Approximation for Semilinear Stochastic Evolution Equations

We investigate the approximation by space and time discretization of quasi linear evolution equations driven by nuclear or space time white noise. An error bound for the implicit Euler, the explicit Euler, and the Crank–Nicholson scheme is given and the stability of the schemes are considered. Lastly we give some examples of different space approximation, i.e., we consider approximation by eigenfunction, finite differences and wavelets.     

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.     

二维Stokes近似系统弱解的全局存在性

本文主要考虑了二维可压流体的Stokes近似系统,我们运用类似于Eduard Feireisl的方法证明了Stokes近似系统在,γ=1与γ>1时弱解的全局存在性.     

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.     

一类椭圆型随机偏微分方程弱解的存在性

设$D$是$R^N$ ($N>1$)中有界开集,$(\Omega, {\cal F}, P)$是一个完备的概率空间.该文研究了下列随机边值问题弱解的存在性问题\[\left\{\begin{array}{ll}-{\rm div} A(x,\omega,u, \nabla u)=f(x,\omega, u),\,\, &;(x,\omega)\in D\times \Omega,\\u=0, &;(x,\omega)\in \partial D\times \Omega,\end{array}\right.\]其中, div与 $\nabla $ 表示仅对 $x$求微分. 首先,作者引入了弱解的概念; 然后,作者转化随机问题为高维确定性问题;最后,作者证明了该问题弱解的存在性.     

Existence of Solutions To Weak Parabolic Equations For Measures

Let A = (a^ij) be a Borel mapping on [0, 1] x R^d with valuesin the space of non-negative operators on R^d and let b = (bⁱ)be a Borel mapping on [0, 1] x R^d with values in R^d. Let Under broad assumptions on A and b, we construct a family µ= (µ_t)_t [0, 1] of probability measures µ_t on R^dwhich solvesthe Cauchy problem L* µ = 0 with initial conditionµ₀ = , where \nu is a probability measure on R^d, in thefollowing weak sense: and Such an equation is satisfied by transition probabilities ofa diffusion process associated with A and b provided such aprocess exists. However, we do not assume the existence of aprocess and allow quite singular coefficients, in particular,b may be locally unbounded or A may be degenerate. An infinite-dimensionalanalogue is discussed as well. Main methods are L^p-analysiswith respect to suitably chosen measures and reduction to theelliptic case (studied previously) by piecewise constant approximationsin time. 2000 Mathematics Subject Classification 35K10, 35K12,60J35, 60J60, 47D07.     

Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

A new, simple algorithm of order 2 is presented to approximate weakly stochastic differential equations. It is then applied to the problem of pricing Asian options under the Heston stochastic volatility model.

2000 Mathematics Subject Classification, 65C30, 65C05.     

平均场倒向重随机微分方程及其应用

研究了平均场倒向随重机微分方程,得到了平均场倒向重随机微分方程解的存在唯一性.基于平均场倒向重随机微分方程的解,给出了一类非局部随机偏微分方程解的概率解释.讨论了平均场倒向重随机系统的最优控制问题,建立了庞特利亚金型的最大值原理.最后讨论了一个平均场倒向重随机线性二次最优控制问题,展示了上述最大值原理的应用.     

On Weak Solutions to Stochastic Differential Inclusions Driven by Semimartingales

Abstract

In this paper we consider weak solutions to stochastic inclusions driven by a general semimartingale. We prove the existence of weak solutions and equivalence with the existence of solutions to the martingale problem formulated to such inclusion. Using this we then analyze compactness property of solutions set. Presenting results extend some of those being known for stochastic differential inclusions of Itô's type.     

A New Generalized Gronwall Inequality with a Double Singularity and Its Applications to Fractional Stochastic Differential Equations

Abstract

In many cases, the existence and uniqueness of the solution of a differential equation are proved using fixed point theory. In this paper, we utilize the theory of operators and ingenious techniques to investigate the well-posedness of mild solution to semilinear fractional stochastic differential equations. We first discuss some properties of a class of Volterra integral operators and then establish a new generalized Gronwall integral inequality with a double singularity. Finally, we use the properties and integral inequality to study the well-posedness of mild solution to the semilinear fractional stochastic differential equations. One sees that it is concise and effectiveness using the previous results to investigate the well-posedness of the mild solution.     

A Type of General Forward-Backward Stochastic Differential Equations and Applications

The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with It?o’s stochastic delayed equations as the forward equations and anticipated backward stochastic differential equations as the backward equations. The existence and uniqueness results of the general FBSDEs are obtained. In the framework of the general FBSDEs in this paper, the explicit form of the optimal control for linearquadratic stochastic optimal control problem with delay and the Nash equilibrium point for nonzero sum differential games problem with delay are obtained.     

Weak Solutions for SPDEs and Backward Doubly Stochastic Differential Equations

We give the probabilistic interpretation of the solutions in Sobolev spaces of parabolic semilinear stochastic PDEs in terms of Backward Doubly Stochastic Differential Equations. This is a generalization of the Feynman–Kac formula. We also discuss linear stochastic PDEs in which the terminal value and the coefficients are distributions.     

正倒向随机微分方程解的比较定理

讨论了正倒向随机微分方程解的比较问题.阐述了正倒向随机微分方程在随机最优控制、现代金融理论中的广泛而深刻的应用, 对于一类正倒向随机微分方程, 利用Ito公式、停时等随机分析方法,通过构造辅助正倒向随机微分方程,得到了正倒向随机微分方程解的比较定理.     

非Lipschitz系数下随机泛函微分方程适度解的存在唯一性及其渐近性态(英文)

本文主要运用Picard迭代和算子分数次幂方法,讨论了随机时滞偏微分方程适度解的存在性与唯一性,并对解的渐近性态进行了研究.这里方程的系数不满足Lipschitz条件,时滞r>0为有限的.最后给出了一个非Lipschitz条件的例子.     

Multiple Solutions to Stochastic Differential Delay Equations and a Related Comparison Theorem

In this article, we discuss the existence of multiple solutions to a one-dimensional stochastic differential delay equation with continuous drift coefficients and derive a related comparison theorem.     

The Exact Limits and Improved Decay Estimates for All Order Derivatives of Global Weak Solutions of Three Incompressible Fluid Dynamics Equations

First of all, the author accomplishes the exact limits for all order derivatives of the global weak solutions of the $n$-dimensional incompressible magnetohydrodynamics equations, the $n$-dimensional incompressible Navier-Stokes equations and the two-dimensional incompressible dissipative quasi-geostrophic equation. Secondly, by making use of the exact limits, he establishes the improved decay estimates with sharp rates for all order derivatives of the global weak solutions, for all sufficiently large $t$. The author proves these results by making use of existing ideas, existing results and several new, novel ideas.     

Explicit Traveling Wave Solutions to Nonlinear Evolution Equations

First of all, some technical tools are developed. Then the author studies explicit traveling wave solutions to nonlinear dispersive wave equations, nonlinear dissipative dispersive wave equations, nonlinear convection equations, nonlinear reaction diffusion equations and nonlinear hyperbolic equations, respectively.     

Topological Solutions of Noncommutative Stochastic Differential Equations

Abstract

A general approach is introduced to studying the properties of solutions of an arbitrary noncommutative stochastic differential equation (NSDE) in several interesting locally convex operator topologies, grouped into two main sets comprising the strong/λ^?-topologies and the weak topologies. Results concerning the existence and uniqueness of solutions in these topologies are established. The approach is based on two reformulations of the NSDE, corresponding to the two sets of topologies, and is well-suited for characterizing, both analytically and numerically, various topological features of the solutions of an NSDE.