分段连续型随机微分方程指数Euler方法的稳定性

给出了线性分段连续型随机微分方程指数Euler方法的均方指数稳定性.经典的对稳定性理论分析,通常应用的是Lyapunov泛函理论,然而,应用该方程本身的特点和矩阵范数的定义给出了该方程精确解的均方稳定性.以往对于该方程应用隐式Euler方法得到对于任意步长数值解的均方稳定性,而应用显式Euler方法得到了相同的结果.最...     

Stochastic stabilization of first-passage failure of Rayleigh oscillator under Gaussian White-Noise parametric excitations

Stochastic stabilization of first-passage failure of Rayleigh oscillator under Gaussian White-Noise parametric excitation is studied. The equation of motion of the system is first reduced to an averaged Itô stochastic differential equation by using the stochastic averaging method. Then, a backward Kolmogorov equation governing the conditional reliability function of first-passage failure is established. The conditional reliability function, and the conditional probability density are obtained by solving the backward Kolmogorov equation with boundary conditions. Finally, the cost function and optimal control forces are determined by the requirements of stabilizing the system by evaluating the maximal Lyapunov exponent. The numerical results show that the procedure is effective and efficiency.     

Stability analysis of nonlinear ship-roll dynamics under wind and wave

Considering the nonlinear damping and restoring moments, a nonlinear ship rolling dynamical system is established in this paper. When only subjected to periodic wave excitation, the system is symmetric, whereas when subjected to joint action of periodic wave excitation and crosswind, the system degenerates into asymmetric. The simple zero points of Melnikov function in both two kinds of dynamical systems are computed by virtue of Gauss–Legendre integration. As a numerical verification of the threshold value, Lyapunov exponents are computed. In the end of the paper, the motion stability and the effect of crosswind on stability are analyzed by means of safe basin simulation and observation of its gradual erosion phenomenon. The study shows that crosswind results in symmetry breaking and further reduces the stability of the rolling system.     

非线性梁结构的参数振动稳定性及其主动控制

采用压电材料研究了参数激励非线性梁结构的运动稳定性及其主动控制,通过速度反馈控制算法获得主动阻尼,利用Hamilton原理建立含阻尼的立方非线性运动方程,采用多尺度方法求解运动方程获得稳定性区域．通过数值算例,分析了控制增益、外激振力幅值等因素对稳定性区域和幅频曲线特性的影响．分析表明:控制增益增大,结构所能承受的轴向力也增大,在一定范围内结构的主动阻尼比也增加;随着控制增益的增大,响应幅值逐渐降低,但所需的控制电压存在峰值点．     

The sea-wave elevation and multistability in a non-autonomous nonlinear Itô’s stochastic differential equation for the rolling angle of a ship

Prediction of the rolling behavior of ships in irregular sea remains one of the most difficult problems in ship engineering. The present work facilitates solution of this problem by derivation of a model which is meaningful from the subject-specific point of view and can efficiently be analyzed with the path-integration method. The model is a single Itô’s stochastic differential equation for the rolling angle of a ship located at a fixed spatial point. The equation appears to be of the third order and nonlinear. It takes into account the elevation of stochastic traveling sea waves. The stochasticity of the elevation is allowed for by stationary stochastic velocity of the waves. The works also notes the picture for the multistability of the derived model. Improvement of capabilities of the methods for multistable nonlinear systems is included in directions for future research.     

On the global asymptotic stability and oscillation of solutions in a stochastic business cycle model

We discuss a second order nonlinear stochastic difference equation which is constructed of a business cycle model with organized labor considered. A global asymptotic mean square stability criterion is obtained by Lyapunov function method. We also prove a theorem on the almost sure oscillation of the solutions for the difference equation with state-independent stochastic perturbations.     

Pathwise Stability of Degenerate Stochastic Evolutions

For linear stochastic evolution equations with linear multiplicative noise, a new method is presented for estimating the pathwise Lyapunov exponent. The method consists of finding a suitable (quadratic) Lyapunov function by means of solving an operator inequality. One of the appealing features of this approach is the possibility to show stabilizing effects of degenerate noise. The results are illustrated by applying them to the examples of a stochastic partial differential equation and a stochastic differential equation with delay. In the case of a stochastic delay differential equation our results improve upon earlier results.     

