Penalization methods for reflecting stochastic differential equations with jumps

The problem of approximation of a solution to a reflecting stochastic differential equation (SDE) with jumps by a sequence of solutions to SDEs with penalization terms is considered. The approximating sequence is not relatively compact in the Skorokhod topology J ¹ and so the methods of approximation based on the J ¹-topology break down. In the paper, we prove our convergence results in the S-topology on the Skorokhod space D(R⁺,?R ^d ) introduced recently by Jakubowski. The S-topology is weaker than J ¹ but stronger than the Meyer-Zheng topology and shares many useful properties with J ¹.     

Dynamically consistent nonlinear evaluations with their generating functions in L p

In this paper, we study dynamically consistent nonlinear evaluations in Lp(1p2). One of our aim is to obtain the following result: under a domination condition, an Ft-consistent evaluation is an Eg-evaluation in Lp . Furthermore, without the assumption that the generating function g(t, ω, y, z) is continuous with respect to t, we provide some useful characterizations of an Eg-evaluation by g and give some applications. These results include and extend some existing results.     

Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales

This work describes a Galerkin type method for stochastic partial differential equations of Zakai type driven by an infinite dimensional càdlàg square integrable martingale. Error estimates in the semidiscrete case, where discretization is only done in space, are derived in L^p and almost sure senses. Simulations confirm the theoretical results.     

Stochastic partial differential equations with unbounded and degenerate coefficients

In this article, using DiPerna-Lions theory (DiPerna and Lions, 1989) [1], we investigate linear second order stochastic partial differential equations with unbounded and degenerate non-smooth coefficients, and obtain several conditions for existence and uniqueness. Moreover, we also prove the L¹-integrability and a general maximal principle for generalized solutions of SPDEs. As applications, we study nonlinear filtering problem and also obtain the existence and uniqueness of generalized solutions for a degenerate nonlinear SPDE.     

The behavior of solutions of second order delay differential equations

In this paper, we study the behavior of solutions of second order delay differential equation

y^″(t)=p₁y^′(t)+p₂y^′(t−τ)+q₁y(t)+q₂y(t−τ),     

Estimates for wave and Klein-Gordon equations on modulation spaces

We prove that the fundamental semi-group eit(m 2I+|Δ|)1/2(m = 0) of the Klein-Gordon equation is bounded on the modulation space M ps,q(Rn) for all 0 < p,q ∞ and s ∈ R.Similarly,we prove that the wave semi-group eit|Δ|1/2 is bounded on the Hardy type modulation spaces μsp,q(Rn) for all 0 < p,q ∞,and s ∈ R.All the bounds have an asymptotic factor tn|1/p 1/2| as t goes to the infinity.These results extend some known results for the case of p 1.Also,some applications for the Cauchy problems related to the semi-group eit(m2I+|Δ|)1/2 are obtained.Finally we discuss the optimum of the factor tn|1/p 1/2| and raise some unsolved problems.     

Conditional expectations and weak and strong compactness in spaces of Bochner integrable functions

In [6, theorem IV.8.18], relatively norm compact sets K in L^p(μ) are characterized by means of strong convergence of conditional expectations, E_πf → f in L^p(μ), uniformly for f ∈ K, where (E_π) is the family of conditional expectations corresponding to the net of all finite measurable partitions.In this paper we extend the above result in several ways: we consider nets of not necessarily finite partitions; we consider spaces $\text{L}{}_{\mathrm{E}}{}^{\mathrm{p}}\text{(μ)}$ of vector valued pth power Bochner integrable functions (and spaces M(Σ, E) of vector valued measures with finite variation); we characterize relatively strong compact sets K in $\text{L}{}_{\mathrm{E}}{}^{\mathrm{p}}\text{(μ)}$ by means of uniform strong convergence E_πf → f, as well as relatively weak compact sets K by means of uniform weak convergence E_πf → f. Previously, in [4], uniform strong convergence (together with some other conditions) was proved to be sufficient (but not necessary) for relative weak compactness.     

Probabilistic Representations of Solutions of the Forward Equations

In this paper we prove a stochastic representation for solutions of the evolution equation

Convolution on L p -spaces of a locally compact group

We have recently shown that, for 2 < p < ∞, a locally compact group G is compact if and only if the convolution multiplication f * g exists for all f, g ∈ L ^p (G). Here, we study the existence of f * g for all f, g ∈ L ^p (G) in the case where 0 < p ≤ 2. Also, for 0 < p < ∞, we offer some necessary and sufficient conditions for L ^p (G) * L ^p (G) to be contained in certain function spaces on G.     

Sur la meilleure constante dans l'inégalité de Sobolev

We prove that the best constant in the Sobolev inequality (H₁^p ⊂L_p^* with 1/p^* = 1/p − 1/n and 1 < p < n) is achieved on compact Riemannian manifolds, or only complete under some hypotheses. We also establish stronger inequalities where the norms are to some exponent which seems optimal. For the proof we show a general result of dominated convergence at a simple point of concentration.     

Existence,uniqueness and approximation for <Emphasis Type="Italic">L</Emphasis><Superscript>p</Superscript> solutions of reflected BSDEs with generators of one-sided Osgood type

We prove several existence and uniqueness results for L ^p (p > 1) solutions of reflected BSDEs with continuous barriers and generators satisfying a one-sided Osgood condition together with a general growth condition in y and a uniform continuity condition or a linear growth condition in z. A necessary and sufficient condition with respect to the growth of barrier is also explored to ensure the existence of a solution. And, we show that the solutions may be approximated by the penalization method and by some sequences of solutions of reflected BSDEs. These results are obtained due to the development of those existing ideas and methods together with the application of new ideas and techniques, and they unify and improve some known works.     

