One-Dimensional Nonlinear Stochastic Wave Equation and Triviality Effect

Abstract

The limiting behavior of solutions to stochastic wave equations with singularities represented by stochastic terms is considered. In cases when the initial data are certain functionals of the smoothed white noise process, it is proved that the triviality effect appears. At the end of the paper, a concrete application of the smoothed positive noise is given.     

Tail estimates for positive solutions of stochastic heat equation

In this paper, we study the solution of a class of stochastic heat equations of convolution type. We give an explicit solution X _t using two basic tools: the characterization theorem for generalized functions and the convolution calculus. For positive initial condition f and coefficients processes Vt, Mt, we prove that the corresponding solution X _t admits an integral representation by a certain measure. Finally, we compute the tail estimate for the obtained solution and its expectation.     

Stochastic Optimal Control for the Stochastic Heat Equation with Exponentially Growing Coefficients and with Control and Noise on a Subdomain

Abstract

We consider stochastic optimal control problems in Banach spaces, related to nonlinear controlled equations with dissipative non linearities: on the nonlinear term we do not impose any growth condition. The problems are treated via the backward stochastic differential equations approach, that allows also to solve in mild sense Hamilton Jacobi Bellman equations in Banach spaces. We apply the results to controlled stochastic heat equation, in space dimension 1, with control and noise acting on a subdomain.     

Perturbations of Generalized Mehler Semigroups and Applications to Stochastic Heat Equations with Levy Noise and Singular Drift

In this paper we solve the Kolmogorov equation and, as a consequence, the martingale problem corresponding to a stochastic differential equation of type dX _t =AX _t dt+b(X _t )dt+dY _t , on a Hilbert space E, where (Y _t ) _t0 is a Levy process on E,A generates a C ₀-semigroup on E and b:EE. Our main point is to allow unbounded A and also singular (in particular, non-continuous) b. Our approach is based on perturbation theory of C ₀-semigroups, which we apply to generalized Mehler semigroups considered on L ²(), where is their respective invariant measure. We apply our results, in particular, to stochastic heat equations with Levy noise and singular drift.     

Null Controllability for Some Systems of Two Backward Stochastic Heat Equations with One Control Force

The authors establish the null controllability for some systems coupled by two backward stochastic heat equations. The desired controllability result is obtained by means of proving a suitable observability estimate for the dual system of the controlled system.     

Some Results on Nonlinear Backward Stochastic Evolution Equations

Abstract

In this paper, we present some results concerning existence and uniqueness of solutions for a rather general class of nonlinear backward stochastic partial differential equations. These results are illustrated with two examples.     

On the Exact Controlability of a Nonlinear Stochastic Heat Equation. II

ABSTRACT

The exact controlability of a nonlinear stochastic heat equation with interior controls is established.     

On Stochastic Differential Equations with Locally Unbounded Drift

We study the regularizing effect of the noise on differential equations with irregular coefficients. We present existence and uniqueness theorems for stochastic differential equations with locally unbounded drift.     

Stochastic Heat and Wave Equations on a Lie Group

We study nonlinear heat and wave equations on a Lie group. The noise is assumed to be a spatially homogeneous Wiener process. We give necessary and sufficient conditions for the existence of a function-valued solution in terms of the covariance kernel of the noise.     

Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control

Semilinear parabolic differential equations are solved in a mild sense in an infinite-dimensional Hilbert space. Applications to stochastic optimal control problems are studied by solving the associated Hamilton–Jacobi–Bellman equation. These results are applied to some controlled stochastic partial differential equations.     

非线性中立型随机延迟微分方程随机θ方法的稳定性

本文研究非线性中立型随机延迟微分方程随机θ方法的均方稳定性.在方程解析解均方稳定的条件下,证明了如下结论:当θ∈[0,1/2)时,随机θ方法对于适当小的时间步长是均方稳定的;当θ∈[1/2,1]时,随机θ方法对于任意步长都是均方稳定的.数值结果验证了所获结论的正确性.     

The Filtering Equations of Forward-Backward Stochastic Systems with Random Jumps and Applications to Partial Information Stochastic Optimal Control

In this article, we consider a filtering problem for forward-backward stochastic systems that are driven by Brownian motions and Poisson processes. This kind of filtering problem arises from the study of partially observable stochastic linear-quadratic control problems. Combining forward-backward stochastic differential equation theory with certain classical filtering techniques, the desired filtering equation is established. To illustrate the filtering theory, the theoretical result is applied to solve a partially observable linear-quadratic control problem, where an explicit observable optimal control is determined by the optimal filtering estimation.     

量子随机Cable方程的白噪声分析方法

本文讨论了广义算子及其Wick积意义下的非线性量子随机Cable方程.在给出解的存在唯一性定理的基础上,证明了解对初值过程的连续依赖性及其他性质.     

条件平均场随机微分方程的最优控制问题

作者研究了一个条件平均场随机微分方程的最优控制问题.这种方程和某些部分信息下的随机最优控制问题有关,并且可以看做是平均场随机微分方程的推广.作者以庞特里雅金最大值原理的形式给出最优控制满足的必要和充分条件.此外,文中给出一个线性二次最优控制问题来说明理论结果的应用.     

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．     

Backward Doubly Stochastic Differential Equations with Jumps and Stochastic Partial Differential-Integral Equations

Backward doubly stochastic differential equations driven by Brownian motions and Poisson process(BDSDEP) with non-Lipschitz coeffcients on random time interval are studied.The probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential-integral equations(SPDIEs) is treated with BDSDEP.Under non-Lipschitz conditions,the existence and uniqueness results for measurable solutions to BDSDEP are established via the smoothing technique.Then,the continuous dependence for solutions to BDSDEP is derived.Finally,the probabilistic interpretation for the solutions to a class of quasilinear SPDIEs is given.     

Stochastic integrals for nonprevisible,multiparameter processes

We develop a general theory for stochastic integrals of generalized stochastic processesX(t), depending on multidimensional time, within the framework of the space of Wiener distributions (D ^*).     

Stochastic Equations with Time-Dependent Drift Driven by Levy Processes

The stochastic equation dX _t =dS _t +a(t,X _t )dt, t≥0, is considered where S is a one-dimensional Levy process with the characteristic exponent ψ(ξ),ξ∈ℝ. We prove the existence of (weak) solutions for a bounded, measurable coefficient a and any initial value X ₀=x ₀∈ℝ when (ℛe  ψ(ξ))⁻¹=o(|ξ|⁻¹) as |ξ|→∞. These conditions coincide with those found by Tanaka, Tsuchiya and Watanabe (J. Math. Kyoto Univ. 14(1), 73–92, 1974) in the case of a(t,x)=a(x). Our approach is based on Krylov’s estimates for Levy processes with time-dependent drift. Some variants of those estimates are derived in this note.     

非线性演化方程的孤立波解

用齐次平衡原则和辅助微分方程方法得到了6个重要的n次非线性演化方程的孤立波解.辅助微分方程方法的主要思想是借助简单的可解微分方程的解去构造复杂的非线性演化方程的行进波解.这里简单的可解微分方程称为辅助微分方程.本文使用的辅助方程有双曲正割幂型解或双曲正切幂型解.     

Spectral Method for Nonlinear Stochastic Partial Differential Equations of Elliptic Type

This paper is concerned with the numerical approximations of semi-linear stochastic partial differential equations of elliptic type in multi-dimensions. Convergence analysis and error estimates are presented for the numerical solutions based on the spectral method. Numerical results demonstrate the good performance of the spectral method.