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本文主要研究了Poison随机补偿测度驱动下的随机时滞偏微分方程.当方程的系数满足Lips-chitz条件时,利用算子的分数幂方法,讨论了方程在M型P(p=1或者P=2)次Banach空间中适度解的存在性与唯-性. 相似文献
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The aim of the present paper is to study the regularity properties of the solution of a backward stochastic differential equation
with a monotone generator in infinite dimension. We show some applications to the nonlinear Kolmogorov equation and to stochastic
optimal control. 相似文献
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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。 相似文献
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有限时滞随机泛函微分方程的存在唯一性已经得到较多的研究,但对于无限时滞随机泛函微分方程的性质极少.本文在不需要线性增长条件,在一致Lipschitz条件下证明了无限时滞中立型随机泛函微分方程的存在唯一性,给出了精确解和近似解的误差估计,最后给出了解的矩估计. 相似文献
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In this paper, we will make use of a new method to study the existence and uniqueness for the solution of neutral stochastic functional differential equations with infinite delay (INSFDEs for short) in the phase space BC((?∞,0];Rd). By constructing a new iterative scheme, the existence and uniqueness for the solution of INSFDEs can be directly obtained only under uniform Lipschitz condition, linear grown condition and contractive condition. Meanwhile, the moment estimate of the solution and the estimate for the error between the approximate solution and the accurate solution can be both given. Compared with the previous results, our method is partially different from the Picard iterative method and our results can complement the earlier publications in the existing literatures. 相似文献
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Existence and Uniqueness of Solutions to Time-delays Stochastic Fractional Differential Equations with Non-Lipschitz Coefficients 下载免费PDF全文
In this paper, we consider the existence and uniqueness of solutions to time-varying delays stochastic fractional differential equations (SFDEs) with non-Lipschitz coefficients. By using fractional calculus and stochastic analysis, we can obtain the existence result of solutions for stochastic fractional differential equations. 相似文献
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We study a forward-backward system
of stochastic differential equations in an
infinite-dimensional framework and its relationships
with a semilinear parabolic differential equation on a Hilbert space,
in the spirit of the approach of Pardoux-Peng.
We prove that the stochastic system
allows us to construct a unique
solution of the parabolic equation in
a suitable class of locally Lipschitz real
functions. The parabolic equation is understood in
a mild sense which requires the notion
of a generalized directional gradient, that
we introduce by a probabilistic approach
and prove to exist for locally Lipschitz
functions.
The use of the generalized directional gradient
allows us to cover various applications to option
pricing problems and to optimal stochastic control problems
(including control of delay equations and
reaction--diffusion equations),
where the lack of differentiability of the coefficients
precludes differentiability of solutions to the associated
parabolic equations of Black--Scholes or Hamilton-Jacobi-Bellman
type. 相似文献
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具无限时滞的中立型随机泛函微分方程解的存在唯一性 总被引:1,自引:0,他引:1
The main aim of this paper is to establish the existence-and-uniqueness theorem for neutral stochastic functional differential equations with infinite delay at phase space BC((-∞, 0]; R^n) An example is given for illustration. 相似文献
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该文讨论了一类带扰动的随机脉冲泛函微分方程解的渐近性.通过比较扰动方程的解和原方程的解,得到了两者逼近的充分条件.首先,两者在有限的时间区间上相互逼近;其次,当扰动趋于零时,区间长度趋于无穷大,在这个区间上两个解仍然是相互逼近的.最后,举例说明了结果的有效性. 相似文献
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Eduardo Hernández Morales Hernán R. Henríquez Mark A. McKibben 《Integral Equations and Operator Theory》2008,62(2):191-217
We establish existence of mild solutions for a class of abstract second-order partial neutral functional differential equations
with unbounded delay in a Banach space.
The work of the second author was supported by FONDECYT-CONICYT, Grants 1050314 and 7050034. 相似文献
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在积分型Lipschitz条件下,证明了一类以连续鞅为驱动的随机泛函微分方程解的存在性与唯一性. 相似文献
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N. I. Mahmudov 《随机分析与应用》2013,31(1):79-95
Abstract In this paper using a Picard type approximation, we present the existence and uniqueness theorems for mild solutions of the semilinear neutral SDEs in Hilbert spaces whose coefficients satisfy non-Lipschitz condition. 相似文献
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本文研究了抽象空间中初值问题x′= f(t,x),x(t0)= x0 的弱解存在和唯一性,并推广了文[1]、[2]中的有关结果 相似文献