, a class of nonlinear stochastic neutral differential equations with delays is investigated. By using the properties of ${\mathcal{M}}$ -matrix, a differential-difference inequality is established. Basing on the differential-difference inequality, we develop a ${\mathcal{L}}$ -operator-difference inequality such that it is effective for stochastic neutral differential equations. By using the ${\mathcal{L}}$ -operator-difference inequality, we obtain the global attracting and invariant sets of nonlinear stochastic neutral differential equations with delays. In addition, we derive the sufficient condition ensuring the exponential p-stability of the zero solution of nonlinear stochastic neutral differential equations with delays. One example is presented to illustrate the effectiveness of our conclusion.     

Cauchy Problem for Semilinear Parabolic Equation with Time-Dependent Obstacles: A BSDEs Approach

In the paper we apply methods of the theory of backward stochastic differential equations to prove existence, uniqueness and stochastic representation of solutions of the Cauchy problem for semilinear parabolic equation in divergence form with two time-dependent obstacles. We consider two quite different cases: problems with distinct quasi-continuous obstacles and with irregular obstacles satisfying the so called Mokobodzki condition. As an application we also generalize the Lewy-Stampacchia inequality to non-Radon measures and give new existence result for the Dynkin game problem.