Existence of densities of solutions of stochastic differential equations by Malliavin calculus

I considered if solutions of stochastic differential equations have their density or not when the coefficients are not Lipschitz continuous. However, when stochastic differential equations whose coefficients are not Lipschitz continuous, the solutions would not belong to Sobolev space in general. So, I prepared the class Vh which is larger than Sobolev space, and considered the relation between absolute continuity of random variables and the class Vh. The relation is associated to a theorem of N. Bouleau and F. Hirsch. Moreover, I got a sufficient condition for a solution of stochastic differential equation to belong to the class Vh, and showed that solutions of stochastic differential equations have their densities in a special case by using the class Vh.     

The local regularity for strong solutions of the Hessian quotient equation

By means of the Reilly formula and the Alexandrov maximum principle, we obtain the local C1,1 estimates of the W2,p strong solutions to the Hessian quotient equations for p sufficiently large, and then prove that these solutions are smooth. There are counterexamples to show that the integral exponent p is optimal in some cases. We modify partially the known result in the Hessian case, and extend the regularity result in the special Lagrangian case to the Hessian quotient case.     

Gain of regularity for the KP-I equation

In this paper we study the smoothness properties of solutions to the KP-I equation. We show that the equation's dispersive nature leads to a gain in regularity for the solution. In particular, if the initial data ? possesses certain regularity and sufficient decay as x→∞, then the solution u(t) will be smoother than ? for 0<t?T where T is the existence time of the solution.     

Adjoint equation and Lyapunov regularity for linear stochastic differential algebraic equations of index 1

We introduce a concept of adjoint equation and Lyapunov regularity of a stochastic differential algebraic Equation (SDAE) of index 1. The notion of adjoint SDAE is introduced in a similar way as in the deterministic differential algebraic equation case. We prove a multiplicative ergodic theorem for the adjoint SDAE and the adjoint Lyapunov spectrum. Employing the notion of adjoint equation and Lyapunov spectrum of an SDAE, we are able to define Lyapunov regularity of SDAEs. Some properties and an example of a metal oxide semiconductor field-effect transistor ring oscillator under thermal noise are discussed.     

Generalized solutions of a stochastic partial differential equation

We discuss the Cauchy problem of a certain stochastic parabolic partial differential equation arising in the nonlinear filtering theory, where the initial data and the nonhomogeneous noise term of the equation are given by Schwartz distributions. The generalized (distributional) solution is represented by a partial (conditional) generalized expectation ofT(t)° _0,t ^–1 , whereT(t) is a stochastic process with values in distributions and _s,t is a stochastic flow generated by a certain stochastic differential equation. The representation is used for getting estimates of the solution with respect to Sobolev norms.Further, by applying the partial Malliavin calculus of Kusuoka-Stroock, we show that any generalized solution is aC -function under a condition similar to Hörmander's hypoellipticity condition.     

Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions

In this article, we prove integration by parts (IBP) formulas concerning maxima of solutions to some stochastic differential equations (SDEs). We will deal with three types of maxima. First, we consider discrete time maximum, and then continuous time maximum in the case of one-dimensional SDEs. Finally, we deal with the maximum of the components of a solution to multi-dimensional SDEs. Applications to study their probability density functions by means of the IBP formulas are also discussed.     

Stochastic flows of SDEs with irregular coefficients and stochastic transport equations

In this article we study (possibly degenerate) stochastic differential equations (SDEs) with irregular (or discontinuous) coefficients, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere stochastic (invertible) flow associated with the SDE in the sense of Lebesgue measure. In the case of constant diffusions and BV drifts, we obtain such a result by studying the related stochastic transport equation. In the case of non-constant diffusions and Sobolev drifts, we use a direct method. In particular, we extend the recent results on ODEs with non-smooth vector fields to SDEs.     

Properties of the density for a three-dimensional stochastic wave equation

We consider a stochastic wave equation in space dimension three driven by a noise white in time and with an absolutely continuous correlation measure given by the product of a smooth function and a Riesz kernel. Let pt,x(y) be the density of the law of the solution u(t,x) of such an equation at points (t,x)∈]0,T]×R³. We prove that the mapping (t,x)?pt,x(y) owns the same regularity as the sample paths of the process {u(t,x),(t,x)∈]0,T]×R³} established in [R.C. Dalang, M. Sanz-Solé, Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension three, Mem. Amer. Math. Soc., in press]. The proof relies on Malliavin calculus and more explicitly, the integration by parts formula of [S. Watanabe, Lectures on Stochastic Differential Equations and Malliavin Calculus, Tata Inst. Fund. Res./Springer-Verlag, Bombay, 1984] and estimates derived from it.     

