共查询到20条相似文献,搜索用时 15 毫秒
1.
Naoto Kumano-go 《Bulletin des Sciences Mathématiques》2004,128(3):197-251
Using the time slicing approximation, we give a mathematically rigorous definition of Feynman path integrals for a general class of functionals on the path space. As an application, we prove the interchange with Riemann-Stieltjes integrals, the interchange with a limit, the perturbation expansion formula, the semiclassical approximation, and the fundamental theorem of calculus in Feynman path integral. 相似文献
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We study the approximation of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H>1/2. For the mean-square error at a single point we derive the optimal rate of convergence that can be achieved by arbitrary approximation methods that are based on an equidistant discretization of the driving fractional Brownian motion. We find that there are mainly two cases: either the solution can be approximated perfectly or the best possible rate of convergence is n−H−1/2, where n denotes the number of evaluations of the fractional Brownian motion. In addition, we present an implementable approximation scheme that obtains the optimal rate of convergence in the latter case. 相似文献
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Summary We obtain sharp (i.e. non logarithmic) asymptotics for the solution of non homogeneous Kolmogorov-Petrovski-Piskunov equation depending on a small parameter , for points ahead of the Freidlin-KPP front. 相似文献
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We analyse the structure of imprecise Markov chains and study their convergence by means of accessibility relations. We first identify the sets of states, so-called minimal permanent classes, that are the minimal sets capable of containing and preserving the whole probability mass of the chain. These classes generalise the essential classes known from the classical theory. We then define a class of extremal imprecise invariant distributions and show that they are uniquely determined by the values of the upper probability on minimal permanent classes. Moreover, we give conditions for unique convergence to these extremal invariant distributions. 相似文献
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We give a fairly general class of functionals on a path space so that Feynman path integral has a mathematically rigorous meaning. More precisely, for any functional belonging to our class, the time slicing approximation of Feynman path integral converges uniformly on compact subsets of the configuration space. Our class of functionals is closed under addition, multiplication, functional differentiation, translation and real linear transformation. The integration by parts and Taylor's expansion formula with respect to functional differentiation holds in Feynman path integral. Feynman path integral is invariant under translation and orthogonal transformation. The interchange of the order with Riemann-Stieltjes integrals, the interchange of the order with a limit, the semiclassical approximation and the fundamental theorem of calculus in Feynman path integral stay valid as well as N. Kumano-go [Bull. Sci. Math. 128 (3) (2004) 197-251]. 相似文献
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Pier Domenico Lamberti 《Journal of Differential Equations》2005,216(1):109-133
Let Ω be an open connected subset of Rn of finite measure for which the Poincaré-Wirtinger inequality holds. We consider the Neumann eigenvalue problem for the Laplace operator in the open subset φ(Ω) of Rn, where φ is a locally Lipschitz continuous homeomorphism of Ω onto φ(Ω). Then, we show Lipschitz-type inequalities for the reciprocals of the eigenvalues delivered by the Rayleigh quotient. Then, we further assume that the imbedding of the Sobolev space W1,2(Ω) into the space L2(Ω) is compact, and we prove the same type of inequalities for the projections onto the eigenspaces upon variation of φ. 相似文献
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Summary We consider efficient finite element algorithms for the computational simulation of type-II superconductors. The algorithms are based on discretizations of a periodic Ginzburg-Landau model. Periodicity is defined with respect to a non-orthogonal lattice that is not necessarily aligned with the coordinate axes; also, the primary dependent variables employed in the model satisfy non-standard quasi-periodic boundary conditions. After introducing the model, we define finite element schemes, derive error estimates of optimal order, and present the results of some numerical calculations. For a similar quality of simulation, the resulting algorithms seem to be significantly less costly than are previously used numerical approximation methods. 相似文献
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This paper provides a new fixed point theorem for increasing self-mappings G:B→B of a closed ball B⊂X, where X is a Banach semilattice which is reflexive or has a weakly fully regular order cone X+. By means of this fixed point theorem, we are able to establish existence results of elliptic problems with lack of compactness. 相似文献