一类带乘性噪声随机分数阶微分方程Euler方法的弱收敛性与弱稳定性

本文主要在带加性噪声随机分数阶微分方程的基础上,研究了一类更为困难的带乘性噪声随机分数阶微分方程Euler方法的弱收敛性与弱稳定性,并得到了类似的结论.首先构造了数值求解带乘性噪声随机分数阶微分方程的Euler方法,然后证明当分数阶α满足0α1/2时,该方法是1/2-α阶弱收敛的和弱稳定的,文末数值试验的结果验证了理论结果的正确性.     

两股票情形下欧式期权定价新方法

假定股票价格服从布朗运动驱动的随机微分方程,从随机动力学的角度出发考虑欧式期权定价问题.由Fokker-Planck-Kolmogrov得到了股票价格过程的概率转移密度函数,基于此,可以求得两股票情形下各种欧式类型未定权益的定价公式.为欧式期权定价提供了一个新方法.     

Principal resonance responses of SDOF systems with small fractional derivative damping under narrow-band random parametric excitation

The principal resonance responses of nonlinear single-degree-of-freedom (SDOF) systems with lightly fractional derivative damping of order α (0 < α < 1) subject to the narrow-band random parametric excitation are investigated. The method of multiple scales is developed to derive two first order stochastic differential equation of amplitude and phase, and then to examine the influences of fractional order and intensity of random excitation on the first-order and second-order moment. As an example, the stochastic Duffing oscillator with fractional derivative damping is considered. The effects of detuning frequency parameter, the intensity of random excitation and the fractional order derivative damping on stability are studied through the largest Lyapunov exponent. The corresponding theoretical results are well verified through direct numerical simulations. In addition, the phenomenon of stochastic jump is analyzed for parametric principal resonance responses via finite differential method. The stochastic jump phenomena indicates that the most probable motion is around the larger non-trivial branch of the amplitude response when the intensity of excitation is very small, and the probable motion of amplitude responses will move from the larger non-trivial branch to trivial branch with the increasing of the intensity of excitation. Such stochastic jump can be considered as bifurcation.     

The conditions for the symmetric instability of the vortex motions of an ideal stratified liquid

The problem of the symmetric instability of the steady-state motions of an incompressible ideal liquid which is stratified with respect to its density is investigated in the case of two types of motion, axially symmetric and with translational symmetry. It is shown that the sufficient condition for stability obtained in [1] using a variational method (the direct Lyapunov method) for the motions under consideration is closely related to the extremal nature of their energy; stable motions are characterized by a conditional minimum of the energy. A minimum of the energy holds in the class of states for which a potential vortex, expressed in terms of the Lagrangian invariants, angular momentum and density, is represented by the same function of these invariants. Conditions for instability are formulated and estimates of the increase in the kinetic energy of perturbations are given.     

The th moment stability for the stochastic pantograph equation

In this paper, we investigate the αth moment asymptotical stability of the analytic solution and the numerical methods for the stochastic pantograph equation by using the Razumikhin technique. Especially the linear stochastic pantograph equations and the semi-implicit Euler method applying them are considered. The convergence result of the semi-implicit Euler method is obtained. The stability conditions of the analytic solution of those equations and the numerical method are given. Finally, some experiments are given.     

Hilbert-Space-Valued Super-Brownian Motion and Related Evolution Equations

A stochastic partial differential equation in which the square root of the solution appears as the diffusion coefficient is studied as a particular case of stochastic evolution equations. Weak existence of a solution is proved by the Euler approximation scheme. The super-Brownian motion on [0, 1] is also studied as a Hilbert-space-valued equation. In this set up, weak existence, pathwise uniqueness, and positivity of solutions are obtained in any dimension d . Accepted 23 October 1998     

A Smoothing Method of Global Optimization that Preserves Global Minima

A new smoothing method of global optimization is proposed in the present paper, which prevents shifting of global minima. In this method, smoothed functions are solutions of a heat diffusion equation with external heat source. The source helps to control the diffusion such that a global minimum of the smoothed function is again a global minimum of the cost function. This property, and the existence and uniqueness of the solution are proved using results in theory of viscosity solutions. Moreover, we devise an iterative equation by which smoothed functions can be obtained analytically for a class of cost functions. The effectiveness and potential of our method are then demonstrated with some experimental results.     

