Global existence of solutions for perturbed differential equations

In this paper we consider sufficient conditions for the continuability of solutions for perturbed differential equations. We obtain also some results for the global existence of solutions for differential inclusions and for stochastic differential equations of McShane and Ito type. We give an application to the global inversion of local diffeomorphisms.     

具有非Lipschitz和非增长条件的带跳倒向随机微分方程

本文研究一类带Poisson跳的倒向随机微分方程。在方程的系数满足非增长条件和非Lipschitz条件下,讨论方程适应解的存在唯一性和稳定性。为了证明解的存在性,首先通过函数变换,构造出一逼近序列,然后运用推广的Bihari不等式和Lebesgue控制收敛定理证明该逼近序列是收敛的,得到逼近序列的极限就是方程的适应解。解的唯一性和稳定性主要运用了Bihari不等式和推广的Bihari不等式来进行证明。     

Properties of set-valued stochastic differential equations

The paper is devoted to properties of set-valued stochastic differential equations. The main result of the paper deals with existence and uniqueness of solutions. Furthermore, a connection between solutions of stochastic differential inclusions and solutions of set-valued stochastic differential equations are given. The result of the paper extends a lot of particular results dealing with such type equations.     

Yosida approximations for multivalued stochastic partial differential equations driven by Lévy noise on a Gelfand triple

We prove the existence and uniqueness of solutions for a class of multivalued stochastic partial differential equations with maximal monotone drift on Banach space driven by multiplicative Lévy noise. We also establish the strong convergence result for solutions of the approximating equations where the maximal monotone drift operator is replaced by its Yosida approximation. As an application, the existence and uniqueness of solutions for multivalued stochastic porous medium equations is obtained.     

Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations

ABSTRACT

The stochastic theta method is a family of implicit Euler methods for approximating solutions to Itô stochastic differential equations. It is proved that the weak error for the stochastic theta numerical method is of the correct form to apply Richardson extrapolation. Several computational examples illustrate the improvement in accuracy of the approximations when applying extrapolation.     

Discretizations of Linear Elliptic Partial Differential Inclusions

Differential inclusions provide a suitable framework for modelling choice and uncertainty. In finite dimensions, the theory of ordinary differential inclusions and their numerical approximations is well-developed, whereas little is known for partial differential inclusions, which are the deterministic counterparts of stochastic partial differential equations.

The aim of this article is to analyze strategies for the numerical approximation of the solution set of a linear elliptic partial differential inclusion. The geometry of its solution set is studied, numerical methods are proposed, and error estimates are provided.     

The Upper and Lower Solutions Method for Stochastic Inclusions with Discontinuous Multivalued Mappings

Abstract

In this article, we consider a stochastic integral inclusion driven by semimartingale with discontinuous multivalued right hand side. We discuss the existence of strong solutions using lower and upper solutions method and a fixed point theorem for ordered sets. The presented studies extend some recent results both for deterministic differential inclusions and stochastic differential equations for increasing operators.     

中立型无限时滞带跳随机泛函微分方程解的存在唯一性

本文首先在Lipschiz条件和线性增长条件下,通过Picard迭代法研究了带跳的无限时滞中立型随机微分方程解的存在唯一性,接着对这这类方程的Picard迭代解与精确解的误差进行估计,最后讨论了解的矩估计。     

Stochastic differential games with reflection and related obstacle problems for Isaacs equations

In this paper we first investigate zero-sum two-player stochastic differential games with reflection, with the help of theory of Reflected Backward Stochastic Differential Equations (RBSDEs). We will establish the dynamic programming principle for the upper and the lower value functions of this kind of stochastic differential games with reflection in a straightforward way. Then the upper and the lower value functions are proved to be the unique viscosity solutions to the associated upper and the lower Hamilton-Jacobi-Bellman-Isaacs equations with obstacles, respectively. The method differs significantly from those used for control problems with reflection, with new techniques developed of interest on its own. Further, we also prove a new estimate for RBSDEs being sharper than that in the paper of El Karoui, Kapoudjian, Pardoux, Peng and Quenez (1997), which turns out to be very useful because it allows us to estimate the L ^p -distance of the solutions of two different RBSDEs by the p-th power of the distance of the initial values of the driving forward equations. We also show that the unique viscosity solution to the approximating Isaacs equation constructed by the penalization method converges to the viscosity solution of the Isaacs equation with obstacle.     

