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1.
Summary. The notion of bridge is introduced for systems of coupled forward–backward stochastic differential equations (FBSDEs, for short). This notion helps us to unify the method of continuation in finding adapted solutions to such FBSDEs over any finite time durations. It is proved that if two FBSDEs are linked by a bridge, then they have the same unique solvability. Consequently, by constructing appropriate bridges, we obtain several classes of uniquely solvable FBSDEs. Received: 23 April 1996 / In revised form: 10 October 1996  相似文献   

2.
In this paper we study the well-posedness and regularity of the adapted solutions to a class of linear, degenerate backward stochastic partial differential equations (BSPDE, for short). We establish new a priori estimates for the adapted solutions to BSPDEs in a general setting, based on which the existence, uniqueness, and regularity of adapted solutions are obtained. Also, we prove some comparison theorems and discuss their possible applications in mathematical finance. Received: 24 September 1997 / Revised version: 3 June 1998  相似文献   

3.
Summary. We consider the Cauchy problem for the mass density ρ of particles which diffuse in an incompressible fluid. The dynamical behaviour of ρ is modeled by a linear, uniformly parabolic differential equation containing a stochastic vector field. This vector field is interpreted as the velocity field of the fluid in a state of turbulence. Combining a contraction method with techniques from white noise analysis we prove an existence and uniqueness result for the solution ρ∈C 1,2([0,T]×ℝ d ,(S)*), which is a generalized random field. For a subclass of Cauchy problems we show that ρ actually is a classical random field, i.e. ρ(t,x) is an L 2-random variable for all time and space parameters (t,x)∈[0,T]×ℝ d . Received: 27 March 1995 / In revised form: 15 May 1997  相似文献   

4.
In [R. Buckdahn, B. Djehiche, J. Li, S. Peng, Mean-field backward stochastic differential equations. A limit approach. Ann. Probab. (2007) (in press). Available online: http://www.imstat.org/aop/future_papers.htm] the authors obtained mean-field Backward Stochastic Differential Equations (BSDE) associated with a mean-field Stochastic Differential Equation (SDE) in a natural way as a limit of a high dimensional system of forward and backward SDEs, corresponding to a large number of “particles” (or “agents”). The objective of the present paper is to deepen the investigation of such mean-field BSDEs by studying them in a more general framework, with general coefficient, and to discuss comparison results for them. In a second step we are interested in Partial Differential Equations (PDE) whose solutions can be stochastically interpreted in terms of mean-field BSDEs. For this we study a mean-field BSDE in a Markovian framework, associated with a McKean–Vlasov forward equation. By combining classical BSDE methods, in particular that of “backward semigroups” introduced by Peng [S. Peng, J. Yan, S. Peng, S. Fang, L. Wu (Eds.), in: BSDE and Stochastic Optimizations; Topics in Stochastic Analysis, Science Press, Beijing (1997) (Chapter 2) (in Chinese)], with specific arguments for mean-field BSDEs, we prove that this mean-field BSDE gives the viscosity solution of a nonlocal PDE. The uniqueness of this viscosity solution is obtained for the space of continuous functions with polynomial growth. With the help of an example it is shown that for the nonlocal PDEs associated with mean-field BSDEs one cannot expect to have uniqueness in a larger space of continuous functions.  相似文献   

5.
Ito's rule is established for the diffusion processes on the graphs. We also consider a family of diffusions processes with small noise on a graph. Large deviation principle is proved for these diffusion processes and their local times at the vertices. Received: 12 February 1997 / Revised version: 3 March 1999  相似文献   

