Malliavin regularity of solutions to mixed stochastic differential equations

For a mixed stochastic differential equation driven by independent fractional Brownian motions and Wiener processes, the existence and integrability of the Malliavin derivative of the solution are established. It is also proved that the solution possesses exponential moments.     

Heat equation with a general stochastic measure on nested fractals

A stochastic heat equation on an unbounded nested fractal driven by a general stochastic measure is investigated. Existence, uniqueness and continuity of the mild solution are proved provided that the spectral dimension of the fractal is less than 4/3.     

Backward stochastic differential equations with Azéma's martingale

The aim of this paper is to study backward stochastic differential equations (BSDE) driven by Azéma's martingale and the associated deterministic functional equations. More precisely, we introduce BSDE's vs. Azéma's martingale in a general frame, then we prove that the existence of a solution to a Markovian BSDE implies the existence of a solution to a deterministic functional equation of a new type. Uniqueness for the functional equation is proved in a particular case. Then we discuss BSDE's vs. an asymmetric martingale: half Brownian motion/half Azéma's martingale, which leads to an asymmetric deterministic functional equation.     

Numerical analysis of the Cahn-Hilliard equation with a logarithmic free energy

Summary A fully discrete finite element method for the Cahn-Hilliard equation with a logarithmic free energy based on the backward Euler method is analysed. Existence and uniqueness of the numerical solution and its convergence to the solution of the continuous problem are proved. Two iterative schemes to solve the resulting algebraic problem are proposed and some numerical results in one space dimension are presented.     

Hilbert-Space-Valued Super-Brownian Motion and Related Evolution Equations

A stochastic partial differential equation in which the square root of the solution appears as the diffusion coefficient is studied as a particular case of stochastic evolution equations. Weak existence of a solution is proved by the Euler approximation scheme. The super-Brownian motion on [0, 1] is also studied as a Hilbert-space-valued equation. In this set up, weak existence, pathwise uniqueness, and positivity of solutions are obtained in any dimension d . Accepted 23 October 1998     

On large deviations for particle systems associated with spatially homogeneous Boltzmann type equations

Summary We consider a dynamical interacting particle system whose empirical distribution tends to the solution of a spatially homogeneous Boltzmann type equation, as the number of particles tends to infinity. These laws of large numbers were proved for the Maxwellian molecules by H. Tanaka [Tal] and for the hard spheres by A.S. Sznitman [Szl]. In the present paper we investigate the corresponding large deviations: the large deviation upper bound is obtained and, using convex analysis, a non-variational formulation of the rate function is given. Our results hold for Maxwellian molecules with a cutoff potential and for hard spheres.     

Solvability of backward stochastic differential equations with quadratic growth

We prove the existence of the unique solution of a general backward stochastic differential equation with quadratic growth driven by martingales. A kind of comparison theorem is also proved.     

White noise driven SPDEs with reflection

Summary We study reflected solutions of a nonlinear heat equation on the spatial interval [0, 1] with Dirichlet boundary conditions, driven by space-time white noise. The nonlinearity appears both in the drift and in the diffusion coefficient. Roughly speaking, at any point (t, x) where the solutionu(t, x) is strictly positive it obeys the equation, and at a point (t, x) whereu(t, x) is zero we add a force in order to prevent it from becoming negative. This can be viewed as an extension both of one-dimensional SDEs reflected at 0, and of deterministic variational inequalities. Existence of a minimal solution is proved. The construction uses a penalization argument, a new existence theorem for SPDEs whose coefficients depend on the past of the solution, and a comparison theorem for solutions of white-noise driven SPDEs.Partially supported by DRET under contract 901636/A000/DRET/DS/SR     

Application of the G class of functions in the parabolic class

In this paper,the application of the G class of functions in the parabolic class is considered. The regularity of the solution for the first boundary value problem of parabolic equation in divergence form is proved.     

Intermittency for stochastic partial differential equations driven by strongly inhomogeneous space–time white noises

In this paper, the main topic is to investigate the intermittent property of the one-dimensional stochastic heat equation driven by an inhomogeneous Brownian sheet, which is a noise deduced from the study of the catalytic super-Brownian motion. Under some proper conditions on the catalytic measure of the inhomogeneous Brownian sheet, we show that the solution is weakly full intermittent based on the estimates of moments of the solution. In particular, it is proved that the second moment of the solution grows at the exponential rate. The novelty is that the catalytic measure relative to the inhomogeneous noise is not required to be absolutely continuous with respect to the Lebesgue measure on $\mathbb{R}$.