Singular Perturbation of Kolmogorov Equation in Gauss–Sobolev Space

Abstract

This article is concerned with the Kolmogorov equation associated to a stochastic partial differential equation with an additive noise depending on a small parameter ε > 0. As ε vanishes, the parabolic equation degenerates into a first-order evolution equation. In a Gauss–Sobolev space setting, we prove that, as ε ↓ 0, the solution of the Cauchy problem for the Kolmogorov equation converges in L ²(μ, H) to that of the reduced evolution equation of first-order, where μ is a reference Gaussian measure on the Hilbert space H.     

Stochastic reaction diffusion equations on an infinite interval with reflection

We consider a time evolution of random fields with non-negative values on the real line. Such evolution is described by an infinite dimensional stochastic differential equation of Skorokhod's type, which is a stochastic partial differential equation (SPDE) of parabolic type with reflection. We shall show the existence of the solution, and its uniqueness when the diffusion coefficient is constant.     

The density evolution of the killed McKean–Vlasov process

ABSTRACT

The density evolution of McKean–Vlasov stochastic differential equations in the presence of an absorbing boundary is analysed where the solution to such equations corresponds to the dynamics of partially killed large populations. By using a fixed point theorem, we show that the density evolution is characterized as the solution of an integro-differential Fokker–Planck equation with Cauchy–Dirichlet data. This problem arises naturally within mean field game theory.     

The hydrodynamic limit for a system with interactions prescribed by Ginzburg-Landau type random Hamiltonian

Summary As a microscopic model we consider a system of interacting continuum like spin field overR ^d . Its evolution law is determined by the Ginzburg-Landau type random Hamiltonian and the total spin of the system is preserved by this evolution. We show that the spin field converges, under the hydrodynamic space-time scalling, to a deterministic limit which is a solution of a certain nonlinear diffusion equation. This equation describes the time evolution of the macroscopic field. The hydrodynamic scaling has an effect of the homogenization on the system at the same time.     

Comparison Method of Stability Analysis of Semilinear Time-Delay Stochastic Evolution Equation

Abstract

In this paper, we set up the comparison theorem between the mild solution of semilinear time-delay stochastic evolution equation with general time-delay variable and the solution of a class (1-dimension) deterministic functional differential equation, by using the Razumikhin–Lyapunov type functional and the theory of functional differential inequalities. By applying this comparison theorem, we give various types of the stability comparison criteria for the semilinear time-delay stochastic evolution equations. With the aid of these comparison criteria, one can reduce the stability analysis of semilinear time-delay stochastic evolution equations in Hilbert space to that of a class (1-dimension) deterministic functional differential equations. Furthermore, these comparison criteria in special case have been applied to derive sufficient conditions for various stability of the mild solution of semilinear time-delay stochastic evolution equations. Finally, the theories are illustrated with some examples.     

Global existence of strong solutions to the one-dimensional full model for phase transitions in thermoviscoelastic materials

This paper is devoted to the analysis of a one-dimensional model for phase transition phenomena in thermoviscoelastic materials. The corresponding parabolic-hyperbolic PDE system features a strongly nonlinear internal energy balance equation, governing the evolution of the absolute temperature ϑ, an evolution equation for the phase change parameter χ, including constraints on the phase variable, and a hyperbolic stress-strain relation for the displacement variable u. The main novelty of the model is that the equations for χ and u are coupled in such a way as to take into account the fact that the properties of the viscous and of the elastic parts influence the phase transition phenomenon in different ways. However, this brings about an elliptic degeneracy in the equation for u which needs to be carefully handled. First, we prove a global well-posedness result for the related initial-boundary value problem. Secondly, we address the long-time behavior of the solutions in a simplified situation. We prove that the ω-limit set of the solution trajectories is nonempty, connected and compact in a suitable topology, and that its elements solve the steady state system associated with the evolution problem. Dedicated to Jürgen Sprekels on the occasion of his 60th birthday     

Stochastic Evolution Equations Driven by a Fractional White Noise

Abstract

In this paper we study stochastic evolution equations driven by a fractional white noise with arbitrary Hurst parameter in infinite dimension. We establish the existence and uniqueness of a mild solution for a nonlinear equation with multiplicative noise under Lipschitz condition by using a fixed point argument in an appropriate inductive limit space. In the linear case with additive noise, a strong solution is obtained. Those results are applied to stochastic parabolic partial differential equations perturbed by a fractional white noise.     

POSITIVITY METHODS FOR DICHOTOMY OF LINEAR SKEW-PRODUCT FLOWS ON HILBERT SPACES

Abstract

In [Na-Rh] we developed a method based on positivity in order to characterize the stability of the evolution family corresponding to the nonautonomous Cauchy problem in Hilbert spaces. This method is extended to the study of hyperbolicity of linear skew-products. We also show that exponential dichotomy of a linear skew-product flow is equivalent to the existence of a Hermitian valued solution of some linear Riccati equation.     

The existence of strong solution for a class of fully nonlinear equation

This article mainly investigates the existence of global strong solution of a class of fully nonlinear evolution equation and the strong solution of its steady-state equation. By using the T-compulsorily weakly continuous operator theory, the existence of the global strong solution of the fully nonlinear evolution equation is obtained. In addition, based on the acute angle principle, the W^2,p-strong solution for the corresponding stationary equation is also derived.     