6.
Summary.   We address the following problem from the intersection of dynamical systems and stochastic analysis: Two SDE dx t = ∑ j =0 m f j (x t )∘dW t j and dx t =∑ j =0 m g j (x t )∘dW t j in ℝ d with smooth coefficients satisfying f j (0)=g j (0)=0 are said to be smoothly equivalent if there is a smooth random diffeomorphism (coordinate transformation) h(ω) with h(ω,0)=0 and Dh(ω,0)=id which conjugates the corresponding local flows,
where θ t ω(s)=ω(t+s)−ω(t) is the (ergodic) shift on the canonical Wiener space. The normal form problem for SDE consists in finding the “simplest possible” member in the equivalence class of a given SDE, in particular in giving conditions under which it can be linearized (g j (x)=Df j (0)x). We develop a mathematically rigorous normal form theory for SDE which justifies the engineering and physics literature on that problem. It is based on the multiplicative ergodic theorem and uses a uniform (with respect to a spatial parameter) Stratonovich calculus which allows the handling of non-adapted initial values and coefficients in the stochastic version of the cohomological equation. Our main result (Theorem 3.2) is that an SDE is (formally) equivalent to its linearization if the latter is nonresonant. As a by-product, we prove a general theorem on the existence of a stationary solution of an anticipative affine SDE. The study of the Duffing-van der Pol oscillator with small noise concludes the paper. Received: 19 August 1997 / In revised form: 15 December 1997  相似文献   

7.
We extend the well posedness results for second order backward stochastic differential equations introduced by Soner, Touzi and Zhang (2012)  [31] to the case of a bounded terminal condition and a generator with quadratic growth in the zz variable. More precisely, we obtain uniqueness through a representation of the solution inspired by stochastic control theory, and we obtain two existence results using two different methods. In particular, we obtain the existence of the simplest purely quadratic 2BSDEs through the classical exponential change, which allows us to introduce a quasi-sure version of the entropic risk measure. As an application, we also study robust risk-sensitive control problems. Finally, we prove a Feynman–Kac formula and a probabilistic representation for fully non-linear PDEs in this setting.  相似文献   

8.
We study solutions of first order partial differential relations DuK, where u:Ω⊂ℝ n →ℝ m is a Lipschitz map and K is a bounded set in m×n matrices, and extend Gromov’s theory of convex integration in two ways. First, we allow for additional constraints on the minors of Du and second we replace Gromov’s P-convex hull by the (functional) rank-one convex hull. The latter can be much larger than the former and this has important consequences for the existence of ‘wild’ solutions to elliptic systems. Our work was originally motivated by questions in the analysis of crystal microstructure and we establish the existence of a wide class of solutions to the two-well problem in the theory of martensite. Received April 23, 1999 / final version received September 11, 1999  相似文献   

9.
An evaluation of a stochastic oscillatory integral with quadratic phase function and analytic amplitude function is given by using solutions of Jacobi equations. The evaluation will be obtained as an application of real change of variable formulas and holomorphic prolongations of analytic functions on a real Wiener space. On the way we shall see how a Jacobi equation appears in the evaluation by using the Malliavin calculus. Received: 27 July 1998 / Revised version: 14 October 1998  相似文献   

10.
In a recent paper, Soner, Touzi and Zhang (2012) [19] have introduced a notion of second order backward stochastic differential equations (2BSDEs), which are naturally linked to a class of fully non-linear PDEs. They proved existence and uniqueness for a generator which is uniformly Lipschitz in the variables yy and zz. The aim of this paper is to extend these results to the case of a generator satisfying a monotonicity condition in yy. More precisely, we prove existence and uniqueness for 2BSDEs with a generator which is Lipschitz in zz and uniformly continuous with linear growth in yy. Moreover, we emphasize throughout the paper the major difficulties and differences due to the 2BSDE framework.  相似文献   

11.
Summary. We prove numerical stability of a class of piecewise polynomial collocation methods on nonuniform meshes for computing asymptotically stable and unstable periodic solutions of the linear delay differential equation by a (periodic) boundary value approach. This equation arises, e.g., in the study of the numerical stability of collocation methods for computing periodic solutions of nonlinear delay equations. We obtain convergence results for the standard collocation algorithm and for two variants. In particular, estimates of the difference between the collocation solution and the true solution are derived. For the standard collocation scheme the convergence results are “unconditional”, that is, they do not require mesh-ratio restrictions. Numerical results that support the theoretical findings are also given. Received June 9, 2000 / Revised version received December 14, 2000 / Published online October 17, 2001  相似文献   

