Sur l'existence de solutions d'équations différentielles stochastiques progréssives rétrogrades couplées

Nonlinear BSDEs were first introduced by Pardoux and Peng, 1990, Adapted solutions of backward stochastic differential equations, Systems and Control Letters, 14, 51–61, who proved the existence and uniqueness of a solution under suitable assumptions on the coefficient. Fully coupled forward–backward stochastic differential equations and their connection with PDE have been studied intensively by Pardoux and Tang, 1999, Forward–backward stochastic differential equations and quasilinear parabolic PDE's, Probability Theory and Related Fields, 114, 123–150; Antonelli and Hamadène, 2006, Existence of the solutions of backward–forward SDE's with continuous monotone coefficients, Statistics and Probability Letters, 76, 1559–1569; Hamadème, 1998, Backward–forward SDE's and stochastic differential games, Stochastic Processes and their Applications, 77, 1–15; Delarue, 2002, On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case, Stochastic Processes and Their Applications, 99, 209–286, amongst others.

Unfortunately, most existence or uniqueness results on solutions of forward–backward stochastic differential equations need regularity assumptions. The coefficients are required to be at least continuous which is somehow too strong in some applications. To the best of our knowledge, our work is the first to prove existence of a solution of a forward–backward stochastic differential equation with discontinuous coefficients and degenerate diffusion coefficient where, moreover, the terminal condition is not necessary bounded.

The aim of this work is to find a solution of a certain class of forward–backward stochastic differential equations on an arbitrary finite time interval. To do so, we assume some appropriate monotonicity condition on the generator and drift coefficients of the equation.

The present paper is motivated by the attempt to remove the classical condition on continuity of coefficients, without any assumption as to the non-degeneracy of the diffusion coefficient in the forward equation.

The main idea behind this work is the approximating lemma for increasing coefficients and the comparison theorem. Our approach is inspired by recent work of Boufoussi and Ouknine, 2003, On a SDE driven by a fractional brownian motion and with monotone drift, Electronic Communications in Probability, 8, 122–134; combined with that of Antonelli and Hamadène, 2006, Existence of the solutions of backward–forward SDE's with continuous monotone coefficients, Statistics and Probability Letters, 76, 1559–1569. Pursuing this idea, we adopt a one-dimensional framework for the forward and backward equations and we assume a monotonicity property both for the drift and for the generator coefficient.

At the end of the paper we give some extensions of our result.     

Orlicz regularity for higher order parabolic equations in divergence form with coefficients in weak BMO

We consider higher order parabolic equations in divergence form with measurable coefficients to find optimal regularity in Orlicz spaces of the maximum order derivatives of the weak solutions. The relevant minimal regularity requirement on the tensor matrix coefficients is of small BMO in the spatial variable and is measurable in the time variable. As a consequence we prove the classical W ^m,p regularity, m = 1, 2, . . . , 1 < p < ∞, for such higher order equations. In the same spirit the results easily extend to higher order parabolic systems as well as up to the boundary.     

Boundary Regularity for Viscosity Solutions of Fully Nonlinear Elliptic Equations

We provide regularity results at the boundary for continuous viscosity solutions to nonconvex fully nonlinear uniformly elliptic equations and inequalities in Euclidian domains. We show that (i) any solution of two sided inequalities with Pucci extremal operators is C ^{1, α} on the boundary; (ii) the solution of the Dirichlet problem for fully nonlinear uniformly elliptic equations is C ^{2, α} on the boundary; (iii) corresponding asymptotic expansions hold. This is an extension to viscosity solutions of the classical Krylov estimates for smooth solutions.     

Stochastic Inequalities for Single-Server Loss Queueing Systems

Abstract

The present article provides some new stochastic inequalities for the characteristics of the M/GI/1/n and GI/M/1/n loss queueing systems. These stochastic inequalities are based on substantially deepen up- and down-crossings analysis, and they are stronger than the known stochastic inequalities obtained earlier. Specifically, for a class of GI/M/1/n queueing system, two-side stochastic inequalities are obtained.     

Optimal <Emphasis Type="Italic">W</Emphasis><Superscript>1,<Emphasis Type="Italic">p</Emphasis></Superscript> regularity theory for parabolic equations in divergence form

This work treats L^p regularity theory for weak solutions of parabolic equations in divergence form with discontinuous coefficients on nonsmooth domains. We essentially obtain an optimal condition on the coefficients under which the global W^1,p regularity theory holds. This work was supported by SNU foundation in 2005.     

