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。     

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.     

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.     

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.     

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.     

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.     

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.     

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.     

随机脉冲随机微分方程解的存在唯一性

提出了随机脉冲随机微分方程模型,其中所谓的随机脉冲是指脉冲幅度由随机变量序列驱动,并且脉冲发生的时间也是一个随机变量序列.因此,随机脉冲随机微分方程是对带跳的随机微分方程模型的推广.利用Gronwall不等式、Lipschtiz条件和随机分析技巧,得到了随机脉冲随机微分方程的解的存在唯一性条件.     

Stochastic integrals and BDG’s inequalities in Orlicz-type spaces

In this paper we extend an inequality of Lenglart et al. (1980, Lemma 1.1) to general continuous adapted stochastic processes with values in topological spaces. Using this inequality we prove Burkholder–Davies–Gundy’s inequality for stochastic integrals in Orlicz-type spaces (a class of quasi-Banach spaces) with respect to cylindrical Brownian motions. As an application, we show the well-posedness of stochastic heat equations in Orlicz spaces.     

Harnack inequality and strong Feller property for stochastic fast-diffusion equations

As a continuation to [F.-Y. Wang, Harnack inequality and applications for stochastic generalized porous media equations, Ann. Probab. 35 (2007) 1333-1350], where the Harnack inequality and the strong Feller property are studied for a class of stochastic generalized porous media equations, this paper presents analogous results for stochastic fast-diffusion equations. Since the fast-diffusion equation possesses weaker dissipativity than the porous medium one does, some technical difficulties appear in the study. As a compensation to the weaker dissipativity condition, a Sobolev-Nash inequality is assumed for the underlying self-adjoint operator in applications. Some concrete examples are constructed to illustrate the main results.     

Two-Stage Stochastic Variational Inequality Arising from Stochastic Programming

We consider a two-stage stochastic variational inequality arising from a general convex two-stage stochastic programming problem, where the random variables have continuous distributions. The equivalence between the two problems is shown under some moderate conditions, and the monotonicity of the two-stage stochastic variational inequality is discussed under additional conditions. We provide a discretization scheme with convergence results and employ the progressive hedging method with double parameterization to solve the discretized stochastic variational inequality. As an application, we show how the water resources management problem under uncertainty can be transformed from a two-stage stochastic programming problem to a two-stage stochastic variational inequality, and how to solve it, using the discretization scheme and the progressive hedging method with double parameterization.

     

Optimal control for one-phase Stefan problem with random emission

We study the optimal control for the stochastic one-phase Stefan problem where the cost functional is quadratic with respect to the state and control. A one-phase Stefan problem with random disturbance is formulated as the stochastic variational inequality. After studying the existence and uniqueness of the solution of the stochastic variational inequality, the necessary condition of optimality for the control problem is derived.The first author would like to express his thanks to the Department of Applied Mathematics, Twente University of Technology, Enschede, The Netherlands, for the financial support that it provided during the completion of the final two sections of this paper.     

First and Second Order Necessary Conditions for Stochastic Optimal Control Problems

In this work we consider a stochastic optimal control problem with either convex control constraints or finitely many equality and inequality constraints over the final state. Using the variational approach, we are able to obtain first and second order expansions for the state and cost function, around a local minimum. This fact allows us to prove general first order necessary condition and, under a geometrical assumption over the constraint set, second order necessary conditions are also established. We end by giving second order optimality conditions for problems with constraints on expectations of the final state.     

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??In this paper, we study a class of stochastic Volterra equations, which include the stochastic differential equation driven by fractional Brownian motion. By using a maximal inequality due to It\^o (1979), we establish the central limit theorem for stochastic Volterra equation on the continuous path space, with respect to the uniform norm.     

Existence and Uniqueness of Solutions to Random Impulsive Differential Systems

The existence and uniqueness in mean square of solutions to certain random impulsive differentialsystems is discussed in this paper.Cauchy-Schwarz inequality,Lipschtiz condition and techniques in stochasticanalysis are employed in achieve the desired results.     

Asymptotical Stability in Probability for Stochastic Bilinear Systems with Markovian Switching

This paper deals with asymptotical stability in probability in the large for stochastic bilinear systems. Some new criteria for asymptotical stability of such systems have been established in the inequality of mathematic expectation. A sufficient condition for bilinear stochastic jump systems to be asymptotically stable in probability in the large in Markovian switching laws is derived in a couple of Riccati-like inequalities by introducing a nonlinear state feedback controller. An illustrative example shows the effectiveness of the method.     

A modified log-Harnack inequality and asymptotically strong Feller property

We introduce a new Harnack type inequality, which is a modification of the log-Harnack inequality established by R?ckner and Wang and prove that it implies the asymptotically strong Feller property (ASF). This inequality generalizes the criterion for ASF introduced by Hairer and Mattingly. As an example, we show by an asymptotic coupling that the 2D stochastic Navier-Stokes equation driven by highly degenerate but essentially elliptic noise satisfies our modified log-Harnack inequality.