On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients

In this paper we introduce a new technique to construct unique strong solutions of SDE's with singular coefficients driven by certain Lévy processes. Our method which is based on Malliavin calculus does not rely on a pathwise uniqueness argument. Furthermore, the approach, which provides a direct construction principle, grants the additional insight that the obtained solutions are Malliavin differentiable.     

Partial regularity of finite Morse index solutions to the Lane-Emden equation

We prove regularity and partial regularity results for finite Morse index solutions u∈H¹(Ω)∩Lp(Ω) to the Lane-Emden equation −Δu=|u|^p−1u in Ω.     

Continuous source in tidal flow: A numerical study of the transport equation

A detailed comparative numerical study of a continuous source discharging in a tidal flow has been performed. The advective term in the one-dimensional transport equation consists of a constant freshwater velocity and an isotropic oscillating component. Various finite element solutions are investigated. Compared to the analytical solution of the dynamic steady state concentration, the numerical results for typical estuarine conditions clearly indicate the superiority of the collocation method with Hermite basis functions. An extended Fourier series analysis that accounts for the source condition is developed to explain the numerical behaviour of the different schemes.     

�����������״̬���޴η��صij������

本文给出非齐次马氏链状态无限次返回的充分条件, 在此条件下, 以概率1给出了非齐次 马氏链转移概率的强大数定律     

Sharp regularity estimates for solutions of the wave equation and their traces with prescribed neumann data

In this paper the regularity properties of second-order hyperbolic equations defined over a rectangular domain Θ with boundary Γ under the action of a Neumann boundary forcing term inL ² (0,T;H ^1/4 (Γ)) are investigated. With this given boundary input, we prove by a cosine operator/functional analytical approach that not only is the solution of the wave equation and its derivatives continuous in time, with their pointwise values in a basic energy space (in the interior of Ω), but also that a trace regularity thereof can be assigned for the solution’s time derivative in an appropriate (negative) Sobolev space. This new-found information on the solution and its traces is crucial in handling a mathematical model derived for a particular fluid/structure interaction system.     

Asymptotic regularity and attractors of the reaction-diffusion equation with nonlinear boundary condition

We consider the dynamical behavior of the reaction-diffusion equation with nonlinear boundary condition for both autonomous and non-autonomous cases. For the autonomous case, under the assumption that the internal nonlinear term f is dissipative and the boundary nonlinear term g is non-dissipative, the asymptotic regularity of solutions is proved. For the non-autonomous case, we obtain the existence of a compact uniform attractor in H¹(Ω) with dissipative internal and boundary nonlinearities.     

Well‐posedness and unique continuation property for the generalized Ostrovsky equation with low regularity

In this paper, we investigate the initial value problem (IVP henceforth) associated with the generalized Ostrovsky equation as follows: with initial data in the modified Sobolev space . Using Fourier restriction norm method, Tao's [k,Z]?multiplier method and the contraction mapping principle, we show that the local well‐posedness is established for the initial data with (k = 2) and is established for the initial data with (k = 3). Using these results and conservation laws, we also prove that the IVP is globally well‐posed for the initial data with s = 0(k = 2,3). Finally, using complex variables technique and Paley–Wiener theorem, we prove the unique continuation property for the IVP benefited from the ideas of Zhang ZY. et al., On the unique continuation property for the modified Kawahara equation, Advances in Mathematics (China), http://advmath.pku.edu.cn/CN/10.11845/sxjz.2014078b . Copyright © 2015 John Wiley & Sons, Ltd.     

Low regularity solutions,blowup, and global existence for a generalization of Camassa–Holm‐type equation

We consider a generalization of Camassa–Holm‐type equation including the Camassa–Holm equation and the Novikov equation. We mainly establish the existence of solutions in lower order Sobolev space with . Then, we present a precise blowup scenario and give a global existence result of strong solutions. Copyright © 2013 John Wiley & Sons, Ltd.