Maximum Principles for Boundary-Degenerate Second Order Linear Elliptic Differential Operators

We prove weak and strong maximum principles, including a Hopf lemma, for C ² subsolutions to equations defined by linear, second-order, linear, elliptic partial differential operators whose principal symbols vanish along a portion of the domain boundary. The boundary regularity property of the C ² subsolutions along this boundary vanishing locus ensures that these maximum principles hold irrespective of the sign of the Fichera function. Boundary conditions need only be prescribed on the complement in the domain boundary of the principal symbol's vanishing locus. We obtain uniqueness and a priori maximum principle estimates for C ² solutions to boundary value and obstacle problems defined by these boundary-degenerate elliptic operators with partial Dirichlet or Neumann boundary conditions. We also prove weak maximum principles and uniqueness for W ^{1, 2} solutions to the corresponding variational equations and inequalities defined with the aide of weighted Sobolev spaces. The domain is allowed to be unbounded when the operator coefficients and solutions obey certain growth conditions.     

Some solutions (linear in the spatial variables) and generalized Chapman–Enskog functions basic to the linearized Boltzmann equations for a binary mixture of rigid spheres

A Legendre expansion of the (matrix) scattering kernel relevant to the (vector- valued) linearized Boltzmann equation for a binary mixture of rigid spheres is used to define twelve solutions that are linear in the spatial variables {x, y, z}. The twelve (asymptotic) solutions are expressed in terms of three vector-valued functions A ⁽¹⁾(c), A⁽²⁾(c), and B(c). These functions are generalizations of the Chapman–Enskog functions used to define asymptotic solutions and viscosity and heat conduction coefficients for the case of a single-species gas. To provide evidence that the three Chapman–Enskog vectors exist as solutions of the defining linear integral equations, numerical results developed in terms of expansions based on Hermite cubic splines and a collocation scheme are reported for two binary mixtures (Ne-Ar and He-Xe) with various molar concentrations.     

Some solutions (linear in the spatial variables) and generalized Chapman–Enskog functions basic to the linearized Boltzmann equations for a binary mixture of rigid spheres

A Legendre expansion of the (matrix) scattering kernel relevant to the (vector- valued) linearized Boltzmann equation for a binary mixture of rigid spheres is used to define twelve solutions that are linear in the spatial variables {x, y, z}. The twelve (asymptotic) solutions are expressed in terms of three vector-valued functions A ⁽¹⁾(c), A⁽²⁾(c), and B(c). These functions are generalizations of the Chapman–Enskog functions used to define asymptotic solutions and viscosity and heat conduction coefficients for the case of a single-species gas. To provide evidence that the three Chapman–Enskog vectors exist as solutions of the defining linear integral equations, numerical results developed in terms of expansions based on Hermite cubic splines and a collocation scheme are reported for two binary mixtures (Ne-Ar and He-Xe) with various molar concentrations.     

Planforms in three dimensions

The spatially periodic, steady-state solutions to systems of partial differential equations (PDE) are calledplanforms. There already exists a partial classification of the planforms for Euclidean equivariant systems of PDE inR ² (see [6, 7]), In this article we attempt to give such a classification for Euclidean equivariant systems of PDE inR ³. Based on the symmetry and spatial periodicity of each planform, 59 different planforms are found.We attempt to find the planforms on all lattices inR ³ that are forced to exist near a steady-state bifurcation from a trivial solution. The proof of our classification uses Liapunov-Schmidt reduction with symmetry (which can be used if we assume spatial periodicity of the solutions) and the Equivariant Branching Lemma. The analytical problem of finding planforms for systems of PDE is reduced to the algebraic problem of computing isotropy subgroups with one dimensional fixed point subspaces.The Navier-Stokes equations and reaction-diffusion equations (with constant diffusion coefficients) are examples of systems of PDE that satisfy the conditions of our classifications. In this article, we show that our classification applies to the Kuramoto-Sivashinsky equation.     

Existence, positivity and contractivity for quantum stochastic flows with infinite dimensional noise

Quantum stochastic differential equations of the form

Optimal regularity for the Signorini problem

We prove under general assumptions that solutions of the thin obstacle or Signorini problem in any space dimension achieve the optimal regularity C ^1,1/2. This improves the known optimal regularity results by allowing the thin obstacle to be defined in an arbitrary C ^1,β hypersurface, β > 1/2, additionally, our proof covers any linear elliptic operator in divergence form with smooth coefficients. The main ingredients of the proof are a version of Almgren’s monotonicity formula and the optimal regularity of global solutions.     

An analytic approximation of solutions of stochastic differential delay equations with Markovian switching

In this paper, we are concerned with the stochastic differential delay equations with Markovian switching (SDDEwMSs). As stochastic differential equations with Markovian switching (SDEwMSs), most SDDEwMSs cannot be solved explicitly. Therefore, numerical solutions, such as EM method, stochastic Theta method, Split-Step Backward Euler method and Caratheodory’s approximations, have become an important issue in the study of SDDEwMSs. The key contribution of this paper is to investigate the strong convergence between the true solutions and the numerical solutions to SDDEwMSs in the sense of the L^p-norm when the drift and diffusion coefficients are Taylor approximations.     

