Runge–Kutta Methods for Itô Stochastic Differential Equations with Scalar Noise

A general class of stochastic Runge–Kutta methods for Itô stochastic differential equation systems w.r.t. a one-dimensional Wiener process is introduced. The colored rooted tree analysis is applied to derive conditions for the coefficients of the stochastic Runge–Kutta method assuring convergence in the weak sense with a prescribed order. Some coefficients for new stochastic Runge–Kutta schemes of order two are calculated explicitly and a simulation study reveals their good performance.     

Second order Runge–Kutta methods for Stratonovich stochastic differential equations

The weak approximation of the solution of a system of Stratonovich stochastic differential equations with a m–dimensional Wiener process is studied. Therefore, a new class of stochastic Runge–Kutta methods is introduced. As the main novelty, the number of stages does not depend on the dimension m of the driving Wiener process which reduces the computational effort significantly. The colored rooted tree analysis due to the author is applied to determine order conditions for the new stochastic Runge–Kutta methods assuring convergence with order two in the weak sense. Further, some coefficients for second order stochastic Runge–Kutta schemes are calculated explicitly. AMS subject classification (2000)  65C30, 65L06, 60H35, 60H10     

A Distributional Approach to Multiple Stochastic Integrals and Transformations of the Poisson Measure

We study a class of ‘nonpoissonian’ transformations of the configuration space and the corresponding transformations of the Poisson measure. For some class of Poisson measures we find conditions which are sufficient for the transformed measure (which in general is nonpoissonian) to be absolutely continuous with respect to the initial Poisson measure and get the expression for the corresponding Radon–Nikodym derivative. To solve this problem we use a distributional approach to Poisson multiple stochastic integrals.     

带ARMA(1,1)条件异方差相关的随机波动模型的MCMC算法

我们首先提出了一个带ARMA(1,1)条件异方差相关的随机波动模型,它是基本的随机波动模型的一个自然的推广.进一步,对于这一新模型,我们给出了一个马尔可夫链蒙特卡罗(M CM C)算法.最后,利用该模型的模拟数据,展示了M CM C算法在这种模型中的应用.     

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??We study the linear quadratic optimal stochastic control problem which is jointly driven by Brownian motion and L\'{e}vy processes. We prove that the new affine stochastic differential adjoint equation exists an inverse process by applying the profound section theorem. Applying for the Bellman's principle of quasilinearization and a monotone iterative convergence method, we prove the existence and uniqueness of the solution of the backward Riccati differential equation. Finally, we prove that the optimal feedback control exists, and the value function is composed of the initial value of the solution of the related backward Riccati differential equation and the related adjoint equation.     

Game of two cars: Case of variable speed

A stochastic version of Isaacs's (Ref. 1) game of two cars is dealt with here. In this version, the pursuer, owing to thrust and drag forces, has a variable speed, whereas the evader's speed is constant. Also, the pursuer can maneuver as long as his speed is bounded by some lower and upper limits. The probability of interception, corresponding to optimal (saddle-point) feedback strategies, is computed and serves as a reference for evaluating the performance of four different versions of the proportional navigation pursuit law as well as two other strategies.     

Transversal-Free Translation Nets

Translation planes of order q ² containing non-Desarguesian Baer subplanes are used to construct transversal-free translation nets with very small deficiencies. Also, a generalization of the ideas of Bruen shows that any non-Desarguesian spread in PG(3, q) produces a transversal-free net of small deficiency.     

Learning Markov chains in fractal compression of image data

In a recent paper [17] we proposed a stochastic algorithm which generates optimal probabilities for the decompression of an image represented by the fixed point of an IFS system (SAOP). We show here that such an algorithm is in fact a non trivial example of Generalized Random System with Complete Connections. We also exhibit a generalization which could represent the solution to the inverse problem for an image with grey levels, if a fixed set of contraction maps is available. Received: 1 July 2002