Stochastic wave equation of pure jumps: Existence,uniqueness and invariant measures

In this paper, we investigate a class of nonlinear damped stochastic hyperbolic equations with jumps. The jump component considered here is described as a Poisson point process. This paper is divided into two parts. The first part deals with existence and uniqueness of global weak and strong solutions to this type of equations, based on the energy approach. The second part devotes to the existence and support of invariant measures corresponding to the weak solution semi-group, based on Markov property of the solution.     

On the stochastic quasi-linear symmetric hyperbolic system

We establish the existence and uniqueness of a local smooth solution to the Cauchy problem for a quasi-linear symmetric hyperbolic system with random noise in Rd. When the noise is multiplicative satisfying some nondegenerate conditions and the initial data are sufficiently small, we show that the solution exists globally in time in probability, i.e., the probability of global existence can be made arbitrarily close to one if the initial date are small accordingly.     

Stochastic partial differential equations in Hölder spaces

Summary We prove the existence and regularity of solutions to stochastic partial differential equations of parabolic Itô type in Hölder spaces under the usual sublinear growth and local Lipschitz conditions. Some examples are given to which our main theorems apply.The work of the first author was supported in part by the NSF grant DMS-91-01360     

Local asymptotic attractivity for nonlinear quadratic functional integral equations

In this paper, an existence result for local asymptotic attractivity of the solutions is proved for a nonlinear quadratic functional integral equation under certain growth conditions which in turn gives the existence as well as asymptotic stability of solutions. A couple of examples are provided for indicating the natural realizations of abstract theory presented in the paper.     

On strong solutions for positive definite jump diffusions

We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes affine diffusion processes and therefore extends considerably the known statements concerning Wishart processes, which have recently been extensively employed in financial mathematics.Moreover, we consider stochastic differential equations where the diffusion coefficient is given by the αth positive semidefinite power of the process itself with 0.5<α<1 and obtain existence conditions for them. In the case of a diffusion coefficient which is linear in the process we likewise get a positive definite analogue of the univariate GARCH diffusions.     

A class of function spaces and its application in solving second-order nonlinear differential equations

In this paper, we prove an existence theorem for time global monotone positive solutions of nonlinear second-order ordinary differential equations by applying the Schauder-Tikhonov fixed point theorem. This result generalizes the result of existence on a half-line given in Yin (2003) [8].     

The variational approach to Hamilton–Jacobi equations driven by a Gaussian noise

The global existence and uniqueness of viscosity solutions to the Cauchy problem for the Hamilton–Jacobi equations in R^N${\mathbb{R}}^N$ driven by additive and multiplicative Wiener processes are studied for convex Hamiltonians via variational techniques. The finite speed of propagation is also established in the multiplicative noise case for equations with Lipschitzian Hamiltonians.     

Well-posedness for Hall-magnetohydrodynamics

We prove local existence of smooth solutions for large data and global smooth solutions for small data to the incompressible, resistive, viscous or inviscid Hall-MHD model. We also show a Liouville theorem for the stationary solutions.     

Global attractors for von Karman evolutions with a nonlinear boundary dissipation

Dynamic von Karman equations with a nonlinear boundary dissipation are considered. Questions related to long time behaviour, existence and structure of global attractors are studied. It is shown that a nonlinear boundary dissipation with a large damping parameter leads to an existence of global (compact) attractor for all weak (finite energy) solutions. This result has been known in the case of full interior dissipation, but it is new in the case when the boundary damping is the main dissipative mechanism in the system. In addition, we prove that fractal dimension of the attractor is finite. The proofs depend critically on the infinite speed of propagation associated with the von Karman model considered.     

On global existence and attractivity results for nonlinear functional integral equations

In this paper two existence results concerning the global attractivity and global asymptotic attractivity for a certain functional nonlinear integral equation are proved. Our existence results include several existence as well as attractivity results obtained earlier by Banas and Dhage (2008) [1], Hu and Yan (2006) [3], Dhage (2009) [15] and Banas and Rzepka (2003) [7] as special cases under some weaker Lipschitz conditions. A measure theoretic fixed point theorem of Dhage (2008) [6] is used in formulating our main results and the characterizations of solutions are obtained in the space of functions defined, continuous and bounded on unbounded intervals.     

The Cauchy problem for the 1-D Dirac–Klein–Gordon equation

The Cauchy problem for the Dirac–Klein–Gordon equation are discussed in one space dimension. Time local and global existence for solutions with rough data, especially the solutions for Klein–Gordon equation in the critical and super critical Sobolev norm of [4] are considered. The solutions with general propagation speeds are dealt with.      

Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian Motions

The local existence and uniqueness of the solutions to backward stochastic differential equations(BSDEs, in short) driven by both fractional Brownian motions with Hurst parameter H ∈(1/2, 1) and the underlying standard Brownian motions are studied. The generalization of the It formula involving the fractional and standard Brownian motions is provided. By theory of Malliavin calculus and contraction mapping principle, the local existence and uniqueness of the solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions are obtained.     

Successive approximations of solutions to stochastic functional differential equations

In the present paper, by means of the successive approximations method, the local or global existence and uniqueness theorems for a stochastic functional differential equation of the Ito type are proved.     

One-dimensional BSDEs with finite and infinite time horizons

This paper is devoted to solving one-dimensional backward stochastic differential equations (BSDEs), where the time horizon may be finite or infinite and the assumptions on the generator g are not necessary to be uniform on t. We first show the existence of the minimal solution for this kind of BSDEs with linear growth generators. Then, we establish a general comparison theorem for solutions of this kind of BSDEs with weakly monotonic and uniformly continuous generators. Finally, we give an existence and uniqueness result for solutions of this kind of BSDEs with uniformly continuous generators.     

Viability for differential equations driven by fractional Brownian motion

In this paper we prove a viability result for multidimensional, time dependent, stochastic differential equations driven by fractional Brownian motion with Hurst parameter , using pathwise approach. The sufficient condition is also an alternative global existence result for the fractional differential equations with restrictions on the state.     

Continuity of the occupation density for anticipating stochastic integral processes

In this paper we prove the existence of a continuous local time for an anticipating process which is composed of an indefinite Skorohod integral and an absolutely continuous term.The work of P. Imkeller was done during his visit to the CRM of Barcelona.Partially supported by the DGICYT grant number PB90-0452.     

Stochastic equations of non-negative processes with jumps

We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. Under suitable conditions, the comparison properties of solutions are proved. Those results are applied to construct continuous state branching processes with immigration as strong solutions of stochastic equations.     

Backward stochastic Volterra integral equations and some related problems

Backward stochastic Volterra integral equations (BSVIEs, for short) are introduced. The existence and uniqueness of adapted solutions are established. A duality principle between linear BSVIEs and (forward) stochastic Volterra integral equations is obtained. As applications of the duality principle, a comparison theorem is proved for the adapted solutions of BSVIEs, and a Pontryagin type maximum principle is established for an optimal control of stochastic integral equations.     

Jump-diffusion processes in random environments

In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions of SDEs. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate the Markov property. To prove uniqueness we solve a general martingale problem for càdlàg processes. This result is of independent interest. Application of our results to generalized exponential Lévy model are present in the last section.     

Invariant measure for the stochastic Ginzburg Landau equation

The existence of martingale solutions and stationary solutions of stochastic Ginzburg-Landau equations under general hypothesizes on the dimension, the non linear term and the added noise is investigated. With a few more assumptions, it is established that the transition semi-group is well defined and that the stationary martingale solution yields the existence of an invariant measure. Moreover this invariant measure is shown to be unique.