Path regularity for solutions of backward stochastic differential equations

 In this paper we study the path regularity of the adpated solutions to a class of backward stochastic differential equations (BSDE, for short) whose terminal values are allowed to be functionals of a forward diffusion. Using the new representation formula for the adapted solutions established in our previous work [7], we are able to show, under the mimimum Lipschitz conditions on the coefficients, that for a fairly large class of BSDEs whose terminal values are functionals that are either Lipschitz under the L ^∞ -norm or under the L ¹ -norm, then there exists a version of the adapted solution pair that has at least càdlàg paths. In particular, in the latter case the version can be chosen so that the paths are in fact continuous. Received: 26 May 2000 / Revised version: 1 December 2000 / Published online: 19 December 2001     

Semi‐linear wave models with power non‐linearity and scale‐invariant time‐dependent mass and dissipation,II

This paper is a continuation of our recent paper 8 . We will consider the semi‐linear Cauchy problem for wave models with scale‐invariant time‐dependent mass and dissipation and power non‐linearity. The goal is to study the interplay between the coefficients of the mass and the dissipation term to prove global existence (in time) of small data energy solutions assuming suitable regularity on the L² scale with additional L¹ regularity for the data. In order to deal with this L² regularity in the non‐linear part, we will develop and employ some tools from Harmonic Analysis.     

On logarithmic Sobolev inequalities for continuous time random walks on graphs

We establish modified logarithmic Sobolev inequalities for the path distributions of some continuous time random walks on graphs, including the simple examples of the discrete cube and the lattice ZZ ^d . Our approach is based on the Malliavin calculus on Poisson spaces developed by J. Picard and stochastic calculus. The inequalities we prove are well adapted to describe the tail behaviour of various functionals such as the graph distance in this setting. Received: 6 April 1998 / Revised version: 15 March 1999 / Published on line: 14 February 2000     

Regularity of the sample paths of a class of second-order spde's

We study the sample path regularity of the solutions of a class of spde's which are second order in time and that includes the stochastic wave equation. Non-integer powers of the spatial Laplacian are allowed. The driving noise is white in time and spatially homogeneous. Continuing with the work initiated in Dalang and Mueller (Electron. J. Probab. 8 (2003) 1), we prove that the solutions belong to a fractional L²-Sobolev space. We also prove Hölder continuity in time and therefore, we obtain joint Hölder continuity in the time and space variables. Our conclusions rely on a precise analysis of the properties of the stochastic integral used in the rigourous formulation of the spde, as introduced by Dalang and Mueller. For spatial covariances given by Riesz kernels, we show that our results are optimal.     

The <Emphasis Type="Italic">C</Emphasis><Superscript>α</Superscript> regularity of a class of non-homogeneous ultraparabolic equations

We obtain the C ^α regularity for weak solutions of a class of non-homogeneous ultraparabolic equation, with measurable coefficients. The result generalizes our recent C ^α regularity results of homogeneous ultraparabolic equations. This work was supported by National Natural Science Foundation of China (Grant No. 10325104)     

DISCRETE-TIME MARTINGALES WITH SPATIAL PARAMETERS

Our analysis of a certain stochastic difference equation driven by a martingale k?M(x,k) that depends on a spatial parameter x∈R ^d requires some regularity properties of the underlying martingale be satisfied. Because of their independent interest, we present these regularity properties in this article. We study first the continuity and Lipschitz continuity properties under corresponding conditions on the quadratic covariation of the martingale. We follow this with differentiability and integrability properties. Our analysis of the stochastic difference equation requires a discrete-time version of Itô's formula. The discrete-time Itô formula we have derived involves a martingale transform term. The purpose of the final section is to introduce linear and nonlinear martingale transforms and analyze their properties.     

A PDE approach to regularity of solutions to finite horizon optimal switching problems

We study optimal 2-switching and n-switching problems and the corresponding system of variational inequalities. We obtain results on the existence of viscosity solutions for the 2-switching problem for various setups when the cost of switching is non-deterministic. For the n-switching problem we obtain regularity results for the solutions of the variational inequalities. The solutions are C^1,1-regular away for the free boundaries of the action sets.     

Existence and uniqueness of path wise solutions for stochastic integral equations driven by Lévy noise on separable Banach spaces

The stochastic integrals of M- type 2 Banach valued random functions w.r.t. compensated Poisson random measures introduced in (Rüdiger, B., 2004, In: Stoch. Stoch. Rep., 76, 213–242.) are discussed for general random functions. These are used to solve stochastic integral equations driven by non Gaussian Lévy noise on such spaces. Existence and uniqueness of the path wise solutions are proven under local Lipshitz conditions for the drift and noise coefficients on M-type 2 as well as general separable Banach spaces. The continuous dependence of the solution on the initial data as well as on the drift and noise coefficients are shown. The Markov properties for the solutions are analyzed.