Generalized solutions of a stochastic partial differential equation

We discuss the Cauchy problem of a certain stochastic parabolic partial differential equation arising in the nonlinear filtering theory, where the initial data and the nonhomogeneous noise term of the equation are given by Schwartz distributions. The generalized (distributional) solution is represented by a partial (conditional) generalized expectation ofT(t)° _0,t ^–1 , whereT(t) is a stochastic process with values in distributions and _s,t is a stochastic flow generated by a certain stochastic differential equation. The representation is used for getting estimates of the solution with respect to Sobolev norms.Further, by applying the partial Malliavin calculus of Kusuoka-Stroock, we show that any generalized solution is aC -function under a condition similar to Hörmander's hypoellipticity condition.     

Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient

We consider the stochastic flow generated by Stratonovich stochastic differential equations with non-Lipschitz drift coefficients. Based on the author's previous works, we show that if the generalized divergence of the drift is bounded, then the Lebesgue measure on Rd is quasi-invariant under the action of the stochastic flow, and the explicit expression of the Radon-Nikodym derivative is also presented. Finally we show in a special case that the unique solution of the corresponding Fokker-Planck equation is given by the density of the stochastic flow.     

A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition

In this note, we prove the existence and uniqueness of the solution for a class of reflected backward stochastic differential equations (RBSDEs in short) related to the subdifferential operator of a lower semi-continuous convex function, driven by Teugels martingales associated with a Lévy process. Some known results are generalized and improved.     

Stochastic Optimal Control for the Stochastic Heat Equation with Exponentially Growing Coefficients and with Control and Noise on a Subdomain

Abstract

We consider stochastic optimal control problems in Banach spaces, related to nonlinear controlled equations with dissipative non linearities: on the nonlinear term we do not impose any growth condition. The problems are treated via the backward stochastic differential equations approach, that allows also to solve in mild sense Hamilton Jacobi Bellman equations in Banach spaces. We apply the results to controlled stochastic heat equation, in space dimension 1, with control and noise acting on a subdomain.     

On measure solutions of backward stochastic differential equations

We consider backward stochastic differential equations (BSDEs) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE will be understood as a probability measure under which the generator is seen as vanishing, so that the classical solution can be reconstructed by a combination of the operations of conditioning and using martingale representations. For the case where the terminal condition is bounded and the generator fulfills the usual continuity and boundedness conditions, we show that measure solutions with equivalent measures just reinterpret classical ones. For the case of terminal conditions that have only exponentially bounded moments, we discuss a series of examples which show that in the case of non-uniqueness, classical solutions that fail to be measure solutions can coexist with different measure solutions.     

BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game

In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limit obstacles (or barriers) when the noise is given by Brownian motion and a mutually independent Poisson random measure. The jumps of the obstacle processes could be either predictable or inaccessible. We show the existence and uniqueness of the solution when the barriers are completely separated and the generator uniformly Lipschitz. We do not assume the existence of a difference of supermartingales between the obstacles. As an application, we show that the related mixed zero-sum differential–integral game problem has a value.     

Solvability of a functional integral equation of fractional order in the class of functions having limits at infinity

A functional integral equation of fractional order is investigated in the space of real functions which are defined, continuous and bounded on the real half-axis. Using the technique of measures of noncompactness and the fixed point theorem of Darbo type we prove that the equation in question has solutions in the mentioned function space. Moreover, a suitable choice of a measure of noncompactness enables us to prove that those solutions tend to limits at infinity. An example illustrating our result is also given.     

Exact solutions to a class of differential equation and some new mathematical properties for the universal associated-Legendre polynomials

The exact solutions to a class of differential equation are studied. Some special cases are discussed for the central potentials, single ring-shaped potential and the angular Teukolsky equation. A new expression to the associated Legendre polynomials is found. Some new properties of the universal associated-Legendre polynomials (UALPs) including the generating function, Rodrigues’ formula, parity, some special values and the recurrence relations are presented. A new different Rodrigues’ formula of associated Legendre polynomials is also obtained.     

Dynamical behavior for a class of predator–prey system with general functional response and discontinuous harvesting policy

In this paper, we introduce a class of predator–prey system with general functional response, whose harvesting policy is modeled by a discontinuous function. Based on the differential inclusions theory, topological degree theory in set‐valued analysis and generalized Lyapunov approach, we analyze the existence, uniqueness and global asymptotic stability of positive periodic solution. In particular, a series of useful criteria on existence, uniqueness and global asymptotic stability of the positive equilibrium point are established for the autonomous system corresponding to the non‐autonomous biological and mathematical model with a discontinuous right‐hand side. Moreover, some new sufficient conditions are provided to guarantee the global convergence in measure of harvesting solution and convergence in finite time of any positive solution for the autonomous discontinuous biological system. The obtained results, which improve and generalize previous works on dynamical behavior in the literature, are of interest for understanding and designing biological system with not only continuous or even Lipschitz continuous but also discontinuous harvesting function. Finally, we give three examples with numerical simulations to show the applicability and effectiveness of our main results. Copyright © 2015 John Wiley & Sons, Ltd.     

An example of stability for the minima of a sequence of dc functions: Homogenization for a class of nonlinear Sturm-Liouville problems

Combining the Clarke-Ekeland dual least action principle and the epi-convergence, we state an existence result and study the asymptotic behaviour for the periodic solution of a nonlinear Sturm-Liouville problem deriving from a convex subquadratic potential, when the data are perturbed in a suitable sense. The result appears like a stability result for the minimizers of a sequence of DC functions.     

On the Phase Portrait of a Harmonic Oscillator with Friction Perturbed by a Random Process of White Noise Type

We study the phase portrait of a harmonic oscillator with friction for the case in which random perturbations of white noise type expressed in the Itô form act at a certain angle to the phase velocity vector.     

Double convolution integral equations involving a general class of multivariable polynomials and the multivariableH-functions

In this paper we have solved a double convolution integral equation whose kernel involves the product of theH-functions of several variables and a general class of multivariable polynomials. Due to general nature of the kernel, we can obtain from it, solutions of a large number of double and single convolution integral equations involving products of several classical orthogonal polynomials and simpler functions. We have also obtained here solutions of two double convolution integral equations as special cases of our main result. Exact reference of three known results, which are obtainable as particular cases of one of these special cases, have also been included.     

The sea-wave elevation and multistability in a non-autonomous nonlinear Itô’s stochastic differential equation for the rolling angle of a ship

Prediction of the rolling behavior of ships in irregular sea remains one of the most difficult problems in ship engineering. The present work facilitates solution of this problem by derivation of a model which is meaningful from the subject-specific point of view and can efficiently be analyzed with the path-integration method. The model is a single Itô’s stochastic differential equation for the rolling angle of a ship located at a fixed spatial point. The equation appears to be of the third order and nonlinear. It takes into account the elevation of stochastic traveling sea waves. The stochasticity of the elevation is allowed for by stationary stochastic velocity of the waves. The works also notes the picture for the multistability of the derived model. Improvement of capabilities of the methods for multistable nonlinear systems is included in directions for future research.     

A comment on the papers: Controllability results for functional semilinear differential inclusions in Fréchet spaces [Nonlinear Anal. 61 (3) (2005) 405–423] and Controllability of impulsive neutral functional differential inclusions with infinite delay [Nonlinear Anal. 60 (8) (2005) 1533–1552]

In this note we make some observations relating two papers recently published in Nonlinear Analysis Theory, Methods & Applications.