Backward doubly stochastic differential equations and systems of quasilinear SPDEs

Summary We introduce a new class of backward stochastic differential equations, which allows us to produce a probabilistic representation of certain quasilinear stochastic partial differential equations, thus extending the Feynman-Kac formula for linear SPDE's.The research of this author was partially supported by DRET under contract 901636/A000/DRET/DS/SRThe research of this author was supported by a grant from the French Ministère de la Recherche et de la Technologie, which is gratefully acknowledged     

Nonlinear stochastic differential delay equations

The methods used by Adomian and his co-workers to solve linear and nonlinear stochastic differential equations will be demonstrated to be applicable to differential equations, deterministic or stochastic, involving delays (constant, time dependent, or random).     

Forward-backward stochastic differential equations and quasilinear parabolic PDEs

This paper studies, under some natural monotonicity conditions, the theory (existence and uniqueness, a priori estimate, continuous dependence on a parameter) of forward–backward stochastic differential equations and their connection with quasilinear parabolic partial differential equations. We use a purely probabilistic approach, and allow the forward equation to be degenerate. Received: 12 May 1997 / Revised version: 10 January 1999     

Nonlinear oscillations of fourth order quasilinear ordinary differential equations

We consider fourth order quasilinear ordinary differential equations. Firstly, we classify positive solutions into four types according to their asymptotic properties. Then we derive existence theorems of positive solutions belonging to each type. Using these results, we can obtain an oscillation criterion, which is our main objective. Moreover, applying such criteria for ordinary differential equations to binary elliptic systems, we establish nonexistence theorems for positive solutions.     

Moment boundedness of linear stochastic delay differential equations with distributed delay

This paper studies the moment boundedness of solutions of linear stochastic delay differential equations with distributed delay. For a linear stochastic delay differential equation, the first moment stability is known to be identical to that of the corresponding deterministic delay differential equation. However, boundedness of the second moment is complicated and depends on the stochastic terms. In this paper, the characteristic function of the equation is obtained through techniques of the Laplace transform. From the characteristic equation, sufficient conditions for the second moment to be bounded or unbounded are proposed.     

Oscillation of second order quasilinear neutral delay differential equations

In this paper, by employing Riccati transformation technique, some new sufficient conditions for the oscillation criteria are given for the second order quasilinear neutral delay differential equations with delayed argument in the form $$\bigl(r(t)\bigl|z'(t)\bigr|^{\alpha-1}z'(t)\bigr)'+q(t)f\bigl(x\bigl(\sigma(t)\bigr)\bigr)=0,\quad t\geq t_0,$$ where z(t)=x(t)?p(t)x(??(t)), 0??p(t)??p<1, lim _t???? p(t)=p ₁<1, q(t)>0, ??>0. Two examples are considered to illustrate the main results.     

The obstacle problem for quasilinear stochastic integral-partial differential equations

ABSTRACT

We prove the existence and uniqueness of solutions to a kind of quasilinear stochastic integral-partial differential equations with obstacles. Our method is based on the probabilistic interpretation of the solutions so that penalization method can be applied to a sequence of backward doubly stochastic differential equations with jumps. Relations between regular potentials and regular measures play an important role.     

Generic oscillations of second order delay differential equations with impulses

In this paper, we will study generic oscillation and generic nonoscillation of second order impulsive delay differential equations. Some necessary and sufficient conditions and sufficient conditions are obtained for both phenomena based on the root of characteristic equation.     

LINEARIZED OSCILLATIONS OF DELAY DIFFERENTIAL EQUATIONS AND APPLICATIONS

The necessary and sufficient conditions for the oscillations of every solution of the nonlinear delay equation x(t) f(x(t l)) g(x([t-k]))=0 are oblained.     

Large deviations for stochastic differential delay equations

In this work, a Freidlin–Wentzell type large deviation principle is established for stochastic differential delay equations. The result in Mohammed and Zhang (2006) [6] is improved.     

Approximate solutions of stochastic differential delay equations with Markovian switching

Recently, stochastic differential equations with Markovian switching (SDEwMS) have received a great deal of attention. In this paper, the Euler–Maruyama method is developed, one of the most powerful numerical schemes, for the stochastic differential delay equations with Markovian switching (SDDEwMS).     

Asymptotic properties of neutral stochastic differential delay equations

This paper discusses asymptotic properties, especially asymptotic stability of neutral stochastic differential delay equations. New techniques are developed to cope with the neutral delay case, and the results of this paper are more general than the author's earlier work within the delay equations     

The effect of oscillations in the dynamics of differential equations with delay

The purpose of this paper is to study the dynamic behavior of delay differential equations of the form

     

Waveform relaxation method for stochastic differential equations with constant delay

This paper extends the waveform relaxation method to stochastic differential equations with constant delay terms, gives sufficient conditions for the mean square convergence of the method. A lot of attention is paid to the rate of convergence of the method. The conditions of the superlinear convergence for a special case, which bases on the special splitting functions, are given. The theory is applied to a one-dimensional model problem and checked against results obtained by numerical experiments.     

Khasminskii-type theorems for stochastic functional differential equations with infinite delay

The classical Khasminskii-type theorem gives a powerful tool to examine the global existence of solutions for stochastic differential equations without the linear growth condition by the use of the Lyapunov functions. However, there is no such result for stochastic functional equations with infinite delay. The main aim of this paper is to establish the existence-and-uniqueness theorems of global solutions for stochastic functional differential equations with infinite delay.     

Approximate controllability of second-order impulsive stochastic differential equations with state-dependent delay

In this paper we study a kind of second-order impulsive stochastic differential equations with state-dependent delay in a real separable Hilbert space. Some sufficient conditions for the approximate controllability of this system are formulated and proved under the assumption that the corresponding deterministic linear system is approximately controllable. The results concerning the existence and approximate controllability of mild solutions have been addressed by using strongly continuous cosine families of operators and the contraction mapping principle. At last, an example is given to illustrate the theory.