The stability boundaries of the steady motion of a satellite with a gyroscope

Parts of the asymptotic stability boundaries of the uniform motion of the centre of mass of a system of bodies consisting of an asymmetrical satellite with a three-axis gyroscope in a circular orbit are investigated by the second Lyapunov method. Terms of the Lyapunov function that are higher than the second order are enlisted for the investigation. The sign-definiteness criterion of inhomogeneous forms is employed for the corresponding function. Parts of the stability boundaries in which the steady motion investigated is asymptotically stable are established using the Lyapunov asymptotic stability theorem. Application of the Barbashin and Krasovskii theorems reveals parts of the stability boundaries in which the steady motion is unstable. It is established that the asymptotic stability of the steady motion investigated is solved by expanding the Lyapunov function to sixth-order terms.     

An ornstein-uhlenbeck model for random oscillations

We consider the effect of a random "noise" on an n-dimensional simple harmonic oscillator with time-dependent damping. The noise in the system is modelled by incorporating a Brownian motion term in the equation for the velocity process of the simple harmonic oscillator, giving a stochastic differential equation similar to that of an Ornstein-Uhlenbeck proces. Necessary and sufficient conditions for the convergence of the solution of this SDE to an orbit of simple harmonic motion (satisfying the usual ODE) are then obtained     

Towards mesoscopic ergodic theory Dedicated with Admiration to the Memory of Professor Shantao Liao

The present paper is devoted to a preliminary study towards the establishment of an ergodic theory for stochastic differential equations(SDEs) with less regular coefficients and degenerate noises. These equations are often derived as mesoscopic limits of complex or huge microscopic systems. By studying the associated Fokker-Planck equation(FPE), we prove the convergence of the time average of globally defined weak solutions of such an SDE to the set of stationary measures of the FPE under Lyapunov conditions. In the case where the set of stationary measures consists of a single element, the unique stationary measure is shown to be physical.Similar convergence results for the solutions of the FPE are established as well. Some of our convergence results, while being special cases of those contained in Ji et al.(2019) for SDEs with periodic coefficients, have weaken the required Lyapunov conditions and are of much simplified proofs. Applications to stochastic damping Hamiltonian systems and stochastic slow-fast systems are given.     

Positive operator based iterative algorithms for solving Lyapunov equations for Itô stochastic systems with Markovian jumps

This paper studies the iterative solutions of Lyapunov matrix equations associated with Itô stochastic systems having Markovian jump parameters. For the discrete-time case, when the associated stochastic system is mean square stable, two iterative algorithms with one in direct form and the other one in implicit form are established. The convergence of the implicit iteration is proved by the properties of some positive operators associated with the stochastic system. For the continuous-time case, a transformation is first performed so that it is transformed into an equivalent discrete-time Lyapunov equation. Then the iterative solution can be obtained by applying the iterative algorithm developed for discrete-time Lyapunov equation. Similar to the discrete-time case, an implicit iteration is also proposed for the continuous case. For both discrete-time and continuous-time Lyapunov equations, the convergence rates of the established algorithms are analyzed and compared. Numerical examples are worked out to validate the effectiveness of the proposed algorithms.     

On stability of switched homogeneous nonlinear systems

In this paper, the problem of stability of switched homogeneous systems is addressed. First of all, if there is a quadratic Lyapunov function such that nonlinear homogeneous systems are asymptotically stable, a matrix Lyapunov-like equation is obtained for a stable nonlinear homogeneous system using semi-tensor product of matrices, and Lyapunov equation of linear system is just its particular case. Following the previous results, a sufficient condition is obtained for stability of switched nonlinear homogeneous systems, and a switching law is designed by partition of state space. In particular, a constructive approach is provided to avoid chattering phenomena which is caused by the switching rule. Then for planar switched homogeneous systems, an LMI approach to stability of planar switched homogeneous systems is presented. Similar to the condition for linear systems, the LMI-type condition is easily verifiable. An example is given to illustrate that candidate common Lyapunov function is a key point for design of switching law.     

布朗运动和泊松过程共同驱动下的欧式期权定价

针对布朗运动和泊松过程共同驱动下股票价格的随机微分方程,利用It0公式和随机积分的方法,得到了该形式下欧式期权定价的模型,并给出了模型的求解.