Skorohod stochastic differential equations of diffusion type

Leta, b beC ²(R ¹)-functions with bounded derivatives of first and second order. We study stochastic differential equations

Skorohod problem and multivalued stochastic evolution equations in Banach spaces

By solving a deterministic Skorohod problem in the framework of evolutional triple, we prove the existence and uniqueness of solutions to multivalued stochastic evolution equations involving maximal monotone operators. The existence and uniqueness of invariant measures associated with the solutions as Markov processes are also considered in the present paper. Moreover, we apply the results to stochastic differential equations with normal reflecting boundary conditions and with singular drift terms, as well as a class of multivalued nonlinear stochastic partial differential equations with possibly discontinuous coefficients.     

Backward stochastic differential equations with two barriers and generalized reflection

We prove the existence and uniqueness of solutions of backward stochastic differential equations (BSDEs) with generalized reflection at time dependent càdlàg barriers. The reflection model we consider includes, as special cases, the standard reflection as well as the mirror reflection studied earlier in the theory of forward stochastic differential equations. We also show that the solution of BSDEs with generalized reflection corresponds to the value of an optimal stopping problem.     

The obstacle problem for quasilinear stochastic integral-partial differential equations

ABSTRACT

We prove the existence and uniqueness of solutions to a kind of quasilinear stochastic integral-partial differential equations with obstacles. Our method is based on the probabilistic interpretation of the solutions so that penalization method can be applied to a sequence of backward doubly stochastic differential equations with jumps. Relations between regular potentials and regular measures play an important role.     

Stochastic Green's formula and application to stochastic differential equations

Conditions are stated for the vanishing of the stochastic bilinear concomitant in the stochastic Green's formula used in Adomian's iterative solution for stochastic differential equations.     

Backward stochastic differential equations with reflection and weak assumptions on the coefficients

In this paper, we study reflected BSDE’s with one continuous barrier, under monotonicity and general increasing conditions in y$y$ and non-Lipschitz conditions in z$z$. We prove the existence and uniqueness of a solution by an approximation method.     

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.     

A reflection principle on strongly pseudoconvex domains with generic corners

Supported in part by the Research Council of Republic of Slovenia     

A stability theorem for stochastic differential equations and application to stochastic control problems

For a sequence of stochastic differential equations of the the type: a stabilty theorem is presented under appropritate convergence mode of [d] and m application to stochastic control problems is also briefly discussed.     

Robustness of multi-grid applied to anisotropic equations on convex domains and on domains with re-entrant corners

Summary We analyse multi-grid applied to anisotropic equations within the framework of smoothing and approximation-properties developed by Hack busch. For a model anisotropic equation on a square, we give an up-till-now missing proof of an estimate concerning the approximation property which is essential to show robustness. Furthermore, we show a corresponding estimate for a model anisotropic equation on an L-shaped domain. The existing estimates for the smoothing property are not suitable to prove robustness for either 2-cyclic Gauss-Seidel smoothers or for less regular problems such as our second model equation. For both cases, we give sharper estimates. By combination of our results concerning smoothing- and approximation-properties, robustness of W-cycle multi-grid applied to both our model equations will follow for a number of smoothers.     

Small deviations of solutions of stochastic differential equations in tube domains

We present an algorithm for the determination of a complete asymptotic decomposition of the sojourn probability of a one-dimensional diffusion process in a thin domain with curvilinear boundary.     

Non-autonomous stochastic evolution equations and applications to stochastic partial differential equations

In this paper we study the following non-autonomous stochastic evolution equation on a Banach space E: $({\rm SE})\quad \left\{\begin{array}{ll} {\rm d}U(t) = (A(t)U(t) +F(t,U(t)))\,{\rm d}t + B(t,U(t))\,{\rm d}W_H(t), \quad t\in [0,T], \\ U(0) = u_0.\end{array}\right.$ Here, ${(A(t))_{t\in [0,T]}}In this paper we study the following non-autonomous stochastic evolution equation on a Banach space E:

