随机微分方程LaSalle定理

In this paper, we establish a the LaSalle's theorem for stochastic differential equation based on Li's work, and give a more general Lyapunov function which it is more easy to apply. Our work has partly generalized Mao's work.     

非Lipschitz条件下半鞅随机微分方程解的唯一性(英文)

本文研究了非Lipschitz条件下半鞅随机微分方程.利用It(o)分析和Gronwall不等式,探讨了随机微分方程无爆炸解,并证明了随机微分方程解的唯一性.     

条件平均场随机微分方程的最优控制问题

作者研究了一个条件平均场随机微分方程的最优控制问题.这种方程和某些部分信息下的随机最优控制问题有关,并且可以看做是平均场随机微分方程的推广.作者以庞特里雅金最大值原理的形式给出最优控制满足的必要和充分条件.此外,文中给出一个线性二次最优控制问题来说明理论结果的应用.     

求解随机微分方程的二级Milstein方法(英文)

In this paper we discuss two-stage Miistein methods for solving Ito stochastic differential equations （SDEs）. Six fully explicit methods （TSM 1 -- TSM 6） are given in this paper. Their order of strong convergence is proved. The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of Ito SDEs.     

中立型随机泛函微分方程的Khasminskii型定理

本文对中立型随机泛函微分方程建立了Khasminskii型定理,这个定理显示在局部Lipschitz条件但是不要求线性增长的条件下,中立型随机泛函微分方程存在一个全局解.本文的这个解存在性条件可以包含更广的一类非线性中立型随机泛函微分方程.最后,本文给出一个例子来阐述我们的思想.     

具有C~1-扩散系统的Stratonovich随机微分方程(英文)

本文研究了具有C1扩散系数的Stratonovich随机微分方程的强解的存在唯一性.     

非Lipschitz条件下超前带跳倒向耦合随机微分方程的Wong-Zakai逼近

在非Lipschitz条件下证明超前带跳倒向耦合随机微分方程的Wong-Zakai逼近.     

带跳的随机微分方程的Euler折线逼近

熟知当随机微分方程的系数不满足Lipschitz条件,而仅满足单调性条件时,我们无法用Picard迭代法证明其解的存在性. Krylov为此对Brown运动驱动的此类方程用Euler折线逼近法证明了解的存在性.本文将Krylov的结果推广到带跳的随机微分方程,证明了Euler折线逼近的收敛性.这一结果是研究带跳的随机发展方程的基础,且对随机微分方程的数值计算有用.     

关于反射倒向随机微分方程的解的一些性质(英文)

研究了关于反射倒向随机微分方程的解的一些性质.同时在适当的条件下建立了关于反射倒向随机微分方程生成元的一个唯一性定理和一个逆比较定理.     

两参数随机微分方程解的迭代收敛性

本文在非Ｌｉｐｓｃｈｉｔｚ条件下证明了两参数随机微分方程解的迭代收敛性，推广了文献（１）中的相应结果。     

Continuity modulus of stochastic homeomorphism flows for SDEs with non-Lipschitz coefficients

Let Xt(x) solve the following Itô-type SDE (denoted by EQ.(σ,b,x)) in Rd

     

Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications

In this paper Euler-Maruyama approximation for SDE with non-Lipschitz coefficients is proved to converge uniformly to the solution in Lp-space with respect to the time and starting points. As an application, we also study the existence of solution and large deviation principle for anticipative SDE with random initial condition.     

Existence and Uniqueness of Solutions to Time-delays Stochastic Fractional Differential Equations with Non-Lipschitz Coefficients

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.     

正系数多项式倒数逼近的点态和整体估计

利用Ditzian-Totik光滑模对于[0,1]上定义的非角连续函数f(x)，且f(x)≠0，文中证明存在正系数多项式Pn(x)及常数C，使得|f9x)-1/Pn(x)|≤Cωψ^λ（f,n^-1/2(ψ(x) 1/√n)^1-λ)。当λ＝1时，上述结果导出已有的整体估计，而当0≤λ＜1时，得到倒数逼近一个新的点态局部估计。     

Multivalued Stochastic Differential Equations with Non-Lipschitz Coefficients

The existence and uniqueness of solutions to the multivalued stochastic differential equations with non-Lipschitz coefficients are proved, and bicontinuous modifications of the solutions are obtained.     

Haar锥逼近的交错定理及其在系数有界逼近中的应用

本文首先推广了Ｐ．Ｐｅｉｓｋｅｒ １９８３年给出的Ｈａａｒ锥的定义及Ｈａａｒ锥一致逼近的交错定量，然后得到了Ｈａａｒ锥根数的一种求法。利用这些结果，讨论了系数有界限逼近的特征问题，特别是给出了系数有界限的代数多项式逼近与广义Ｂｅｒｎｓｔｅｉｎ多项式逼近的使用十分方便的交错定理。     

Time-Dependent Loss of Derivatives for Hyperbolic Operators with Non Regular Coefficients

In this paper we will study the Cauchy problem for strictly hyperbolic operators with low regularity coefficients in any space dimension N ≥ 1. We will suppose the coefficients to be log-Zygmund continuous in time and log-Lipschitz continuous in space. Paradifferential calculus with parameters will be the main tool to get energy estimates in Sobolev spaces and these estimates will present a time-dependent loss of derivatives.     

一类非Lipschitz条件的Backward SDE适应解的存在唯一性

本文中，我们在非Lipschitz条件下证明了倒向随机微分方程的局部与整体适应解的存在唯一性，推广了PaLrdoux-Peng定理．