The explicit solutions to the nonlinear Dirac equation and Dirac-Klein-Gordon equation

Abstract In [3] Dias and Figueira have reported that the square of the solution for the nonlinear Dirac equation satisfies the linear wave equation in one space dimension. So the aim of this paper is to proceed with their work and to clarify a structure of the nonlinear Dirac equation. The explicit solutions to the nonlinear Dirac equation and Dirac-Klein-Gordon equation are obtained. Keywords: Nonlinear Dirac equation, Dirac-Klein-Gordon equation, Pauli matrix Mathematics Subject Classification (2000): 35C05, 35L45     

Existence of β-martingale solutions of stochastic evolution functional equations of parabolic type with measurable locally bounded coefficients

We prove a theorem on the existence of ??-martingale solutions of stochastic evolution functional equations of parabolic type with Borel measurable locally bounded coefficients. A ??-martingale solution of a stochastic evolution functional equation is understood as a martingale solution of a stochastic evolution functional inclusion constructed on the basis of the equation. We find sufficient conditions for the existence of ??-martingale solutions that do not blow up in finite time.     

Existence and Nonexistence of Traveling Wave Solutions for a Bistable Reaction-Diffusion Equation in an Infinite Cylinder Whose Diameter is Suddenly Increased

ABSTRACT

We consider a reaction-diffusion equation of bistable type in a square cylinder whose diameter varies with Neumann boundary conditions in dimension 2 and 3. We prove the nonexistence of generalized traveling wave solution of this equation when the diameter is suddenly strongly increased. At the same time, we prove that the solution of the equation with an exponentially decreasing initial condition cannot pass over a certain threshold far enough in the direction of propagation.

The proof is divided in two steps. First, we extend the solution in the cylinder to a solution of the same equation in the half space. Then we overestimate it using Green's functions.     

Dynamic thermoviscoelastic thermistor problem with contact and nonmonotone friction

Abstract

The paper studies the evolution of the thermomechanical and electric state of a thermoviscoelastic thermistor that is in frictional contact with a reactive foundation. The mechanical process is dynamic, while the electric process is quasistatic. Friction is modeled with a nonmonotone relation between the tangential traction and tangential velocity. Frictional heat generation is taken into account and so is the strong dependence of the electric conductivity on the temperature. The mathematical model for the process is in the form of a system that consists of dynamic hyperbolic subdifferential inclusion for the mechanical state coupled with a nonlinear parabolic equation for the temperature and an elliptic equation for the electric potential. The paper establishes the existence of a weak solution to the problem by using time delays, a priori estimates and a convergence method.     

Second Order Nonlinear Evolution Inclusions Ⅱ： Structure of the Solution Set

We contimle the work initiated in [1] （Second order nonlinear evolution inclusions I： Existence and relaxation results. Acta Mathematics Science, English Series, 21（5）, 977-996 （2005）） and study the structural properties of the solution set of second order evolution inclusions which are defined in the analytic framework of the evolution triple. For the convex problem we show that the solution set is compact Rs, while for the nonconvex problem we show that it is path connected, Also we show that the solution set is closed only if the multivalued nonlinearity is convex valued. Finally we illustrate the results by considering a nonlinear hyperbolic problem with discontinuities.     

An evolution equation in phase space and the Weyl correspondence

The Weyl correspondence that associates a quantum-mechanical operator to a Hamiltonian function on phase space is defined for all tempered distributions on R². The resulting Weyl operators are shown to include most Schroedinger operators for a system with one degree of freedom. For each tempered distribution, an evolution equation in phase space is defined that is formally equivalent to the dynamics of the Heisenberg picture. The evolution equation is studied both through a separation of variables technique that expresses the evolution operator as the difference of two Weyl operators and through the geometric properties of the distribution. For real tempered distributions with compact support the evolution equation has a unique solution if and only if the Weyl equation does. The evolution operator has skew-adjoint extensions that solve the evolution equation if the distribution satisfies an orthogonal symmetry condition.     

A discrete and q asymptotic iteration method

ABSTRACT

We introduce a finite difference and q-difference analogues of the Asymptotic Iteration Method of Ciftci, Hall, and Saad. We give necessary, and sufficient condition for the existence of a polynomial solution to a general linear second-order difference or q-difference equation subject to a ‘terminating condition’, which is precisely defined. When a difference or q-difference equation has a polynomial solution, we show how to find the second solution.     

Fast Reaction Limit of the Discrete Diffusive Coagulation–Fragmentation Equation

Abstract

The local mass of weak solutions to the discrete diffusive coagulation–fragmentation equation is proved to converge, in the fast reaction limit, to the solution of a nonlinear diffusion equation, the coagulation and fragmentation rates enjoying a detailed balance condition.     

Generalizations of Rodrigues type formulas for hypergeometric difference equations on nonuniform lattices

ABSTRACT

By building a second-order adjoint difference equations on nonuniform lattices, the generalized Rodrigues type representation for the second kind solution of a second-order difference equation of hypergeometric type on nonuniform lattices is given. The general solution of the equation in the form of a combination of a standard Rodrigues formula and a ‘generalized’ Rodrigues formula is also established.     

Exercisability Randomization of the American Option

Abstract

The valuation of American options is an optimal stopping time problem which typically leads to a free boundary problem. We introduce here the randomization of the exercisability of the option. This method considerably simplifies the problematic by transforming the free boundary problem into an evolution equation. This evolution equation can be transformed in a way that decomposes the value of the randomized option into a European option and the present value of continuously paid benefits. This yields a new binomial approximation for American options. We prove that the method is accurate and numerical results illustrate that it is computationally efficient.     

THE STABILITY OF A VARIATIONAL METHOD FOR THE SOLUTION OF A LINEAR HYPERBOLIC INITIAL BOUNDARY VALUE PROBLEM

Abstract

The numerical stability of a variational method that is used to obtain the solution of a one space dimension wave equation with initial and boundary conditions is analyzed. The phase speed and group velocity of the numerical solution are also investigated with respect to that of the exact solution.