Fake exponential Brownian motion

We construct a fake exponential Brownian motion, a continuous martingale different from classical exponential Brownian motion but with the same marginal distributions, thus extending results of Albin and Oleszkiewicz for fake Brownian motions. The ideas extend to other diffusions.     

Research on mean square exponential stability of networked control systems with multi-step delay

A new control mode is proposed for networked control systems whose network-induced delay is longer than a sampling period. The proposed control mode can make full use of control information and improve the performance of the system. Under the control mode, the mathematical model of networked control systems is obtained. Markov characteristic of the transfer delay is discussed. Based on Markov chain theory, the infinite horizon controller is designed, which is shown to render corresponding networked control systems mean square exponentially stable. Simulation results show the validity of the proposed theory.     

Explicit criteria for mean square exponential stability of stochastic differential equations

Using a novel approach, we present new explicit criteria for the mean square exponential stability of general non-linear stochastic differential equations. An application to stochastic neural networks is given.     

带跳的分数维Brown 运动幂变差的渐近行为

本文研究了X_t = B^H_t + ξ_t 现实幂变差的渐近理论, B^H 为Hurst 指数为H∈(0,1) 的分数维Brown 运动,ξ为与B^H独立的非Gauss Lévy 过程, 我们给出了其大数定律, 以及经适当中心化的中 心极限定理, 这些结果将为处理具有长期记忆跳过程的统计问题提供理论基础.     

Asymptotic behaviour of a Brownian motion on exterior domains

We study the asymptotic behaviour of the transition density of a Brownian motion in ?, killed at ∂?, where ? ^c is a compact non polar set. Our main result concern dimension d = 2, where we show that the transition density p ^? _t (x, y) behaves, for large t, as u(x)u(y)(t(log t)²)⁻¹ for x, y∈?, where u is the unique positive harmonic function vanishing on (∂?) ^r , such that u(x) ∼ log ∣x∣. Received: 29 January 1999 / Revised version: 11 May 1999     

One more square root law for Brownian motion and its application to SPDEs

It is proved that there is a function p(c)0 such that p(c)>0 if c is large enough, and (a.s.) for any t[0,1], the trajectory of Brownian motion after time t is contained in a parallel shift of the box [0,2^{– k} ]×[0,c2^{– k /2}] for all k belonging to a set with lower density p(c). This law of square root helps show that solutions of one-dimensional SPDEs are Hölder continuous up to the boundary.The work was partially supported by NSF Grant DMS-0140405 Mathematics Subject Classification (2000): 60G17, 35K05, 60H15     

Kolmogorov distance between the exponential functionals of fractional Brownian motion

In this note, we investigate the continuity in law with respect to the Hurst index of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide an explicit bound on the Kolmogorov distance between two functionals with different Hurst indexes.     

An optimal stopping problem for a geometric Brownian motion with poissonian jumps

This paper examines an optimal stopping problem for a geometric Brownian motion with random jumps. It is assumed that jumps occur according to a time-homogeneous Poisson process and the proportions of these sizes are independent and identically distributed nonpositive random variables. The objective is to find an optimal stopping time of maximizing the expected discounted terminal reward which is defined as a nondecreasing power function of the stopped state. By applying the “smooth pasting technique” [1,2], we derive almost explicitly an optimal stopping rule of a threshold type and the optimal value function of the initial state. That is, we express the critical state of the optimal stopping region and the optimal value function by formulae which include only given problem parameters except an unknown to be uniquely determined by a nonlinear equation.     

Transportation inequalities for stochastic delay evolution equations driven by fractional Brownian motion

We discuss stochastic functional partial differential equations and neutral partial differential equations of retarded type driven by fractional Brownian motion with Hurst parameter H>1/2. Using the Girsanov transformation argument, we establish the quadratic transportation inequalities for the law of the mild solution of those equations driven by fractional Brownian motion under the L² metric and the uniform metric.     

Ruin probability for Lévy risk process compounded by geometric Brownian motion

In this paper, we assume that the surplus of an insurer follows a Lévy risk process and the insurer would invest its surplus in a risky asset, whose prices are modeled by a geometric Brownian motion. It is shown that the ruin probabilities (by a jump or by oscillation) of the resulting surplus process satisfy certain integro-differential equations.      

Stochastic delay fractional evolution equations driven by fractional Brownian motion

In this paper, we consider a class of stochastic delay fractional evolution equations driven by fractional Brownian motion in a Hilbert space. Sufficient conditions for the existence and uniqueness of mild solutions are obtained. An application to the stochastic fractional heat equation is presented to illustrate the theory. Copyright © 2014 John Wiley & Sons, Ltd.     

Convergence of delay differential equations driven by fractional Brownian motion

In this note, we prove an existence and uniqueness result of solution for stochastic differential delay equations with hereditary drift driven by a fractional Brownian motion with Hurst parameter H > 1/2. Then, we show that, when the delay goes to zero, the solutions to these equations converge, almost surely and in L ^p , to the solution for the equation without delay. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann–Stieltjes integral.