Invariance of stochastic control systems with deterministic arguments

We prove that a closed set K of a finite-dimensional space is invariant under the stochastic control system

dX=b(X,v(t))dt+σ(X,v(t))dW(t),v(t)∈U,     

Stochastic invariance of closed sets with non-Lipschitz coefficients

This paper provides a new characterization of the stochastic invariance of a closed subset of ${\mathbb{R}}^d$ with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can fail to be differentiable: we only assume that the covariance matrix is. In particular, our result can be applied to construct affine and polynomial diffusions on any arbitrary closed set.     

Perfect cocycles through stochastic differential equations

Summary We prove that if is a random dynamical system (cocycle) for whicht(t, )x is a semimartingale, then it is generated by a stochastic differential equation driven by a vector field valued semimartingale with stationary increment (helix), and conversely. This relation is succinctly expressed as semimartingale cocycle=exp(semimartingale helix). To implement it we lift stochastic calculus from the traditional one-sided time to two-sided timeT= and make this consistent with ergodic theory. We also prove a general theorem on the perfection of a crude cocycle, thus solving a problem which was open for more than ten years.This article was processed by the author using the latex style filepljour Im from Springer-Verlag.     

Stability of infinite dimensional stochastic evolution equations with memory and Markovian jumps

A strong solutions approximation approach for mild solutions of stochastic functional differential equations with Markovian switching driven by Lévy martingales in Hilbert spaces is considered. The Razumikhin–Lyapunov type function methods and comparison principles are studied in pursuit of sufficient conditions for the moment exponential stability and almost sure exponential stability of equations in which we are interested. The results of [A.V. Svishchuk, Yu.I. Kazmerchuk, Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance, Theor. Probab. Math. Statist. 64 (2002) 167–178] are generalized and improved as a special case of our theory.     

Global random attractors are uniquely determined by attracting deterministic compact sets

It is shown that for continuous dynamical systems an analogue of the Poincaré recurrence theorem holds for Ω-limit sets. A similar result is proved for Ω-limit sets of random dynamical systems (RDS) on Polish spaces. This is used to derive that a random set which attracts every (deterministic) compact set has full measure with respect to every invariant probability measure for theRDS. Then we show that a random attractor coincides with the Ω-limit set of a (nonrandom) compact set with probability arbitrarily close to one, and even almost surely in case the base flow is ergodic. This is used to derive uniqueness of attractors, even in case the base flow is not ergodic. Entrata in Redazione il 10 marzo 1997.     

Razumikhin-type theorems on general decay stability of stochastic functional differential equations with infinite delay

To the best of the authors’ knowledge, there are no results based on the so-called Razumikhin technique via a general decay stability, for any type of stochastic differential equations. In the present paper, the Razumikhin approach is applied to the study of both pth moment and almost sure stability on a general decay for stochastic functional differential equations with infinite delay. The obtained results are extended to stochastic differential equations with infinite delay and distributed infinite delay. Some comments on how the considered approach could be extended to stochastic functional differential equations with finite delay are also given. An example is presented to illustrate the usefulness of the theory.     

Infinitesimal methods in control theory: Deterministic and stochastic

In Part I, methods of nonstandard analysis are applied to deterministic control theory, extending earlier work of the author. Results established include compactness of relaxed controls, continuity of solution and cost as functions of the controls, and existence of optimal controls. In Part II, the methods are extended to obtain similar results for partially observed stochastic control. Systems considered take the form:where the feedback control u depends on information from a digital read-out of the observation process y. The noise in the state equation is controlled along with the drift. Similar methods are applied to a Markov system in the final section.     

Simplified order 4.0 weak Taylor schemes for additive noise

Following Kloeden and Platen [P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin, 1992] Taylor schemes are considered here as the starting point to obtain simplified Taylor schemes replacing the multiple integrals by simpler variables. The conditions that a group of variables has to fulfill so that the new scheme reaches weak-order 4.0 in the additive noise case are given explicitly, as well as the way to find such groups. For a particular selection, a pair of stochastic schemes with order 4.0 in the weak sense, correcting the one proposed in [P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin, 1992], is obtained.     

A Zubov’s method for stochastic differential equations

We consider a stochastic differential equation with an asymptotically stable equilibrium point. We show that the domain of attraction of the equilibrium, i.e. the set of points which are attracted with positive probability to it, can be characterized by the solution of a suitable partial differential equation.     

