Nonlinear Stochastic Difference Equations Driven by Martingales

Abstract

We provide in this paper a systematic development of nonlinear stochastic difference equations driven by martingales (that depend on a spatial parameter); three such equations are considered. We begin with the existence and uniqueness of solutions and continue with the study of stochastic properties, such as the martingale and Markov properties, along with ? irreducibility and recurrence. We discuss in the final section the discrete-time flow and asymptotic flow properties of the solution process.     

Stochastic Lyapunov Functions for a System of Nonlinear Difference Equations

We study problems related to the stability of solutions of nonlinear difference equations with random perturbations of semi-Markov type. We construct Lyapunov functions for different classes of nonlinear difference equations with semi-Markov right-hand side and establish conditions for their existence.     

Stability in Probability of Nonlinear Stochastic Volterra Difference Equations with Continuous Variable

Abstract

The general method of Lyapunov functionals construction, that was proposed by Kolmanovskii and Shaikhet and successfully used already for functional-differential equations, difference equations with discrete time, difference equations with continuous time, and is used here to investigate the stability in probability of nonlinear stochastic Volterra difference equations with continuous time. It is shown that the investigation of the stability in probability of nonlinear stochastic difference equation with order of nonlinearity more than one can be reduced to investigation of the asymptotic mean square stability of the linear part of this equation.     

General Solution of Systems of Nonlinear Difference Equations with Continuous Argument

We investigate the structure of the general solution of a system of nonlinear difference equations with continuous argument in the neighborhood of an equilibrium state.     

非线性时滞差分方程的振动性

考虑非线性时滞差分方程x_{n+1}-x_n+p_nf(x_{n-l_1},x_{n-l_2}x_{n-l_m})=0, n=0,1,2, 获得了方程所有解振动的充分条件, 推广并改进了现有文献中的结果.     

Evolving Systems of Stochastic Differential Equations

Journal of Theoretical Probability - We introduce Evolving Systems of Stochastic Differential Equations. This model generalizes the well-known stochastic differential equations with Markovian...     

Instability of Certain Nonlinear Stochastic Differential Equations

We prove existence and uniqueness of the solution X^ε_t of the SDE, X^ε_t = εB_t + ∫^t₀u^{q −1} _ε(s, X^ε_t) ds, where X^ε_t is a one-dimensional process and u_ε(t, x) the density of X^ε_t (ε > 0, q > 1). We show that the closure of (X^ε_t; 0 ≤ t ≤ 1) with respect to Hölder norm, when ε goes to 0, is a.s. equal to an explicit family of continuous functions. We obtain similar results, considering SDE′s where the drift coefficient is equal to ± sgn(x) u(t, x).     

Asymptotic Stability of Nonlinear Stochastic Evolution Equations

Some results on the pathwise asymptotic stability of solutions to stochastic partial differential equations are proved. Special attention is paid in proving sufficient conditions ensuring almost sure asymptotic stability with a non-exponential decay rate. The situation containing some hereditary characteristics is also treated. The results are illustrated with several examples.     

Stochastic Convolution-Type Heat Equations with Nonlinear Drift

Abstract

In this article, we study the solution of a class of stochastic convolution-type heat equations with nonlinear drift. For general initial condition and coefficients, we prove existence and uniqueness by using the characterization theorem and Banach's fixed-point theorem. We also give an implicit solution, which is a well-defined generalized stochastic process in a suitable distribution space. Finally, we investigate the continuous dependence of the solution on the initial data as well as the dependence on the coefficient.     

Adaptive Stabilization of Nonlinear Stochastic Systems

The purpose of this paper is to study the problem of asymptotic stabilization in probability of nonlinear stochastic differential systems with unknown parameters. With this aim, we introduce the concept of an adaptive control Lyapunov function for stochastic systems and we use the stochastic version of Artstein's theorem to design an adaptive stabilizer. In this framework the problem of adaptive stabilization of a nonlinear stochastic system is reduced to the problem of asymptotic stabilization in probability of a modified system. The design of an adaptive control Lyapunov function is illustrated by the example of adaptively quadratically stabilizable in probability stochastic differential systems. Accepted 9 December 1996     

Homoclinic Orbits of Nonlinear Functional Difference Equations

In this paper, by using the critical point theory, we obtain the existence of a nontrivial homoclinic orbit which decays exponentially at infinity for nonlinear difference equations containing both advance and retardation without any periodic assumptions. Moreover, if the nonlinearity is an odd function, the existence of an unbounded sequence of nontrivial homoclinic orbits which decay exponentially at infinity is obtained.      

非线性差分方程的多重周期解

用变分方法得到一类非线性差分方程多重周期解的存在性．我们的结果推广了Cai，Yu和Guo[Comput．Math．Appl．，52（2006），1630-1647]的结果，并且这里给出的证明显著地简化了．     

一类非线性时滞差分方程的稳定性

得到了一类线性非自治时滞差分方程的零解的一致稳定、一致渐近稳定和全局渐近稳定的充分条件.     

非线性时滞差分方程的线性化振动性

本文建立了非线性时滞差分方程的线性化振动性的结果,推广了文[1]的工作．