Numerical Approximation for a White Noise Driven SPDE with Locally Bounded Drift

A numerical scheme for a stochastic partial differential equation of heat equation type is considered where the drift is locally bounded and the dispersion may be state dependent. Uniform convergence in probability is obtained. Roger Pettersson: Partially supported by the EU grant ref. ERBF MRX CT96 0057A.     

On the asymptotic relation between equilibrium density and exit measure in the exit problem

In this paper we show that the solution of an anticipating stochastic differential equation with smooth coefficients and with a random and smooth initial condition possesses an infinitely differentiable density under some non-degeneracy conditions     

Probabilistic interpretation of a system of quasilinear parabolic PDEs

Using a forward–backward stochastic differential equations (FBSDE) associated to a transmutation process driven by a finite sequence of Poisson processes, we obtain a probabilistic interpretation for a non-degenerate system of quasilinear parabolic partial differential equations (PDEs). The novetly is that the linear second order differential operator is different on each line of the system.     

Almost sure exponential behaviour for a parabolic SPDE on a manifold

We derive an upper bound on the large-time exponential behavior of the solution to a stochastic partial differential equation on a compact manifold with multiplicative noise potential. The potential is a random field that is white-noise in time, and Hölder-continuous in space. The stochastic PDE is interpreted in its evolution (semigroup) sense. A Feynman–Kac formula is derived for the solution, which is an expectation of an exponential functional of Brownian paths on the manifold. The main analytic technique is to discretize the Brownian paths, replacing them by piecewise-constant paths. The error committed by this replacement is controlled using Gaussian regularity estimates; these are also invoked to calculate the exponential rate of increase for the discretized Feynman–Kac formula. The error is proved to be negligible if the diffusion coefficient in the stochastic PDE is small enough. The main result extends a bound of Carmona and Viens (Stochast. Stochast. Rep. 62 (3–4) (1998) 251) beyond flat space to the case of a manifold.     

带可变密度和吸收项的退化抛物方程解的局部性和渐近行为

研究一类在非均匀介质中带可变系数和吸收项的非线性退化抛物方程Cauchy问题解的局部性质和渐近行为,得到了解有局部性的条件.同时,证明了解的渐近性质,发现了有限时刻的熄灭现象.这些结果改进和推广了相关问题的最新成果.     

抛物泛函微分方程解的振动

该文讨论一类抛物泛函微分方程解的振动性质，得到了不同边界条件下方程解振动的充分条件，并给出了实例．     

Large Deviations for Stochastic Volterra Equations in the Plane

We prove a Large Deviation Principle for the family of solutions of Volterra equations in the plane obtained by perturbation of the driving white noise. One of the motivations for the study of such class of equations is provided by non-linear hyperbolic stochastic partial differential equations appearing in the construction of some path-valued processes on manifolds. The proof uses the method developped by Azencott for diffusion processes. The main ingredients are exponential inequalities for different classes of two-parameter stochastic integrals; these integrals are related to the representation of the stochastic term in the differential equation as a representable semimatringale.     

Malliavin calculus for infinite-dimensional systems with additive noise

We consider an infinite-dimensional dynamical system with polynomial nonlinearity and additive noise given by a finite number of Wiener processes. By studying how randomness is spread by the dynamics, we develop in this setting a partial counterpart of Hörmander's classical theory of Hypoelliptic operators. We study the distributions of finite-dimensional projections of the solutions and give conditions that provide existence and smoothness of densities of these distributions with respect to the Lebesgue measure. We also apply our results to concrete SPDEs such as a Stochastic Reaction Diffusion Equation and the Stochastic 2D Navier-Stokes System.     

Semidiscrete Galerkin Approximation for a Linear Stochastic Parabolic Partial Differential Equation Driven by an Additive Noise

We study the semidiscrete Galerkin approximation of a stochastic parabolic partial differential equation forced by an additive space-time noise. The discretization in space is done by a piecewise linear finite element method. The space-time noise is approximated by using the generalized L₂ projection operator. Optimal strong convergence error estimates in the L₂ and norms with respect to the spatial variable are obtained. The proof is based on appropriate nonsmooth data error estimates for the corresponding deterministic parabolic problem. The error estimates are applicable in the multi-dimensional case. AMS subject classification (2000) 65M, 60H15, 65C30, 65M65.Received April 2004. Revised September 2004. Communicated by Anders Szepessy.     

