Homogenization problem for stochastic partial differential equations of Zakai type

We discuss homogenization for stochastic partial differential equations (SPDEs) of Zakai type with periodic coefficients appearing typically in nonlinear filtering problems. We prove such homogenization by two different approaches. One is rather analytic and the other is comparatively probabilistic.     

Quasilinear parabolic stochastic partial differential equations: Existence,uniqueness

We present a direct approach to existence and uniqueness of strong (in the probabilistic sense) and weak (in the PDE sense) solutions to quasilinear stochastic partial differential equations, which are neither monotone nor locally monotone. The proof of uniqueness is very elementary, based on a new method of applying Itô’s formula for the $L^1$-norm. The proof of existence relies on a recent regularity result and is direct in the sense that it does not rely on the stochastic compactness method.     

Borel summability of divergent solutions for singular first-order partial differential equations with variable coefficients. Part I

This article part I and the forthcoming part II are concerned with the study of the Borel summability of divergent power series solutions for singular first-order linear partial differential equations of nilpotent type. Under one restriction on equations, we can divide them into two classes. In this part I, we deal with the one class and obtain the conditions under which divergent solutions are Borel summable. (The other class will be studied in part II.) In order to assure the Borel summability of divergent solutions, global analytic continuation properties for coefficients are required despite of the fact that the domain of the Borel sum is local.     

Borel summability of divergent solutions for singular first-order partial differential equations with variable coefficients. Part II

Under a certain restriction, singular first-order linear partial differential equations of nilpotent type with two variables are divided into two classes. In the previous paper Part I, we dealt with the one class, and comprehended that there was a close affinity between the Borel summability of divergent solutions and global analytic continuation properties for coefficients. In this Part II, we give a similar consideration on the other class. More precise global estimates than those given in Part I for coefficients will be required to prove the Borel summability of divergent solutions.     

Systems of stochastic partial differential equations with reflection: Existence and uniqueness

In this paper, we establish the existence and uniqueness of solutions of systems of stochastic partial differential equations (SPDEs) with reflection in a convex domain. The lack of comparison theorems for systems of SPDEs makes things delicate.     

Rates of decay and growth of solutions to linear stochastic differential equations with state-independent perturbations

The paper studies the almost sure asymptotic convergence to zero of solutions of perturbed linear stochastic differential equations, where the unperturbed equation has an equilibrium at zero, and all solutions of the unperturbed equation tend to zero, almost surely. The perturbation is present in the drift term, and both drift and diffusion coefficients are state‐dependent. We determine necessary and sufficient conditions for the almost sure convergence of solutions to the equilibrium of the unperturbed equation. In particular, a critical polynomial rate of decay of the perturbation is identified, such that solutions of equations in which the perturbation tends to zero more quickly that this rate are almost surely asymptotically stable, while solutions of equations with perturbations decaying more slowly that this critical rate are not asymptotically stable. As a result, the integrability or convergence to zero of the perturbation is not by itself sufficient to guarantee the asymptotic stability of solutions when the stochastic equation with the perturbing term is asymptotically stable. Rates of decay when the perturbation is subexponential are also studied, as well as necessary and sufficient conditions for exponential stability.     

Almost sure explosion of solutions to stochastic differential equations

This paper is concerned with the problem of explosive solutions for a class of stochastic differential equations. Our main results are presented as two theorems. Theorem 1 is concerned with the existence of explosive solutions with positive probability under certain sufficient conditions. With some additional mild conditions, it is shown in Theorem 2 that the explosion will occur almost surely. The methods of auxiliary functions and cycles are used in the proofs. Several remarks about their applications are given.     

Effect of stochastic perturbations for front propagation in Kolmogorov Petrovskii Piscunov equations

This article considers equations of Kolmogorov Petrovskii Piscunov type in one space dimension, with stochastic perturbation:

where the stochastic differential is taken in the sense of Itô and $\zeta$ is a Gaussian random field satisfying $\mathbb{E}\left[\zeta \right]=0$ and $\mathbb{E}\left[\zeta (s,x)\zeta (t,y)\right]=(s\wedge t)\Gamma (x?y)$. Two situations are considered: firstly, $\zeta$ is simply a standard Wiener process (i.e. $\Gamma \equiv 1$): secondly, $\Gamma \in C^{\infty }\left(\mathbb{R}\right)$ with ${lim}_{\left|z\right|\to +\infty }\left|\Gamma \left(z\right)\right|=0$.The results are as follows: in the first situation (standard Wiener process: i.e. $\Gamma \left(x\right)\equiv 1$), there is a non-degenerate travelling wave front if and only if $\frac{{?}^2}{2}<1$, with asymptotic wave speed $max\left(\sqrt{2\kappa (1?\frac{{?}^2}{2})},\left(\frac{1}{N}(1?\frac{{?}^2}{2})+\frac{\kappa N}{2}\right){\mathbf{1}}_{\{N<\sqrt{\frac{2}{\kappa }(1?\frac{{?}^2}{2})}\}}\right)$; the noise slows the wave speed. If the stochastic integral is taken instead in the sense of Stratonovich, then the asymptotic wave speed is the classical McKean wave speed and does not depend on $?$.In the second situation (noise with spatial covariance which decays to 0 at $\pm \infty$, stochastic integral taken in the sense of Itô), a travelling front can be defined for all $?>0$. Its average asymptotic speed does not depend on $?$ and is the classical wave speed of the unperturbed KPP equation.     