Sur l'existence de solutions d'équations différentielles stochastiques progréssives rétrogrades couplées

Nonlinear BSDEs were first introduced by Pardoux and Peng, 1990, Adapted solutions of backward stochastic differential equations, Systems and Control Letters, 14, 51–61, who proved the existence and uniqueness of a solution under suitable assumptions on the coefficient. Fully coupled forward–backward stochastic differential equations and their connection with PDE have been studied intensively by Pardoux and Tang, 1999, Forward–backward stochastic differential equations and quasilinear parabolic PDE's, Probability Theory and Related Fields, 114, 123–150; Antonelli and Hamadène, 2006, Existence of the solutions of backward–forward SDE's with continuous monotone coefficients, Statistics and Probability Letters, 76, 1559–1569; Hamadème, 1998, Backward–forward SDE's and stochastic differential games, Stochastic Processes and their Applications, 77, 1–15; Delarue, 2002, On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case, Stochastic Processes and Their Applications, 99, 209–286, amongst others.

Unfortunately, most existence or uniqueness results on solutions of forward–backward stochastic differential equations need regularity assumptions. The coefficients are required to be at least continuous which is somehow too strong in some applications. To the best of our knowledge, our work is the first to prove existence of a solution of a forward–backward stochastic differential equation with discontinuous coefficients and degenerate diffusion coefficient where, moreover, the terminal condition is not necessary bounded.

The aim of this work is to find a solution of a certain class of forward–backward stochastic differential equations on an arbitrary finite time interval. To do so, we assume some appropriate monotonicity condition on the generator and drift coefficients of the equation.

The present paper is motivated by the attempt to remove the classical condition on continuity of coefficients, without any assumption as to the non-degeneracy of the diffusion coefficient in the forward equation.

The main idea behind this work is the approximating lemma for increasing coefficients and the comparison theorem. Our approach is inspired by recent work of Boufoussi and Ouknine, 2003, On a SDE driven by a fractional brownian motion and with monotone drift, Electronic Communications in Probability, 8, 122–134; combined with that of Antonelli and Hamadène, 2006, Existence of the solutions of backward–forward SDE's with continuous monotone coefficients, Statistics and Probability Letters, 76, 1559–1569. Pursuing this idea, we adopt a one-dimensional framework for the forward and backward equations and we assume a monotonicity property both for the drift and for the generator coefficient.

At the end of the paper we give some extensions of our result.     

Razumikhin-type Theorems on Exponential Stability of Stochastic Functional Differential Equations with Infinite Delay

The main aim of this paper is to study the stability of the stochastic functional differential equations with infinite delay. We establish several Razumikhin-type theorems on the exponential stability for stochastic functional differential equations with infinite delay. By applying these results to stochastic differential equations with distributed delay, we obtain some sufficient conditions for both pth moment and almost surely exponentially stable. Finally, some examples are presented to illustrate our theory.     

Nonlinear Deformational Properties of Dispersely Strengthened Materials

A method and an algorithm for determining the effective deformational properties of dispersely strengthened materials with a physically nonlinear matrix and quasi-spheroidal linearly elastic inclusions are elaborated based on the stochastic differential equations of the physically nonlinear theory of elasticity. Their transformation to integral equations and the application of the method of conditional moments reduce the problem to a system of nonlinear algebraic equations, whose solution is constructed by the iteration method. The deformation diagrams as functions of the volume content of inclusions are investigated.     

Approximation of stochastic advection diffusion equations with Stochastic Alternating Direction Explicit methods

The numerical solutions of stochastic partial differential equations of Itô type with time white noise process, using stable stochastic explicit finite difference methods are considered in the paper. Basically, Stochastic Alternating Direction Explicit (SADE) finite difference schemes for solving stochastic time dependent advection-diffusion and diffusion equations are represented and the main properties of these stochastic numerical methods, e.g. stability, consistency and convergence are analyzed. In particular, it is proved that when stable alternating direction explicit schemes for solving linear parabolic PDEs are developed to the stochastic case, they retain their unconditional stability properties applying to stochastic advection-diffusion and diffusion SPDEs. Numerically, unconditional stable SADE techniques are significant for approximating the solutions of the proposed SPDEs because they do not impose any restrictions for refining the computational domains. The performance of the proposed methods is tested for stochastic diffusion and advection-diffusion problems, and the accuracy and efficiency of the numerical methods are demonstrated.     

