Regularity of Solutions to Bilinear Stochastic Wave Equations

Abstract

The paper is concerned with strong solutions of bilinear stochastic wave equations in ? ^d , of which the coefficients contain semimartingale white noises with spatial parameters. For the Cauchy problems, the existence and spatial regularity of solutions in Sobolev spaces are proved under appropriate conditions. The dependence of solution regularity on the smoothness of the random coefficients is ascertained. The proofs are based on stochastic energy inequalities, the semigroup method and certain submartingale inequalities. Regularity results are also obtained for the special case of Wiener semimartingales.     

On Weak Solutions of Stochastic Differential Equations

A new proof of existence of weak solutions to stochastic differential equations with continuous coefficients based on ideas from infinite-dimensional stochastic analysis is presented. The proof is fairly elementary, in particular, neither theorems on representation of martingales by stochastic integrals nor results on almost sure representation for tight sequences of random variables are needed.     

On Weak Solutions of Stochastic Differential Equations II

In the first part of this article a new method of proving existence of weak solutions to stochastic differential equations with continuous coefficients having at most linear growth was developed. In this second part, we show that the same method may be used even if the linear growth hypothesis is replaced with a suitable Lyapunov condition.     

倒向随机微分方程弱解（英）

引入倒向随机微分方程弱解的概念，应用Girsanov变换，建立了两类倒向随机微分方程（0．1）和（0．2）弱解存在的等价性，由此得到倒向 随机微分方程弱解存在的几个充分条件。     

两参数Ito型随机微分方程解的收敛定理

设ωｚ是Ｒ＾２＋上的布朗单,考虑两参数Ｉｔｏ型随机微分方程：ｄｘｚ＝ａ（ｚ,ｘｚ）ｄωｚ＋ｂ（ｚ,ｘｚ）ｄｚ（１）ｄｘ＾＊ｚ＝ａｚ（ｚ,ｘ＾＊ｚ）ｄωｚ＋ｂｚ（ｚ,ｘ＾＊ｚ）ｄｚ（２）则在方程系数满足一定条件下,本证明了方程（２）的解向方程（１）的解收敛。     

随机微分方程终值问题的弱解(英)

设｛Wt．Ft．t∈［0．T］｝为概率空间（Ω，P）上的标准α维Brown运动，为由它生成的自然σ－代数流．本文讨论了如下随机微分方程终值问题弱解的存在性：其中ξ∈L2（Ω，P；Rn），g：［0，T」×Rn×Rnd→Rn为有界可测函数．此外，还讨论了它在金融市场期权定价问题中的应用．     

模糊随机微分方程解的存在唯一性

将实数空间上的随机微分方程推广到模糊数空间,即为模糊随机微分方程.本文用Picard迭代的方法证明了其解的存在唯一性定理,推广了现有文献的结果,并且给出Picard迭代近似解误差的估计式.     

Stable Solutions of Elliptic Equations on Riemannian Manifolds

This paper is devoted to the study of rigidity properties for special solutions of nonlinear elliptic partial differential equations on smooth, boundaryless Riemannian manifolds. As far as stable solutions are concerned, we derive a new weighted Poincaré inequality which allows us to prove Liouville type results and the flatness of the level sets of the solution in dimension 2, under suitable geometric assumptions on the ambient manifold.     

Stochastic Wave Equations with Memory

The authors show the existence and uniqueness of solution for a class of stochastic wave equations with memory. The decay estimate of the energy function of the solution is obtained as well.     

Nonexistence of Global Solutions to Nonlinear Stochastic Wave Equations in Mean L p -Norm

This article is concerned with explosive solutions of the initial-boundary problem for a class of nonlinear stochastic wave equations in a domain 𝒟 ? ? ^d . Under appropriate conditions on the initial data, the nonlinear term and the noise intensity, it is proved in Theorem 3.4 that there cannot exist a global solution and the local solution will blow up at a finite time in the mean L ^p  ? norm for p ≥ 1. An example is given to show the application of this theorem.     

黎曼流形上某些微分方程的通解

Let (Mⁿ,g) be a Riemannian manifold of dimension n and let ▽ denote the Riemannian connection defined by g. In this paper we study the following systems of differential equations.     

Nonexistence of Stable Solutions to Quasilinear Elliptic Equations on Riemannian Manifolds

We prove nonexistence of nontrivial, possibly sign changing, stable solutions to a class of quasilinear elliptic equations with a potential on Riemannian manifolds, under suitable weighted growth conditions on geodesic balls.     

Numerical Solutions of Stochastic Differential Delay Equations with Jumps

Abstract

In this article, we investigate the strong convergence of the Euler–Maruyama method and stochastic theta method for stochastic differential delay equations with jumps. Under a global Lipschitz condition, we not only prove the strong convergence, but also obtain the rate of convergence. We show strong convergence under a local Lipschitz condition and a linear growth condition. Moreover, it is the first time that we obtain the rate of the strong convergence under a local Lipschitz condition and a linear growth condition, i.e., if the local Lipschitz constants for balls of radius R are supposed to grow not faster than log R.     

Strong solutions to stochastic wave equations with values in Riemannian manifolds

Let M be a d-dimensional compact Riemannian manifold. We prove existence of a unique global strong solution of the stochastic wave equation , where Y is a C¹-smooth transformation and W is a spatially homogeneous Wiener process on whose spectral measure has finite moments up to order 2.     

具有马尔可夫调制的随机微分方程数值解的收敛性

本文在无穷维Hilbert空间中研究了一类具有马尔可夫调制的随机微分方程(SDEwMSs).在一般情况下SDEwMSs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.本文在较弱的条件下不仅证明了欧拉近似解收敛于SDEwMSs的精确解(分析解),而且给出了欧拉近似阶的界.     

Derivation of Stochastic Partial Differential Equations

Abstract

A procedure is explained for deriving stochastic partial differential equations from basic principles. A discrete stochastic model is first constructed. Then, a stochastic differential equation system is derived, which leads to a certain stochastic partial differential equation. To illustrate the procedure, a representative problem is first studied in detail. Exact solutions, available for the representative problem, show that the resulting stochastic partial differential equation is accurate. Next, stochastic partial differential equations are derived for a one-dimensional vibrating string, for energy-dependent neutron transport, and for cotton-fiber breakage. Several computational comparisons are made.     

Generalized Solutions to Boundary-Value Problems for Quasilinear Elliptic Equations on Noncompact Riemannian Manifolds

In the present work we develop approximation approach to evaluation of solutions to boundary-value problems for quasilinear equations of the elliptic type on arbitrary noncompact Riemannian manifolds. Our technique essentially bases on an approach from the papers of E. A. Mazepa and S. A. Korol’kov connected with introduction of equivalency classes of functions and representations. On the other hand, it generalizes the method of building of generalized solution to the Dirichlet problem for linear elliptic Laplace–Beltrami and Schrödinger equations in bounded domains in ? ⁿ , which is described in details in the works of M. V. Keldysh and E. M. Landis.     

Feller's One-Dimensional Diffusions as Weak Solutions to Stochastic Differential Equations

A continuous strong Markov process X on the line generated by Feller's generalized second order differential operator D_mD is considered. Supposed that the canonical scale p is locally the difference of two bounded convex functions, that the speed measure m contains a strictly positive absolutely continuous component, and that both boundaries of the state space R are inaccessible. Then the process X is characterized as a weak solution to a stochastic differential equation involving local time.