Infinite horizon backward doubly stochastic differential equations with non-degenerate terminal functions and their stationary property

In this paper we consider infinite horizon backward doubly stochastic differential equations (BDSDEs for short) coupled with forward stochastic differential equations, whose terminal functions are non-degenerate. For such kind of BDSDEs, we study the existence and uniqueness of their solutions taking values in weighted L ^p (dx)?L ²(dx) space (p ≥ 2), and obtain the stationary property for the solutions.     

Mean-square stability of stochastic age-dependent delay population systems with jumps

In this paper, we present the compensated stochastic θ method for stochastic age-dependent delay population systems (SADDPSs) with Poisson jumps. The definition of mean-square stability of the numerical solution is given and a sufficient condition for mean-square stability of the numerical solution is derived. It is shown that the compensated stochastic θ method inherits stability property of the numerical solutions. Finally, the theoretical results are also confirmed by a numerical experiment.     

随机微分方程分步单支theta方法的稳定性(英文)

本文研究随机微分方程单支theta方法的均方稳定性.首先,对线性检验方程,当0≤θ<1时,分步单支theta方法在一定的步长限制下能保持原系统的均方稳定性,当θ=1时,方法按任意步长都能保持原系统的稳定性.其次,对满足单边Lipschitz条件的非线性随机微分方程,当1/2<θ0<θ<1时,方法能保持原系统的均方指数稳定性,但对步长有限制,如果θ=1,对步长限制消失.     

B-convergence of split-step one-leg theta methods for stochastic differential equations

For stochastic differential equations (SDEs) with a superlinearly growing and globally one-sided Lipschitz continuous drift coefficient, the explicit schemes fail to converge strongly to the exact solution (see, Hutzenthaler, Jentzen and Kloeden in Proc. R. Soc. A, rspa.2010.0348v1?Crspa.2010.0348, 2010). In this article a class of implicit methods, called split-step one-leg theta methods (SSOLTM), are introduced and are shown to be mean-square convergent for such SDEs if the method parameter satisfies $\frac{1}{2}\leq\theta \leq1$ . This result gives an extension of B-convergence from the theta method for deterministic ordinary differential equations (ODEs) to SSOLTM for SDEs. Furthermore, the optimal rate of convergence can be recovered if the drift coefficient behaves like a polynomial. Finally, numerical experiments are included to support our assertions.     

Exponential mean square stability of numerical methods for systems of stochastic differential equations

This paper is concerned with exponential mean square stability of the classical stochastic theta method and the so called split-step theta method for stochastic systems. First, we consider linear autonomous systems. Under a sufficient and necessary condition for exponential mean square stability of the exact solution, it is proved that the two classes of theta methods with θ≥0.5$\theta \ge 0.5$ are exponentially mean square stable for all positive step sizes and the methods with θ<0.5$\theta <0.5$ are stable for some small step sizes. Then, we study the stability of the methods for nonlinear non-autonomous systems. Under a coupled condition on the drift and diffusion coefficients, it is proved that the split-step theta method with θ>0.5$\theta >0.5$ still unconditionally preserves the exponential mean square stability of the underlying systems, but the stochastic theta method does not have this property. Finally, we consider stochastic differential equations with jumps. Some similar results are derived.     

Group-Theoretical Analysis of Variable Coefficient Nonlinear Telegraph Equations

Given a class \(\mathcal{F(\theta)}\) of differential equations with arbitrary element θ, the problems of symmetry group, nonclassical symmetry and conservation law classifications are to determine for each member \(f\in\mathcal{F(\theta)}\) the structure of its Lie symmetry group G _f , conditional symmetry Q _f and conservation law \(\mathop {\rm CL}\nolimits _{f}\) under some proper equivalence transformations groups.In this paper, an extensive investigation of these three aspects is carried out for the class of variable coefficient (1+1)-dimensional nonlinear telegraph equations with coefficients depending on the space variable f(x)u _tt =(g(x)H(u)u _x ) _x +h(x)K(u)u _x . The usual equivalence group and the extended one including transformations which are nonlocal with respect to arbitrary elements are first constructed. Then using the technique of variable gauges of arbitrary elements under equivalence transformations, we restrict ourselves to the symmetry group classifications for the equations with two different gauges g=1 and g=h. In order to get the ultimate classification, the method of furcate split is also used and consequently a number of new interesting nonlinear invariant models which have non-trivial invariance algebra are obtained. As an application, exact solutions for some equations which are singled out from the classification results are constructed by the classical method of Lie reduction.The classification of nonclassical symmetries for the classes of differential equations with gauge g=1 is discussed within the framework of singular reduction operator. This enabled to obtain some exact solutions of the nonlinear telegraph equation which are invariant under certain conditional symmetries.Using the direct method, we also carry out two classifications of local conservation laws up to equivalence relations generated by both usual and extended equivalence groups. Equivalence with respect to these groups and correct choice of gauge coefficients of equations play the major role for simple and clear formulation of the final results.     

Numerical simulations for <Emphasis Type="Italic">G</Emphasis>-Brownian motion

This paper is concerned with numerical simulations for the GBrownian motion (defined by S. Peng in Stochastic Analysis and Applications, 2007, 541–567). By the definition of the G-normal distribution, we first show that the G-Brownian motions can be simulated by solving a certain kind of Hamilton-Jacobi-Bellman (HJB) equations. Then, some finite difference methods are designed for the corresponding HJB equations. Numerical simulation results of the G-normal distribution, the G-Brownian motion, and the corresponding quadratic variation process are provided, which characterize basic properties of the G-Brownian motion. We believe that the algorithms in this work serve as a fundamental tool for future studies, e.g., for solving stochastic differential equations (SDEs)/stochastic partial differential equations (SPDEs) driven by the G-Brownian motions.     

Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control

We consider the numerical solution of the generalized Lyapunov and Stein equations in \(\mathbb {R}^{n}\), arising respectively from stochastic optimal control in continuous- and discrete-time. Generalizing the Smith method, our algorithms converge quadratically and have an O(n³) computational complexity per iteration and an O(n²) memory requirement. For large-scale problems, when the relevant matrix operators are “sparse”, our algorithm for generalized Stein (or Lyapunov) equations may achieve the complexity and memory requirement of O(n) (or similar to that of the solution of the linear systems associated with the sparse matrix operators). These efficient algorithms can be applied to Newton’s method for the solution of the rational Riccati equations. This contrasts favourably with the naive Newton algorithms of O(n⁶) complexity or the slower modified Newton’s methods of O(n³) complexity. The convergence and error analysis will be considered and numerical examples provided.     

Multiplicative stochastic systems: Optimization and analysis

We consider the H ₂/H _∞-optimal control problem for a dynamical system defined by a linear stochastic Itô equation whose drift and diffusion coefficients linearly depend on the state vector, the control signal, and the external disturbance. The optimization is carried out under the a priori requirement of maximum possible damping of the harmful influence of external disturbances on the system operation. We present theorems on the solvability of matrix Riccati differential equations to which the original optimization problem is reduced.     

Positive invertibility of matrices and stability of Itô delay differential equations

We study the global exponential p-stability (1 ≤ p < ∞) of systems of Itô nonlinear delay differential equations of a special form using the theory of positively invertible matrices. To this end, we apply a method developed by N.V. Azbelev and his students for the stability analysis of deterministic functional-differential equations. We obtain sufficient conditions for the global exponential 2p-stability (1 ≤ p < ∞) of systems of Itô nonlinear delay differential equations in terms of the positive invertibility of a matrix constructed from the original system. We verify these conditions for specific equations.     

Exponential Ergodicity for SDEs Driven by <Emphasis Type="Italic">α</Emphasis>-Stable Processes with Markovian Switching in Wasserstein Distances

In this paper, we consider the ergodicity for stochastic differential equations driven by symmetric α-stable processes with Markovian switching in Wasserstein distances. Some sufficient conditions for the exponential ergodicity are presented by using the theory of M-matrix, coupling method and Lyapunov function method. As applications, the Ornstein-Uhlenbeck type process and some other processes driven by symmetric α-stable processes with Markovian switching are presented to illustrate our results. In addition, under some conditions, an explicit expression of the invariant measure for Ornstein-Uhlenbeck process is given.     

New class of hybrid BDF methods for the computation of numerical solutions of IVPs

A new class of hybrid BDF-like methods is presented for solving systems of ordinary differential equations (ODEs) by using the second derivative of the solution in the stage equation of class 2 + 1hybrid BDF-like methods to improve the order and stability regions of these methods. An off-step point, together with two step points, has been used in the first derivative of the solution, and the stability domains of the new methods have been obtained by showing that these methods are A-stable for order p, p =?3,4,5,6,7and A(α)-stable for order p, 8 ≤ p ≤?14. The numerical results are also given for four test problems by using variable and fixed step-size implementations.     

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.     

The method of lines for hyperbolic stochastic functional partial differential equations

We apply an approximation by means of the method of lines for hyperbolic stochastic functional partial differential equations driven by one-dimensional Brownian motion. We study the stability with respect to small L²-perturbations.     

Nonlinear elliptic systems and mean-field games

We consider a class of quasilinear elliptic systems of PDEs consisting of N Hamilton–Jacobi–Bellman equations coupled with N divergence form equations, generalising to N > 1 populations the PDEs for stationary Mean-Field Games first proposed by Lasry and Lions. We provide a wide range of sufficient conditions for the existence of solutions to these systems: either the Hamiltonians are required to behave at most linearly for large gradients, as it occurs when the controls of the agents are bounded, or they must grow faster than linearly and not oscillate too much in the space variables, in a suitable sense. We show the connection of these systems with the classical strongly coupled systems of Hamilton–Jacobi–Bellman equations of the theory of N-person stochastic differential games studied by Bensoussan and Frehse. We also prove the existence of Nash equilibria in feedback form for some N-person games.     

Solution method for boundary value problems for ordinary differential equations on complexes (Graphs)

For second-order ordinary differential equations in a domain that is a finite set of intersecting segments of the axis O _x , we consider problems with local and nonlocal boundary conditions. A system of intersecting segments is referred to as a complex, whose topological structure is described by a graph. For the integration of differential equations, we suggest an exact difference scheme, which reduces the solution of the problem to a system of second-order difference equations on the segments of the complex with boundary conditions and matching conditions at the graph vertices. Depending on the topological structure of the graph, we consider two algorithms for solving systems of linear algebraic equations. A detailed justification of the method is presented.     

Stability of linear impulsive Itô differential equations with bounded delays

We use the method of “model” equations to study the exponential p-stability (2 ≤ p < ∞) of the trivial solution with respect to the initial function for a linear impulsive system of Itô differential equations with bounded delays. The specific form of the equation and the method used permit one to analyze the stability of solutions starting from an arbitrary point of the half-line [0,∞) and obtain constructive sufficient conditions in terms of the parameters of the equations to be studied.     

Sufficient condition for the hyperbolicity of mappings of the torus

We consider mappings of the m-dimensional torus T^m (m ≥ 2) that are C ¹-perturbations of linear hyperbolic automorphisms. We obtain sufficient conditions for such mappings to be one-to-one hyperbolic mappings (i.e., Anosov diffeomorphisms). These results are used to study the blue-sky catastrophe related to the vanishing of a saddle-node invariant torus with a quasiperiodic winding in a system of ordinary differential equations.