Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion

We study the approximation of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H>1/2$H>1/2$. For the mean-square error at a single point we derive the optimal rate of convergence that can be achieved by arbitrary approximation methods that are based on an equidistant discretization of the driving fractional Brownian motion. We find that there are mainly two cases: either the solution can be approximated perfectly or the best possible rate of convergence is n^−H−1/2$n^{-H-1/2}$, where n$n$ denotes the number of evaluations of the fractional Brownian motion. In addition, we present an implementable approximation scheme that obtains the optimal rate of convergence in the latter case.     

Backward SDEs driven by Gaussian processes

In this paper we discuss existence and uniqueness results for BSDEs driven by centered Gaussian processes. Compared to the existing literature on Gaussian BSDEs, which mainly treats fractional Brownian motion with Hurst parameter H>1/2$H>1/2$, our main contributions are: (i) Our results cover a wide class of Gaussian processes as driving processes including fractional Brownian motion with arbitrary Hurst parameter H∈(0,1)$H\in (0,1)$; (ii) the assumptions on the generator f$f$ are mild and include e.g. the case when f$f$ has (super-)quadratic growth in z$z$; (iii) the proofs are based on transferring the problem to an auxiliary BSDE driven by a Brownian motion.     

On a jump-type stochastic fractional partial differential equation with fractional noises

We study a class of stochastic fractional partial differential equations of order α>1$\alpha >1$ driven by a (pure jump) Lévy space–time white noise and a fractional noise. We prove the existence and uniqueness of the global mild solution by the fixed point principle under some suitable assumptions.     

Exponential mean square stability of numerical methods for systems of stochastic differential equations

This paper is concerned with exponential mean square stability of the classical stochastic theta method and the so called split-step theta method for stochastic systems. First, we consider linear autonomous systems. Under a sufficient and necessary condition for exponential mean square stability of the exact solution, it is proved that the two classes of theta methods with θ≥0.5$\theta \ge 0.5$ are exponentially mean square stable for all positive step sizes and the methods with θ<0.5$\theta <0.5$ are stable for some small step sizes. Then, we study the stability of the methods for nonlinear non-autonomous systems. Under a coupled condition on the drift and diffusion coefficients, it is proved that the split-step theta method with θ>0.5$\theta >0.5$ still unconditionally preserves the exponential mean square stability of the underlying systems, but the stochastic theta method does not have this property. Finally, we consider stochastic differential equations with jumps. Some similar results are derived.     

Approximation of stationary solutions to SDEs driven by multiplicative fractional noise

In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such an equation. We now consider the case of multiplicative noise when the Gaussian process is a fractional Brownian motion with Hurst parameter H>1/2$H>1/2$ and obtain some (functional) convergence properties of some empirical measures of the Euler scheme to the stationary solutions of such SDEs.     

Weak approximation of a fractional SDE

In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B$B$ with Hurst parameter H∈(1/3,1/2)$H\in (1/3,1/2)$. More precisely, we resort to the Kac–Stroock type approximation using a Poisson process studied in Bardina et al. (2003) [4] and Delgado and Jolis (2000) [9], and our method of proof relies on the algebraic integration theory introduced by Gubinelli in Gubinelli (2004) [14].     

The stochastic wave equation with fractional noise: A random field approach

We consider the linear stochastic wave equation with spatially homogeneous Gaussian noise, which is fractional in time with index H>1/2$H>1/2$. We show that the necessary and sufficient condition for the existence of the solution is a relaxation of the condition obtained in Dalang (1999) [10], where the noise is white in time. Under this condition, we show that the solution is L²(Ω)$L^2\left(\Omega \right)$-continuous. Similar results are obtained for the heat equation. Unlike in the white noise case, the necessary and sufficient condition for the existence of the solution in the case of the heat equation is different (and more general) than the one obtained for the wave equation.     

Multiple positive solutions for nonlinear eigenvalue problems with the p-Laplacian

In this paper we consider a nonlinear eigenvalue problem driven by the p$p$-Laplacian differential operator and with a nonsmooth potential. Using degree theoretic arguments based on the degree map for certain operators of monotone type, we show that the problem has at least two nontrivial positive solutions as the parameter λ>0$\lambda >0$ varies in a half-line.     

