Quasi-invariance of the Wiener measure on the path space over a complete Riemannian manifold

We prove a generalization of the Cameron-Martin theorem for a geometrically and stochastically complete Riemannian manifold; namely, the Wiener measure on the path space over such a manifold is quasi-invariant under the flow generated by a Cameron-Martin vector field.     

Regularity of solutions to differential equations with non-Lipschitz coefficients

We study the ordinary and stochastic differential equations whose coefficients satisfy certain non-Lipschitz conditions, namely, we study the behaviors of small subsets under the flows generated by these equations.     

Existence and uniqueness of solutions for a class of semilinear parabolic PDEs with non-Lipschitz coefficients

In this paper the existence and uniqueness of solutions for a class of semilinear parabolic partial differential equations with non-Lipschitz coefficients on Riemannian manifold are obtained. Two non-Lipschitz functions are provided to show our results.     

Stochastic invariance of closed sets with non-Lipschitz coefficients

This paper provides a new characterization of the stochastic invariance of a closed subset of ${\mathbb{R}}^d$ with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can fail to be differentiable: we only assume that the covariance matrix is. In particular, our result can be applied to construct affine and polynomial diffusions on any arbitrary closed set.     

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.     

Existence of global solutions and invariant measures for stochastic differential equations driven by Poisson type noise with non-Lipschitz coefficients

The purpose of this paper is twofold. Firstly, we investigate the problem of existence and uniqueness of solutions to stochastic differential equations with one sided dissipative drift driven by semi-martingales. Secondly, we investigate the problem of existence of an invariant measure for such equations when the coefficients are time independent.     

Existence and uniqueness of stochastic differential equations with random impulses and Markovian switching under non-lipschitz conditions

In the paper, stochastic differential equations with random impulses and Markovian switching are brought forward, where the so-called random impulse means that impulse ranges are driven by a series of random variables and impulse times are a random sequence, so these equations extend stochastic differential equations with jumps and Markovian switching. Then the existence and uniqueness of solutions to such equations are investigated by employing the Bihari inequality under non-Lipschtiz conditions.     

一类以鞅为驱动的随机泛函微分方程强解的存在性与唯一性

在积分型Lipschitz条件下,证明了一类以连续鞅为驱动的随机泛函微分方程解的存在性与唯一性.     

Uniform Shrinking and Expansion under Isotropic Brownian Flows

We study some finite time transport properties of isotropic Brownian flows. Under a certain nondegeneracy condition on the potential spectral measure, we prove that uniform shrinking or expansion of balls under the flow over some bounded time interval can happen with positive probability. We also provide a control theorem for isotropic Brownian flows with drift. Finally, we apply the above results to show that, under the nondegeneracy condition, the length of a rectifiable curve evolving in an isotropic Brownian flow with strictly negative top Lyapunov exponent converges to zero as t→∞ with positive probability. P. Baxendale’s research was supported in part by NSF Grant DMS-05-04853.     

Existence of invariant measures of stochastic systems with delay in the highest order partial derivatives

In this note, we shall consider the existence of invariant measures for a class of infinite dimensional stochastic functional differential equations with delay whose driving semigroup is eventually norm continuous. The results obtained are applied to stochastic heat equations with distributed delays which appear in such terms having the highest order partial derivatives. In these systems, the associated driving semigroups are generally non eventually compact.     

A Note on the Solution of a Stochastic Partial Differential Equation

Abstract

A physical model is described which justifies the appearance of a stochastic term in the two-dimensional Navier–Stokes equations. In this model, a linear oppositional control term accrues as well. The resulting stochastic partial differential equation is shown to have a unique stationary solution.     

Positive self-adjoint operators generated by products of differential expressions

Under the assumption of the product τ:=l⁺l of the regular differential expression l and its adjoint l⁺, being well-formed, a complete characterization of all the positive self-adjoint extensions of the minimal operator generated by τ in terms of boundary conditions is given.     