Large deviations for stochastic partial differential equations driven by a Poisson random measure

Stochastic partial differential equations driven by Poisson random measures (PRMs) have been proposed as models for many different physical systems, where they are viewed as a refinement of a corresponding noiseless partial differential equation (PDE). A systematic framework for the study of probabilities of deviations of the stochastic PDE from the deterministic PDE is through the theory of large deviations. The goal of this work is to develop the large deviation theory for small Poisson noise perturbations of a general class of deterministic infinite dimensional models. Although the analogous questions for finite dimensional systems have been well studied, there are currently no general results in the infinite dimensional setting. This is in part due to the fact that in this setting solutions may have little spatial regularity, and thus classical approximation methods for large deviation analysis become intractable. The approach taken here, which is based on a variational representation for nonnegative functionals of general PRMs, reduces the proof of the large deviation principle to establishing basic qualitative properties for controlled analogues of the underlying stochastic system. As an illustration of the general theory, we consider a particular system that models the spread of a pollutant in a waterway.     

On solutions to backward stochastic partial differential equations for Lévy processes

In this paper, we prove the existence and uniqueness of the solution for a class of backward stochastic partial differential equations (BSPDEs, for short) driven by the Teugels martingales associated with a Lévy process satisfying some moment conditions and by an independent Brownian motion. An example is given to illustrate the theory.     

Markov solutions for the 3D stochastic Navier–Stokes equations with state dependent noise

We construct a Markov family of solutions for the 3D Navier-Stokes equations perturbed by a non degenerate noise. We improve the result of [3] in two directions. We see that in fact not only a transition semigroup but a Markov family of solutions can be constructed. Moreover, we consider a state dependant noise. Another feature of this work is that we greatly simplify the proofs of [3]. Dedicated to Giuseppe Da Prato on the occasion of his 70th birthday     

On the multisummability of divergent solutions of linear partial differential equations with constant coefficients

We consider the Cauchy problem for general linear partial differential equations in two complex variables with constant coefficients. We obtain necessary and sufficient conditions for the multisummability of formal solutions in terms of analytic continuation properties and growth estimates of the Cauchy data.     

Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift

In this paper, we are concerned with the numerical approximation of stochastic differential equations with discontinuous/nondifferentiable drifts. We show that under one-sided Lipschitz and general growth conditions on the drift and global Lipschitz condition on the diffusion, a variant of the implicit Euler method known as the split-step backward Euler (SSBE) method converges with strong order of one half to the true solution. Our analysis relies on the framework developed in [D. J. Higham, X. Mao and A. M. Stuart, Strong convergence of Euler-type methods for nonlinear stochastic differential equations, SIAM Journal on Numerical Analysis, 40 (2002) 1041-1063] and exploits the relationship which exists between explicit and implicit Euler methods to establish the convergence rate results.     

Solving quantum stochastic differential equations with unbounded coefficients

We demonstrate a method for obtaining strong solutions to the right Hudson-Parthasarathy quantum stochastic differential equation

     

Exponential stability of energy solutions to stochastic partial differential equations with variable delays and jumps

In this work, we investigate stochastic partial differential equations with variable delays and jumps. We derive by estimating the coefficients functions in the stochastic energy equality some sufficient conditions for exponential stability and almost sure exponential stability of energy solutions, and generalize the results obtained by Taniguchi [T. Taniguchi, The exponential stability for stochastic delay partial differential equations, J. Math. Anal. Appl. 331 (2007) 191-205] and Wan and Duan [L. Wan, J. Duan, Exponential stability of non-autonomous stochastic partial differential equations with finite memory, Statist. Probab. Lett. 78 (5) (2008) 490-498] to cover a class of more general stochastic partial differential equations with jumps. Finally, an illustrative example is established to demonstrate our established theory.     

Multisummability of formal solutions to the Cauchy problem for some linear partial differential equations

The paper considers the Cauchy problem for linear partial differential equations of non-Kowalevskian type in the complex domain. It is shown that if the Cauchy data are entire functions of a suitable order, the problem has a formal solution which is multisummable. The precise bound of the admissible order of entire functions is described in terms of the Newton polygon of the equation.     

Predictor-corrector pseudospectral methods for stochastic partial differential equations with additive white noise

Commonly used finite-difference numerical schemes show some deficiencies in the integration of certain types of stochastic partial differential equations with additive white noise. In this paper efficient predictor-corrector spectral schemes to integrate these equations are discussed. They are all based on the discretization of the system in Fourier space. The nonlinear terms are treated using a pseudospectral approach so as to speed up the computations without a significant loss of accuracy. The proposed schemes are applied to solve, both in one and two spatial dimensions, two paradigmatic continuum models arising in the context of nonequilibrium dynamics of growing interfaces: the Kardar-Parisi-Zhang and Lai-Das Sarma-Villain equations. Numerical results about the Lai-Das Sarma-Villain equation in two spatial dimensions have not been previously reported in the literature.