ON EXPONENTIAL STABILITY OF NON-AUTONOMOUS STOCHASTIC SEMILINEAR EVOLUTION EQUATIONS

11MroductlonThe purpose ofthls paper Is to Investigate eWone尬lal stability of*theity mild solutions forcenain Hilbert space－Mued stochastlc evoMlon eqll砒ions,Roughy spe出0ng;we cons讪r山efollowing equation:I 伏I＝*x,＋风Il加L十从L,剧dWn,c〔瓜＋咖。(””””“”(11)D 人n 二x．Where A Is the Infinlteslmalgener砒or ofa certain几semigroup S(t),t＞0;on H and F(t;、)and B(t;·)are In general nonlinear mappings from H to H and H to L(x,H),the family ofall bounded linear operators from …     

Stability in terms of two measures of solutions to stochastic partial differential delay equations with switching

In this paper, the problem of stability in terms of two measures is considered for a class of stochastic partial differential delay equations with switching. Sufficient conditions for stability in terms of two measures are obtained based on the technique of constructing a proper approximating strong solution system and conducting a limiting type of argument to pass on stability of strong solutions to mild ones. In particular, the stochastic stability under the fixed‐index sequence monotonicity condition and under the average dwell‐time switching are considered.     

Error Estimates for Discretized Quantum Stochastic Differential Inclusions

Abstract

This paper is concerned with the error estimates involved in the solution of a discrete approximation of a quantum stochastic differential inclusion (QSDI). Our main results rely on certain properties of the averaged modulus of continuity for multivalued sesquilinear forms associated with QSDI. We obtained results concerning the estimates of the Hausdorff distance between the set of solutions of the QSDI and the set of solutions of its discrete approximation. This extends the results of Dontchev and Farkhi Dontchev, A.L.; Farkhi, E.M. (Error estimates for discre‐ tized differential inclusions. Computing 1989, 41, 349–358) concerning classical differential inclusions to the present noncommutative quantum setting involving inclusions in certain locally convex space.     

Multitime-scale singularly perturbed linear stochastic systems ∗

By applying diagonalization transformation, generalized variation of constants formula and theory of differential inequalities,the mean square convergence of solution process of a shingularly perturbed linear stochastic differential system of Itô-type is investigated. Moreover, slow and fast modes decomposition provides an auxiliary decoupled system whose solution processes are incorporated in approximating the solution processes of the original system     

Time Discretisation and Rate of Convergence for the Optimal Control of Continuous-Time Stochastic Systems with Delay

We study a semi-discretisation scheme for stochastic optimal control problems whose dynamics are given by controlled stochastic delay (or functional) differential equations with bounded memory. Performance is measured in terms of expected costs. By discretising time in two steps, we construct a sequence of approximating finite-dimensional Markovian optimal control problems in discrete time. The corresponding value functions converge to the value function of the original problem, and we derive an upper bound on the discretisation error or, equivalently, a worst-case estimate for the rate of convergence.     

On the approximation of the solutions of stochastic equations with θ-integrals

The paper investigates the problem of approximation of stochastic θ-integrals and the solutions of stochastic differential equations. The complete classification of the methods of approximation of stochastic θ-integrals in the convolution algebra is proposed. It is proved that the solutions of stochastic integral equations with θ-integral can be approximated by the solutions of finite-difference equations with averaging.     

p-Moment Stability of Stochastic Nonlinear Delay Systems with Impulsive Jump and Markovian Switching

Abstract

This article is concerned with the problem of p-moment stability of stochastic differential delay equations with impulsive jump and Markovian switching. In this model, the features of stochastic systems, delay systems, impulsive systems, and Markovian switching are all taken into account, which is scarce in the literature. Based on Lyapunov–Krasovskii functional method and stochastic analysis theory, we obtain new criteria ensuring p-moment stability of trivial solution of a class of impulsive stochastic differential delay equations with Markovian switching.