由分数布朗运动驱动的随机微分方程的比较定理及其应用

本文研究了由分数布朗运动驱动的不同扩散和漂移系数随机微分方程.利用随机微分方程广义样本解的方法,得到了两个比较定理.进一步,给出了他们的应用和一个最优逼近策略.     

Gradient type noises II - Systems of stochastic partial differential equations

The present paper is the second and main part of a study of partial differential equations under the influence of noisy perturbations. Existence and uniqueness of function solutions in the mild sense are obtained for a class of deterministic linear and semilinear parabolic boundary initial value problems. If the noise data are random, the results may be seen as a pathwise approach to SPDE's. For typical examples, such as spatially one-dimensional stochastic heat equations with additive or multiplicative perturbations of fractional Brownian type, we recover and extend known results. In addition, we propose to consider partial noises of low order.     

Existence and stability results for semilinear systems of impulsive stochastic differential equations with fractional Brownian motion

Some results on the existence and uniqueness of mild solution for a system of semilinear impulsive differential equations with infinite fractional Brownian motions are proved. The approach is based on Perov's fixed point theorem and a new version of Schaefer's fixed point theorem in generalized Banach spaces. The relationship between mild and weak solutions and the exponential stability of mild solutions are investigated as well. The abstract theory is illustrated with an example.     

On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps

Abstract

In this paper, we use a purely probabilistic approach to study forward‐backward differential equations with Poisson jumps with stopping time as termination. Under some weak monotonicity conditions and Lipschitz conditions, the existence and uniqueness results of solutions are obtained, it may be served as the generalized results contrast to FBDE with Brownian motion. We also derive the convergence theorem of the solutions.     

Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion,discontinuous coefficients,and a partly degenerate diffusion operator

We obtain estimates for functionals of solutions of stochastic differential equations with standard and fractional Brownian motion. We prove a theorem on the existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator.     

Nonlinear Dynamics Equation in p-Adic String Theory

We investigate nonlinear pseudodifferential equations with infinitely many derivatives. These are equations of a new class, and they originally appeared in p-adic string theory. Their investigation is of interest in mathematical physics and its applications, in particular, in string theory and cosmology. We undertake a systematic mathematical investigation of the properties of these equations and prove the main uniqueness theorem for the solution in an algebra of generalized functions. We discuss boundary problems for bounded solutions and prove the existence theorem for spatially homogeneous solutions for odd p. For even p, we prove the absence of a continuous nonnegative solution interpolating between two vacuums and indicate the possible existence of discontinuous solutions. We also consider the multidimensional equation and discuss soliton and q-brane solutions.     

Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian Motions

The local existence and uniqueness of the solutions to backward stochastic differential equations(BSDEs, in short) driven by both fractional Brownian motions with Hurst parameter H ∈(1/2, 1) and the underlying standard Brownian motions are studied. The generalization of the It formula involving the fractional and standard Brownian motions is provided. By theory of Malliavin calculus and contraction mapping principle, the local existence and uniqueness of the solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions are obtained.     

Macroscopic limits for stochastic partial differential equations of McKean–Vlasov type

A class of quasilinear stochastic partial differential equations (SPDEs), driven by spatially correlated Brownian noise, is shown to become macroscopic (i.e., deterministic), as the length of the correlations tends to 0. The limit is the solution of a quasilinear partial differential equation. The quasilinear SPDEs are obtained as a continuum limit from the empirical distribution of a large number of stochastic ordinary differential equations (SODEs), coupled though a mean-field interaction and driven by correlated Brownian noise. The limit theorems are obtained by application of a general result on the convergence of exchangeable systems of processes. We also compare our approach to SODEs with the one introduced by Kunita.     

Stability of Generalized Transition Fronts

We study the qualitative properties of the generalized transition fronts for the reaction–diffusion equations with the spatially inhomogeneous nonlinearity of the ignition type. We show that transition fronts are unique up to translation in time and are globally exponentially stable for the solutions of the Cauchy problem. The results hold for reaction rates that have arbitrary spatial variations provided that the rate is uniformly positive and bounded from above.     

Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps

This work deals with backward stochastic differential equations (BSDEs for short) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with respect to the progressive enlargement of filtrations. We prove that the equations have solutions if the associated Brownian BSDEs have solutions. We also provide a uniqueness theorem for BSDEs with jumps by giving a comparison theorem based on the comparison for Brownian BSDEs. We give in particular some results for quadratic BSDEs. As applications, we study the pricing and the hedging of a European option in a market with a single jump, and the utility maximization problem in an incomplete market with a finite number of jumps.     

Generalized fronts in reaction-diffusion equations with bistable nonlinearity

In this paper, we first study the existence of transition fronts (generalized traveling fronts) for reaction-diffusion equations with the spatially heterogeneous bistable nonlinearity. By constructing sub-solution and super-solution we then show that transition fronts are globally exponentially stable for the solutions of the Cauchy problem. Furthermore, we prove that transition fronts are unique up to translation in time by using the monotonicity in time and the exponential decay of such transition fronts.     