脉冲时滞抛物型偏微分方程组解的振动性

研究一类脉冲时滞抛物型偏微分方程组解的振动性,利用一阶脉冲时滞微分不等式获得了该类方程组在两类不同边值条件下所有解振动的若干充分条件.所得结果充分反映了脉冲和时滞在振动中的影响作用.     

Existence and Smoothness of the Density for Spatially Homogeneous SPDEs

In this paper, we extend Walsh’s stochastic integral with respect to a Gaussian noise, white in time and with some homogeneous spatial correlation, in order to be able to integrate some random measure-valued processes. This extension turns out to be equivalent to Dalang’s one. Then we study existence and regularity of the density of the probability law for the real-valued mild solution to a general second order stochastic partial differential equation driven by such a noise. For this, we apply the techniques of the Malliavin calculus. Our results apply to the case of the stochastic heat equation in any space dimension and the stochastic wave equation in space dimension d=1,2,3. Moreover, for these particular examples, known results in the literature have been improved.      

Integration by parts on the Brownian Meander

We prove infinite-dimensional integration by parts formulae for the laws of the Brownian Meander, of the Bessel Bridge of dimension 3 between and of the Brownian Motion on the set of all paths taking values greater than or equal to a nonpositive constant. We give applications to SPDEs with reflection.

     

Existence of Solutions To Weak Parabolic Equations For Measures

Let A = (a^ij) be a Borel mapping on [0, 1] x R^d with valuesin the space of non-negative operators on R^d and let b = (bⁱ)be a Borel mapping on [0, 1] x R^d with values in R^d. Let Under broad assumptions on A and b, we construct a family µ= (µ_t)_t [0, 1] of probability measures µ_t on R^dwhich solvesthe Cauchy problem L* µ = 0 with initial conditionµ₀ = , where \nu is a probability measure on R^d, in thefollowing weak sense: and Such an equation is satisfied by transition probabilities ofa diffusion process associated with A and b provided such aprocess exists. However, we do not assume the existence of aprocess and allow quite singular coefficients, in particular,b may be locally unbounded or A may be degenerate. An infinite-dimensionalanalogue is discussed as well. Main methods are L^p-analysiswith respect to suitably chosen measures and reduction to theelliptic case (studied previously) by piecewise constant approximationsin time. 2000 Mathematics Subject Classification 35K10, 35K12,60J35, 60J60, 47D07.     

Stochastic Volterra equations driven by fractional Brownian motion

This paper is devoted to study a class of stochastic Volterra equations driven by fractional Brownian motion. We first prove the Driver type integration by parts formula and the shift Harnack type inequalities. As a direct application, we provide an alternative method to describe the regularities of the law of the solution. Secondly, by using the Malliavin calculus, the Bismut type derivative formula is established, which is then applied to the study of the gradient estimate and the strong Feller property. Finally, we establish the Talagrand type transportation cost inequalities for the law of the solution on the path space with respect to both the uniform metric and the L₂-metric.     

一类双退化非线性抛物型方程

In this paper we study the decay estimate of global solutions to the initialboundary value problem for double degenerate nonlinear parabolic equation by using a difference inequality.     

Liouville-Green asymptotic approximation for a class of matrix differential equations and semi-discretized partial differential equations

A Liouville-Green (or WKB) asymptotic approximation theory is developed for the class of linear second-order matrix differential equations Y^″=[f(t)A+G(t)]Y on [a,+∞), where A and G(t) are matrices and f(t) is scalar. This includes the case of an “asymptotically constant” (not necessarily diagonalizable) coefficient A (when f(t)≡1). An explicit representation for a basis of the right-module of solutions is given, and precise computable bounds for the error terms are provided. The double asymptotic nature with respect to both t and some parameter entering the matrix coefficient is also shown. Several examples, some concerning semi-discretized wave and convection-diffusion equations, are given.     

Backward Stochastic Differential Equations Associated to a Symmetric Markov Process

We consider a second order semi-elliptic differential operator L with measurable coefficients, in divergence form, and the semilinear parabolic system of PDEs

一类脉冲时滞抛物方程组边值问题的振动准则

考虑了一类带强迫项的脉冲时滞抛物方程组,利用脉冲时滞微分不等式,获得了该类方程组的解强迫振动的若干充分判据.