(SE)    {ll dU(t) = (A(t)U(t) +F(t,U(t))) dt + B(t,U(t)) dWH(t),     t ? [0,T], U(0) = u0.({\rm SE})\quad \left\{\begin{array}{ll} {\rm d}U(t) = (A(t)U(t) +F(t,U(t)))\,{\rm d}t + B(t,U(t))\,{\rm d}W_H(t), \quad t\in [0,T], \\ U(0) = u_0.\end{array}\right.      18. Solving the biharmonic Dirichlet problem on domains with corners          下载免费PDF全文 Colette De Coster  Serge Nicaise  Guido Sweers 《Mathematische Nachrichten》2015,288(8-9):854-871 The biharmonic Dirichlet boundary value problem on a bounded domain is the focus of the present paper. By Riesz' representation theorem the existence and uniqueness of a weak solution is quite direct. The problem that we are interested in appears when one is looking for constructive approximations of a solution. Numerical methods using for example finite elements, prefer systems of second equations to fourth order problems. Ciarlet and Raviart in 7 and Monk in 21 consider approaches through second order problems assuming that the domain is smooth. We will discuss what happens when the domain has corners. Moreover, we will suggest a setting, which is in some sense between Ciarlet‐Raviart and Monk, that inherits the benefits of both settings and that will give the weak solution through a system type approach.      19. Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models      Hermann Singer 《Computational Statistics》2006,21(3-4):385-397 Exact moment equations for nonlinear Itô processes are derived. Taylor expansion of the drift and diffusion coefficients around the first conditional moment gives a hierarchy of coupled moment equations which can be closed by truncation or a Gaussian assumption. The state transition density is expanded into a Hermite orthogonal series with leading Gaussian term and the Fourier coefficients are expressed in terms of the moments. The resulting approximate likelihood is maximized by using a quasi Newton algorithm with BFGS secant updates. A simulation study for the CEV stock price model compares the several approximate likelihood estimators with the Euler approximation and the exact ML estimator (Feller, in Ann Math 54: 173–182, 1951).      20. Forward-backward doubly stochastic differential equations and related stochastic partial differential equations      QingFeng Zhu  YuFeng Shi 《中国科学 数学(英文版)》2012,55(12):2517-2534 The notion of bridge is introduced for systems of coupled forward-backward doubly stochastic differential equations (FBDSDEs). It is proved that if two FBDSDEs are linked by a bridge, then they have the same unique solvability. Consequently, by constructing appropriate bridges, we obtain several classes of uniquely solvable FBDSDEs. Finally, the probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential equations (SPDEs) combined with algebra equations is given. One distinctive character of this result is that the forward component of the FBDSDEs is coupled with the backward variable.

Solving the biharmonic Dirichlet problem on domains with corners

The biharmonic Dirichlet boundary value problem on a bounded domain is the focus of the present paper. By Riesz' representation theorem the existence and uniqueness of a weak solution is quite direct. The problem that we are interested in appears when one is looking for constructive approximations of a solution. Numerical methods using for example finite elements, prefer systems of second equations to fourth order problems. Ciarlet and Raviart in 7 and Monk in 21 consider approaches through second order problems assuming that the domain is smooth. We will discuss what happens when the domain has corners. Moreover, we will suggest a setting, which is in some sense between Ciarlet‐Raviart and Monk, that inherits the benefits of both settings and that will give the weak solution through a system type approach.     

Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models

Exact moment equations for nonlinear Itô processes are derived. Taylor expansion of the drift and diffusion coefficients around the first conditional moment gives a hierarchy of coupled moment equations which can be closed by truncation or a Gaussian assumption. The state transition density is expanded into a Hermite orthogonal series with leading Gaussian term and the Fourier coefficients are expressed in terms of the moments. The resulting approximate likelihood is maximized by using a quasi Newton algorithm with BFGS secant updates. A simulation study for the CEV stock price model compares the several approximate likelihood estimators with the Euler approximation and the exact ML estimator (Feller, in Ann Math 54: 173–182, 1951).     

Forward-backward doubly stochastic differential equations and related stochastic partial differential equations

The notion of bridge is introduced for systems of coupled forward-backward doubly stochastic differential equations (FBDSDEs). It is proved that if two FBDSDEs are linked by a bridge, then they have the same unique solvability. Consequently, by constructing appropriate bridges, we obtain several classes of uniquely solvable FBDSDEs. Finally, the probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential equations (SPDEs) combined with algebra equations is given. One distinctive character of this result is that the forward component of the FBDSDEs is coupled with the backward variable.