BSDEs with random default time and related zero-sum stochastic differential games

In this Note we are concerned with backward stochastic differential equations with random default time. The equations are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. We show that these equations have unique solutions and a comparison theorem for their solutions. As an application, we get a saddle-point strategy for the related zero-sum stochastic differential game problem.     

Periodic problem for an evolution equation with a quadratic and a cubic nonlinearity

We study conditions for the existence of a solution of a periodic problem for a model nonlinear equation in the spatially multidimensional case and consider various types of large time asymptotics (exponential and oscillating) for such solutions. The generalized Kolmogorov-Petrovskii-Piskunov equation, the nonlinear Schrödinger equation, and some other partial differential equations are special cases of this equation. We analyze the solution smoothing phenomenon under certain conditions on the linear part of the equation and study the case of nonsmall initial data for a nonlinearity of special form. The leading asymptotic term is presented, and the remainder in the asymptotics of the solution is estimated in a spatially uniform metric.     

Solutions to BSDEs driven by both standard and fractional Brownian motions

The backward stochastic differential equations driven by both standard and fractional Brownian motions (or, in short, SFBSDE) are studied. A Wick-Itô stochastic integral for a fractional Brownian motion is adopted. The fractional Itô formula for the standard and fractional Brownian motions is provided. Introducing the concept of the quasi-conditional expectation, we study some its properties. Using the quasi-conditional expectation, we also discuss the existence and uniqueness of solutions to general SFBSDEs, where a fixed point principle is employed. Moreover, solutions to linear SFBSDEs are investigated. Finally, an explicit solution to a class of linear SFBSDEs is found.     

A Wiener Chaos Approach to Hyperbolic SPDEs

We construct generalized weighted Wiener chaos solutions for hyperbolic linear SPDEs driven by a cylindrical Brownian motion. Explicit conditions for the existence, uniqueness, and regularity of generalized (Wiener Chaos) solutions are established in Sobolev spaces. An equivalence relation between the Wiener Chaos solution and the traditional one is established. The Heath–Jarrow–Morton (HJM) forward rate model is used as an example to illustrate the general construction.     

Regular and Irregular Solutions in the Problem of Dislocations in Solids

For an initial differential equation with deviations of the spatial variable, we consider asymptotic solutions with respect to the residual. All solutions are naturally divided into classes depending regularly and irregularly on the problem parameters. In different regions in a small neighborhood of the zero equilibrium state of the phase space, we construct special nonlinear distribution equations and systems of equations depending on continuous families of certain parameters. In particular, we show that solutions of the initial spatially one-dimensional equation can be described using solutions of special equations and systems of Schr¨odinger-type equations in a spatially two-dimensional argument range.     

Conditioned stochastic differential equations: theory, examples and application to finance

We generalize the notion of Brownian bridge. More precisely, we study a standard Brownian motion for which a certain functional is conditioned to follow a given law. Such processes appear as weak solutions of stochastic differential equations that we call conditioned stochastic differential equations. The link with the theory of initial enlargement of filtration is made and after a general presentation several examples are studied: the conditioning of a standard Brownian motion (and more generally of a Markov diffusion) by its value at a given date, the conditioning of a geometric Brownian motion with negative drift by its quadratic variation and finally the conditioning of a standard Brownian motion by its first hitting time of a given level. As an application, we introduce the notion of weak information on a complete market, and we give a “quantitative” value to this weak information.     

Efficient numerical schemes for the solution of generalized time fractional Burgers type equations

The main aim of this paper is to propose two semi-implicit Fourier pseudospectral schemes for the solution of generalized time fractional Burgers type equations, with an analysis of consistency, stability, and convergence. Under some assumptions, the unconditional stability of the schemes is shown. In implementation of these schemes, the fast Fourier transform (FFT) can be used efficiently to improve the computational cost. Various test problems are included to illustrate the results that we have obtained regarding the proposed schemes. The results of numerical experiments are compared with analytical solutions and other existing methods in the literature to show the efficiency of proposed schemes in both accuracy and CPU time. As numerical solution of fractional stochastic nonlinear partial differential equations driven by Brownian motions are among current related research interests, we report the performance of these schemes on stochastic time fractional Burgers equation as well.     

Generalized fronts in reaction-diffusion equations with mono-stable nonlinearity

We consider transition fronts (generalized traveling fronts) of mono-stable reaction-diffusion equations with spatially inhomogeneous nonlinearity. By constructing a cutoff function and using an approximate method, we establish the existence of transition fronts of the equation. Furthermore, we give the uniform non-degeneracy estimates of the solutions, such as a lower bound on the time derivative on some level sets, as well as an upper bound on the spatial derivative.