Semigroups generated by pseudo-contractive mappings under the Nagumo condition

Let X be a Banach space whose dual space X^∗ is uniformly convex. We demonstrate that, for any demicontinuous, weakly Nagumo, k-pseudo-contractive mapping T:D(T)⊆X→X with closed domain, A=T−I weakly generates a semigroup on D(T). In this paper, we project the consequences of this result on fixed point theory. In particular, we show that if k<1 (id est, if T is strongly pseudo-contractive), then T has a unique fixed point. This implies that, if T is pseudo-contractive (k=1) and D(T) is closed, bounded, and convex, then T has at least one fixed point. Consequently, any demicontinuous pseudo-contractive mapping T:C→C (for an appropriate C) has a fixed point, which has been an important open question in fixed point theory for quite some time. In a subsequent paper, we explore the consequences of the semigroup result on the existence of solutions to certain partial differential equations. The semigroup result directly implies the existence of unique global solutions to time evolution equations of the form u^′=Au where A is a combination of derivatives. The fixed point results from this paper imply the existence of solutions to partial differential equations of the form Lu=f.     

在Lipschitz条件下随机脉冲随机微分方程解的存在性和唯一性

随机脉冲随机微分方程有着广泛的应用, 本文主要研究在均方条件下, 此类方程解的存在性和唯一性. 在方程系数满足利普希兹条件以及脉冲时刻和脉冲函数满足一定条件下, 采用皮尔逊迭代, 柯系--施瓦兹不等式, 等矩公式以及随机分析中的技巧推导出结论.     

对“常系数非齐次线性微分方程”的一种讲授法

就常系数非齐次线性微分方程的讲授设计了一种不同于教材的教学安排,并就文章所给的辅助方程法和教材的解法进行了比较.     

Numerical stabilization of the Lorenz system by a small external perturbation

The Lorenz system perturbed by noise and its invariant measure whose density obeys the stationary Fokker-Planck equation are analyzed numerically. A linear functional of the invariant measure is considered, and its variation caused by a variation in the right-hand side of the Lorenz system is calculated. A small (in modulus) external perturbation is calculated under which the strange attractor of the Lorenz system degenerates into a stable fixed point.     

Mass transport generated by a flow of Gauss maps

Let A⊂Rd, d?2, be a compact convex set and let be a probability measure on A equivalent to the restriction of Lebesgue measure. Let be a probability measure on equivalent to the restriction of Lebesgue measure. We prove that there exists a mapping T such that ν=μ○T⁻¹ and T=φ⋅n, where is a continuous potential with convex sub-level sets and n is the Gauss map of the corresponding level sets of φ. Moreover, T is invertible and essentially unique. Our proof employs the optimal transportation techniques. We show that in the case of smooth φ the level sets of φ are governed by the Gauss curvature flow , where K is the Gauss curvature. As a by-product one can reprove the existence of weak solutions to the classical Gauss curvature flow starting from a convex hypersurface.     

Pinning class of the Wiener measure by a functional: related martingales and invariance properties

For a given functional Y on the path space, we define the pinning class of the Wiener measure as the class of probabilities which admit the same conditioning given Y as the Wiener measure. Using stochastic analysis and the theory of initial enlargement of filtration, we study the transformations (not necessarily adapted) which preserve this class. We prove, in this non Markov setting, a stochastic Newton equation and a stochastic Noether theorem. We conclude the paper with some non canonical representations of Brownian motion, closely related to our study.Mathematics Subject Classification (2000): 60G44, 60H07, 60H20, 60H30     

带跳的时滞随机微分方程近似解的收敛性

本文研究了一类具有Possion跳的时滞随机微分方程（SDDEwJPs）．在一般情况下SDDEwJPs没有解析解．因此合适的数值逼近法，例如欧拉法，就是在研究它们性质时所采用的重要工具．本文在局部李普希兹条件下证明了欧拉近似解强收敛于SDDEwJPs的精确解（分析解）．