12.
For linear partial differential equations, some inverse source problems are treated statistically based on nonparametric estimation ideas. By observing the solution in a small Gaussian white noise, the kernel type of estimators is used to estimate the unknown source function and its partial derivatives.. It is proved that such estimators are consistent as the noise intensity tends to zero. Depending on the principal part of the differential operator, the optimal asymptotic rate of convergence is ascertained within a wide class of risk functions in a minimax sense. Received: 5 May 1997 / Revised version: 18 June 1998  相似文献   

13.
In this paper, we study stochastic functional differential equations (sfde's) whose solutions are constrained to live on a smooth compact Riemannian manifold. We prove the existence and uniqueness of solutions to such sfde's. We consider examples of geometrical sfde's and establish the smooth dependence of the solution on finite-dimensional parameters. Received: 6 July 1999 / Revised version: 19 April 2000 /?Published online: 14 June 2001  相似文献   

14.
We consider the flow of a stochastic differential equation on d-dimensional Euclidean space. We show that if the Lie algebra generated by its diffusion vector fields is finite dimensional and solvable, then the flow is conjugate to the flow of a non-autonomous random differential equation, i.e. one can be transformed into the other via a random diffeomorphism of d-dimensional Euclidean space. Viewing a stochastic differential equation in this form which appears closer to the setting of ergodic theory, can be an advantage when dealing with asymptotic properties of the system. To illustrate this, we give sufficient criteria for the existence of global random attractors in terms of the random differential equation, which are applied in the case of the Duffing-van der Pol oscillator with two independent sources of noise. Received: 25 May 1999 / Revised version: 19 October 2000 / Published online: 26 April 2001  相似文献   

15.
We have obtained the following limit theorem: if a sequence of RCLL supersolutions of a backward stochastic differential equations (BSDE) converges monotonically up to (y t ) with E[sup t |y t |2] < ∞, then (y t ) itself is a RCLL supersolution of the same BSDE (Theorem 2.4 and 3.6). We apply this result to the following two problems: 1) nonlinear Doob–Meyer Decomposition Theorem. 2) the smallest supersolution of a BSDE with constraints on the solution (y, z). The constraints may be non convex with respect to (y, z) and may be only measurable with respect to the time variable t. this result may be applied to the pricing of hedging contingent claims with constrained portfolios and/or wealth processes. Received: 3 June 1997 / Revised version: 18 January 1998  相似文献   

16.
17.
A local strict comparison theorem and some converse comparison theorems are proved for reflected backward stochastic differential equations under suitable conditions.  相似文献   

18.
Bilinear estimates in BMO and the Navier-Stokes equations   总被引:1,自引:0,他引:1  
We prove that the BMO norm of the velocity and the vorticity controls the blow-up phenomena of smooth solutions to the Navier-Stokes equations. Our result is applied to the criterion on uniqueness and regularity of weak solutions in the marginal class. Received February 15, 1999; in final form October 11, 1999 / Published online July 3, 2000  相似文献   

19.
Summary. Stochastic Automata Networks (SANs) are widely used in modeling communication systems, manufacturing systems and computer systems. The SAN approach gives a more compact and efficient representation of the network when compared to the stochastic Petri nets approach. To find the steady state distribution of SANs, it requires solutions of linear systems involving the generator matrices of the SANs. Very often, direct methods such as the LU decomposition are inefficient because of the huge size of the generator matrices. An efficient algorithm should make use of the structure of the matrices. Iterative methods such as the conjugate gradient methods are possible choices. However, their convergence rates are slow in general and preconditioning is required. We note that the MILU and MINV based preconditioners are not appropriate because of their expensive construction cost. In this paper, we consider preconditioners obtained by circulant approximations of SANs. They have low construction cost and can be inverted efficiently. We prove that if only one of the automata is large in size compared to the others, then the preconditioned system of the normal equations will converge very fast. Numerical results for three different SANs solved by CGS are given to illustrate the fast convergence of our method. Received March 17, 1998 / Revised version received August 16, 1999 / Published online July 12, 2000  相似文献   

20.
Summary. Let P be a block p-cyclic stochastic matrix with stationary distribution , which is partitioned conformally in the form . This paper establishes the relative error bound for when each block of P gets a small relative perturbation. Received May 10, 1997 / Revised version October 21, 1997 / Published online November 17, 1999  相似文献   

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