Regularity of Hölder continuous solutions of the supercritical quasi-geostrophic equation

We present a regularity result for weak solutions of the 2D quasi-geostrophic equation with supercritical (α<1/2$\alpha <1/2$) dissipation α(−Δ)${(-\mathrm{\Delta })}^{\alpha }$: If a Leray–Hopf weak solution is Hölder continuous θ∈Cδ(R²)$\theta \in C^{\delta }({\mathbb{R}}^2)$ with δ>1−2α$\delta >1-2\alpha$ on the time interval [t₀,t]$[t_0,t]$, then it is actually a classical solution on (t₀,t]$(t_0,t]$.     

Hölder continuity of solutions of supercritical dissipative hydrodynamic transport equations

We examine the regularity of weak solutions of quasi-geostrophic (QG) type equations with supercritical (α<1/2$\alpha <1/2$) dissipation α(−Δ)${(-\mathrm{\Delta })}^{\alpha }$. This study is motivated by a recent work of Caffarelli and Vasseur, in which they study the global regularity issue for the critical (α=1/2$\alpha =1/2$) QG equation [L. Caffarelli, A. Vasseur, Drift diffusion equations with fractional diffusion and the quasi-geostrophic equation, arXiv: math.AP/0608447, 2006]. Their approach successively increases the regularity levels of Leray–Hopf weak solutions: from L²$L^2$ to L^∞$L^{\infty }$, from L^∞$L^{\infty }$ to Hölder (Cδ$C^{\delta }$, δ>0$\delta >0$), and from Hölder to classical solutions. In the supercritical case, Leray–Hopf weak solutions can still be shown to be L^∞$L^{\infty }$, but it does not appear that their approach can be easily extended to establish the Hölder continuity of L^∞$L^{\infty }$ solutions. In order for their approach to work, we require the velocity to be in the Hölder space C1−2α$C^{1-2\alpha }$. Higher regularity starting from Cδ$C^{\delta }$ with δ>1−2α$\delta >1-2\alpha$ can be established through Besov space techniques and will be presented elsewhere [P. Constantin, J. Wu, Regularity of Hölder continuous solutions of the supercritical quasi-geostrophic equation, Ann. Inst. H. Poincaré Anal. Non Linéaire, in press].     

Continuity properties of the data-to-solution map for the generalized Camassa–Holm equation

This work studies a generalized Camassa–Holm equation with higher order nonlinearities (g-kbCH). The Camassa–Holm, the Degasperis–Procesi and the Novikov equations are integrable members of this family of equations. g-kb  CH is well-posed in Sobolev spaces H^s$H^s$, s>3/2$s>3/2$, on both the line and the circle and its solution map is continuous but not uniformly continuous. In this work it is shown that the solution map is Hölder continuous in H^s$H^s$ equipped with the H^r$H^r$-topology for 0?r<s$0?r<s$, and the Hölder exponent is expressed in terms of s and r.     

An operator-theoretical treatment of the Maskawa–Nakajima equation in the massless abelian gluon model

The Maskawa–Nakajima equation has attracted considerable interest in elementary particle physics. From the viewpoint of operator theory, we study the Maskawa–Nakajima equation in the massless abelian gluon model. We first show that there is a nonzero solution to the Maskawa–Nakajima equation when the parameter λ   satisfies λ>2$\lambda >2$. Moreover, we show that the solution is infinitely differentiable and strictly decreasing. We thus conclude that the massless abelian gluon model generates the nonzero quark mass spontaneously and exhibits the spontaneous chiral symmetry breaking when λ>2$\lambda >2$. We next show that there is a unique solution 0 to the Maskawa–Nakajima equation when 0<λ<1$0<\lambda <1$, from which we conclude that each quark remains massless and that the model realizes the chiral symmetry when 0<λ<1$0<\lambda <1$.     

Short time existence and uniqueness in Hölder spaces for the 2D dynamics of dislocation densities

In this paper, we study the model of Groma and Balogh [I. Groma, P. Balogh, Investigation of dislocation pattern formation in a two-dimensional self-consistent field approximation, Acta Mater. 47 (1999) 3647–3654] describing the dynamics of dislocation densities. This is a two-dimensional model where the dislocation densities satisfy a system of two transport equations. The velocity vector field is the shear stress in the material solving the equations of elasticity. This shear stress can be related to Riesz transforms of the dislocation densities. Basing on some commutator estimates type, we show that this model has a unique local-in-time solution corresponding to any initial datum in the space Cr(R²)∩Lp(R²)$C^r({\mathbb{R}}^2)\cap L^p({\mathbb{R}}^2)$ for r>1$r>1$ and 1<p<+∞$1<p<+\infty$, where Cr(R²)$C^r({\mathbb{R}}^2)$ is the Hölder–Zygmund space.