The equivalence between uniqueness and continuous dependence of solutions for FBSDEs with continuous monotone coefficients

In this paper we study one kind of coupled forward-backward stochastic differential equation. With some particular choice for the coefficients, if one of them satisfies a uniform growth condition and they are accordingly monotone, then we obtain the equivalence between the uniqueness of solution and its continuous dependence on x and ξ, where x is the initial value of the forward component and ξ is the terminal value of the backward component.     

On the multi-dimensional portfolio optimization with stochastic volatility

In a recent paper by Mnif [18], a solution to the portfolio optimization with stochastic volatility and constraints problem has been proposed, in which most of the model parameters are time-homogeneous. However, there are cases where time-dependent parameters are needed, such as in the calibration of financial models. Therefore, the purpose of this paper is to generalize the work of Mnif [18] to the time-inhomogeneous case. We consider a time-dependent exponential utility function of which the objective is to maximize the expected utility from the investor’s terminal wealth. The derived Hamilton-Jacobi-Bellman(HJB) equation, is highly nonlinear and is reduced to a semilinear partial differential equation (PDE) by a suitable transformation. The existence of a smooth solution is proved and a verification theorem presented. A multi-asset stochastic volatility model with jumps and endowed with time-dependent parameters is illustrated.     

Random relaxed controls and partially observed stochastic systems

We introduce a class of generalized controls called random relaxed controls, and show that under quite general conditions, a partially observed, controlled diffusion will have an optimal random relaxed control whose cost equals the infimum over the costs of all ordinary controls. We also show that the optimal admissible control can be approximated arbitrarily well by very simple, ordinary controls. The proofs are based on a close analysis of the standard parts of nonstandard controls.     

Normal forms for stochastic differential equations

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,

Measurability of semimartingale characteristics with respect to the probability law

Given a càdlàg process X$X$ on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let _Psem${\mathfrak{P}}_{sem}$ be the set of all probability measures P$P$ under which X$X$ is a semimartingale. We construct processes (B^P,C,ν^P)$(B^P,C,{\nu }^P)$ which are jointly measurable in time, space, and the probability law P$P$, and are versions of the semimartingale characteristics of X$X$ under P$P$ for each P∈_Psem$P\in {\mathfrak{P}}_{sem}$. This result gives a general and unifying answer to measurability questions that arise in the context of quasi-sure analysis and stochastic control under the weak formulation.     

An application of proof mining to nonlinear iterations

In this paper we apply methods of proof mining to obtain a highly uniform effective rate of asymptotic regularity for the Ishikawa iteration associated with nonexpansive self-mappings of convex subsets of a class of uniformly convex geodesic spaces. Moreover, we show that these results are guaranteed by a combination of logical metatheorems for classical and semi-intuitionistic systems.     

Stochastic Lotka-Volterra system with infinite delay

This paper investigates a stochastic Lotka-Volterra system with infinite delay, whose initial data comes from an admissible Banach space C_r. We show that, under a simple hypothesis on the environmental noise, the stochastic Lotka-Volterra system with infinite delay has a unique global positive solution, and this positive solution will be asymptotic bounded. The asymptotic pathwise of the solution is also estimated by the exponential martingale inequality. Finally, two examples with their numerical simulations are provided to illustrate our result.     

Discretization and simulation of stochastic differential equations

We discuss both pathwise and mean-square convergence of several approximation schemes to stochastic differential equations. We then estimate the corresponding speeds of convergence, the error being either the mean square error or the error induced by the approximation on the value of the expectation of a functional of the solution. We finally give and comment on a few comparative simulation results.     

Discretisation of stochastic control problems for continuous time dynamics with delay

As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal strategy with respect to the cost functional can be guaranteed in the class of relaxed controls. Weak convergence of the approximating extended Markov chains to the original process together with convergence of the associated optimal strategies is established.     

Determinacy of refinements to the difference hierarchy of co-analytic sets

In this paper we develop a technique for proving determinacy of classes of the form ${\omega }^2\text{-}{\mathrm{\Pi }}_1^1+\mathrm{\Gamma }$ (a refinement of the difference hierarchy on ${\mathrm{\Pi }}_1^1$ lying between ${\omega }^2\text{-}{\mathrm{\Pi }}_1^1$ and $({\omega }^2+1)\text{-}{\mathrm{\Pi }}_1^1$) from weak principles, establishing upper bounds for the determinacy-strength of the classes ${\omega }^2\text{-}{\mathrm{\Pi }}_1^1+{\mathrm{\Sigma }}_{\alpha }^0$ for all computable α and of ${\omega }^2\text{-}{\mathrm{\Pi }}_1^1+{{\mathrm{\Delta }}^1}_1$. This bridges the gap between previously known hypotheses implying determinacy in this region.