Global existence of solutions for stochastic impulsive differential equations

In this paper we obtain some results on the global existence of solution to Itô stochastic impulsive differential equations in M([0,∞),? ⁿ ) which denotes the family of ? ⁿ -valued stochastic processes x satisfying sup_t∈[0,∞) \(\mathbb{E}\)|x(t)|² < ∞ under non-Lipschitz coefficients. The Schaefer fixed point theorem is employed to achieve the desired result. An example is provided to illustrate the obtained results.     

An analytic approximation of solutions of stochastic differential delay equations with Markovian switching

In this paper, we are concerned with the stochastic differential delay equations with Markovian switching (SDDEwMSs). As stochastic differential equations with Markovian switching (SDEwMSs), most SDDEwMSs cannot be solved explicitly. Therefore, numerical solutions, such as EM method, stochastic Theta method, Split-Step Backward Euler method and Caratheodory’s approximations, have become an important issue in the study of SDDEwMSs. The key contribution of this paper is to investigate the strong convergence between the true solutions and the numerical solutions to SDDEwMSs in the sense of the L^p-norm when the drift and diffusion coefficients are Taylor approximations.     

Meromorphic solutions of a Riccati differential equation with a doubly periodic coefficient

We treat a Riccati differential equation w^′+w²+p(z)=0, where p(z) is a nonconstant doubly periodic meromorphic function. Under certain assumptions, every solution is meromorphic in the whole complex plane. We show that the growth order of it is equal to 2, and examine the frequency of α-points and poles. Furthermore, the number of doubly periodic solutions is discussed.     

On Lp -Theory of stochastic partialdifferential equations of divergence form with continuous coefficients

We develop an L_p -theory of stochastic PDEs of divergence form. Under natural assumptions on the coefficients and the data, we show that the solutions belong to some modified stochastic Sobolev spaces. As a consequence of this result and certain embedding theorem, we also show that the solutions are Holder continuous in space and time a.s. for sufficiently large p     

A partial regularity result for an anisotropic smoothing functional for image restoration in BV space

Here we examine the partial regularity of minimizers of a functional used for image restoration in BV space. This functional is a combination of a regularized p-Laplacian for the part of the image with small gradient and a total variation functional for the part with large gradient. This model was originally introduced in Chambolle and Lions using the Laplacian. Due to the singular nature of the p-Laplacian we study a regularized p-Laplacian. We show that where the gradient is small, the regularized p-Laplacian smooths the image u, in the sense that u∈C1,α for some 0<α<1. This functional thus anisotropically smooths the image where the gradient is small and preserves edges via total variation where the gradient is large.     

Best constants in Sobolev inequalities for compact manifolds of nonpositive curvature

Let (M,g) be a smooth compact Riemannian n-manifold, n ≥ 2, let p(1, n) real, and let H₁^p (M) be the standard Sobolev space of order p. By the Sobolev embedding theorem, H₁^p(M) ⊂ L^p* (M) where p^* = np/(n - p). Classically, this leads to some Sobolev inequality (I_p¹), and then to some Sobolev inequality (I_p^p) where each term in (I_p¹) is elevated to the power p. Long standing questions were to know if the optimal versions with respect to the first constant of (I_p¹) and (I_p^p) do hold. Such questions received an affirmative answer by Hebey-Vaugon for p = 2, and on what concerns (I_p¹), by Aubin for two-dimensional manifolds and for manifolds of constant sectional curvature. Recently, Druet proved that for p > 2, and p² < n, the optimal version of (I_p^p) is false if the scalar curvature of g is positive somewhere, while for p > 1, the optimal version of (I_p^p) does hold on flat torii and compact hyperbolic spaces. We prove here that the optimal version of (I_p^p), p > 1, does hold for compact manifolds of nonpositive sectional curvature in any dimension where the Cartan-Hadamard conjecture is true. In particular, since the Cartan-Hadmard conjecture is true in dimensions 2, 3, and 4, the optimal version of (I_p^p) does hold on any compact manifold of nonpositive sectional curvature of dimension 2, 3, or 4.     

Orthogonal wavelets on direct products of cyclic groups

We describe a method for constructing compactly supported orthogonal wavelets on a locally compact Abelian group G which is the weak direct product of a countable set of cyclic groups of pth order. For all integers p, n ≥ 2, we establish necessary and sufficient conditions under which the solutions of the corresponding scaling equations with p ⁿ numerical coefficients generate multiresolution analyses in L ²(G). It is noted that the coefficients of these scaling equations can be calculated from the given values of p ⁿ parameters using the discrete Vilenkin-Chrestenson transform. Besides, we obtain conditions under which a compactly supported solution of the scaling equation in L ²(G) is stable and has a linearly independent system of “integer” shifts. We present several examples illustrating these results.     

The nonlinear Schrödinger equation with white noise dispersion

Under certain scaling the nonlinear Schrödinger equation with random dispersion converges to the nonlinear Schrödinger equation with white noise dispersion. The aim of this work is to prove that this latter equation is globally well posed in L² or H¹. The main ingredient is the generalization of the classical Strichartz estimates. Additionally, we justify rigorously the formal limit described above.