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We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution are proved by a double penalization approach under regularity assumptions on the obstacle. In a suitable regime switching diffusion framework, we show the connection between our class of BSDEs and fully nonlinear variational inequalities. Our BSDE representation provides in particular a Feynman–Kac type formula for PDEs associated to general zero-sum stochastic differential controller-and-stopper games, where control affects both drift and diffusion term, and the diffusion coefficient can be degenerate. Moreover, we state a dual game formula of this BSDE minimal solution involving equivalent change of probability measures, and discount processes. This gives in particular a new representation for zero-sum stochastic differential controller-and-stopper games. 相似文献
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We study the Navier-Stokes equations for compressible barotropic fluids in a bounded or unbounded domain Ω of R3. We first prove the local existence of solutions (ρ,u) in C([0,T*]; (ρ∞ +H3(Ω)) × under the assumption that the data satisfies a natural compatibility condition. Then deriving the smoothing effect of the
velocity u in t>0, we conclude that (ρ,u) is a classical solution in (0,T**)×Ω for some T** ∈ (0,T*]. For these results, the initial density needs not be bounded below away from zero and may vanish in an open subset (vacuum) of Ω. 相似文献
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Mihály Kovács Fredrik Lindgren 《Journal of Computational and Applied Mathematics》2011,235(12):3554-3570
We study linear stochastic evolution partial differential equations driven by additive noise. We present a general and flexible framework for representing the infinite dimensional Wiener process, which drives the equation. Since the eigenfunctions and eigenvalues of the covariance operator of the process are usually not available for computations, we propose an expansion in an arbitrary frame. We show how to obtain error estimates when the truncated expansion is used in the equation. For the stochastic heat and wave equations, we combine the truncated expansion with a standard finite element method and derive a priori bounds for the mean square error. Specializing the frame to biorthogonal wavelets in one variable, we show how the hierarchical structure, support and cancelation properties of the primal and dual bases lead to near sparsity and can be used to simplify the simulation of the noise and its update when new terms are added to the expansion. 相似文献
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Mark Craddock 《Journal of Differential Equations》2009,246(6):2538-90
In this paper we present some new applications of Lie symmetry analysis to problems in stochastic calculus. The major focus is on using Lie symmetries of parabolic PDEs to obtain fundamental solutions and transition densities. The method we use relies upon the fact that Lie symmetries can be integrated with respect to the group parameter. We obtain new results which show that for PDEs with nontrivial Lie symmetry algebras, the Lie symmetries naturally yield Fourier and Laplace transforms of fundamental solutions, and we derive explicit formulas for such transforms in terms of the coefficients of the PDE. 相似文献
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Pier Domenico Lamberti Massimo Lanza de Cristoforis 《Mediterranean Journal of Mathematics》2007,4(4):435-449
Let Ω be an open connected subset of for which the imbedding of the Sobolev space W
1,2(Ω) into the space L
2(Ω) is compact. We consider the Neumann eigenvalue problem for the Laplace operator in the open subset (Ω) of , where is a Lipschitz continuous homeomorphism of Ω onto (Ω). Then we prove a result of real analytic dependence for symmetric functions of the eigenvalues upon variation of .
This paper represents an extension of a part of the work performed by P.D. Lamberti in his PhD Thesis at the University of
Padova under the guidance of M. Lanza de Cristoforis. 相似文献
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《Quaestiones Mathematicae》2013,36(1-3):221-228
Abstract This note contains an order-theoretical approach to the theory of stochastic operators. Our main result is a necessary condition for the existence of n-th roots of an ergodic and conservative operator, which generalizes known results for measure-preserving operators and operators on L p-type spaces. 相似文献
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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
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Positive results are derived concerning the long time dynamics of numerical simulations of stochastic differential equation systems with Markovian switching. Euler–Maruyama discretizations are shown to capture almost sure and moment exponential stability for all sufficiently small timesteps under appropriate conditions. 相似文献