Reflected Discontinuous Backward Doubly Stochastic Differential Equations With Poisson Jumps
|
|
- Julianna Stafford
- 5 years ago
- Views:
Transcription
1 Journal of Numerical Mahemaics and Sochasics, () : 73-93, 8 hp:// JNM@S uclidean Press, LLC Online: ISSN 5-3 Refleced Disconinuous Backward Doubly Sochasic Differenial quaions Wih Poisson Jumps B. MANSOURI, and M. A.. SAOULI Universiy Mohamed Khider, POBox 45, 7, Biskra, Algeria, -mail: mansouri.badreddine@gmail.com Absrac. In his paper we prove he exisence of a soluion for refleced backward doubly sochasic differenial equaions wih poisson jumps (RBDSDPs) wih one coninuous barrier where he generaor is coninuous and also we sudy he RBDSDPs wih a linear growh condiion and lef coninuiy in y on he generaor. By a comparison heorem esablished here for his ype of equaion we provide a minimal or a maximal soluion o RBDSDPs. Key words : Refleced Backward Doubly Sochasic Differenial quaions, Random Poisson Measure, Minimal Soluion, Comparison heorem, Disconinuous Generaor. AMS Subjec Classificaions : 6H5, 6H, 6H3. Inroducion A new kind of backward sochasic differenial equaions was inroduced by Pardoux and Peng [] in 994, which is a class of backward doubly sochasic differenial equaions (BDSDs for shor) Y fs,ys,z s ds gs,ys,z s db s Zs dw s,, where is a random variable ermed he erminal condiion, f :, d, g :, d are wo joinly measurable processes, W and B are wo muually independen sandard Brownian moion, wih values, respecively in d and. Several auhors ineresed in weakening his assumpion see Bahlali e al [3], Boufoussi e al. [5], Lin. Q [8] and[9],n zielal.[],shieal.[3],wue al. [5], Zhu e al. [7]. A class of backward doubly sochasic differenial equaions wih jumps was sudy by Sun el al. [4], Zhu e al. [6] hey have proved he exisence and uniqueness of soluions for his ype of BDSDs under uniformly Lipschiz condiions. In addiion, Bahlali e al [] prove he exisence and uniqueness of soluions o refleced 73
2 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps 74 backward doubly sochasic differenial equaions (RBDSDs) wih one coninuous barrier and uniformly Lipschiz coefficiens. he exisence of a maximal and a minimal soluion for RBDSDs wih coninuous generaor is also esablished. In his paper, we sudy he now well-know refleced backward doubly sochasic differenial equaions wih jumps (RBDSDPs for shor): Y fs, sds gs, sdbs dk s Z sdws Use ds,de,, where s Y s,z s,u s. Moivaed by he above resuls and by he resul inroduced by Fan. X, Ren. Y [6] and Zhu, Q., Shi, Y [6, 7], we esablish firsly he exisence of he soluion of he refleced BDSD wih Poisson jumps (RBDSDP in shor) under he coninuous coefficien, also we prove he exisence soluion of a RBDSDP where he coefficien f saisfy a linear growh and lef coninuiy in y condiions on he generaor of his ype of equaion.f he organizaion of he paper is as follows. In secion, we give some preliminaires and we consider he spaces of processus also we define he Iô s formula. In secion 3, we proof a comparison heorem, secion 4 under a coninuous condiions on f we obain he exisence of a minimal soluion of RBDSDP, and finally in secion 5, we sudy RBDSDP where he generaor f saisfied a lef coninuiy in y and linear growh condiions.. Noaions, Assumpions and Definiions Le,F,P be a complee probabiliy space. For, We suppose ha F is generaed by he following hree muually independen processes: (i) Le W, and B, be wo sandard Brownian moion defined on,f,p wih values in d and, respecively. (ii) Le random Poisson measure on wih compensaor d,de ded, where he space is equipped wih is Borel field such ha, A, A is a maringale for any A saisfying A. is a finie measure on and saisfies e de. Le F W : W s ; s, F : s ; s and F, : B s B ; s, compleed wih P-null ses. We pu, F : F W F B, F. I should be noed ha F is no an increasing family of sub fields, and hence i is no a filraion. For d N, sands for he uclidian norm in d,. We consider he following spaces of processes: We denoe by S,, d, he se of coninuous F measurable processes ;,, which saisfy sup. Le M,, d denoe he se of d dimensional, F measurable processes ;,, such ha d. A se of coninuous, increasing, F measurable process K :,, wih K, K. L se of F - measurable random variables : wih. We denoe by L,,, d, he space of mappings U :, d which are measurable such ha B
3 75 B. MANSOURI, and M. A.. SAOULI U L,,, d U L,,, d d, where denoed he algebra of F predecable ses of, and U L,,, d U e de. Noice also he space D S,,R M,,R d L,,,R A endowed wih he norm Y,Z,U,K D Y S Z M U L K A. is a Banach space. Definiion.. wich saisfies A soluion of a refleced BDSDPs is a quadruple of processes Y,Z,K,U i Y S,,, Z M,, d,k A,U L,,,, ii Y fs,ys,z s,u s ds gs,ys,z s,u s db s dks Zs dw s U s e ds,de,, iii S Y, and Y S dk. We give he following (H) assumpions on he daa, f, g, S : (H.) f :, d L,,, ; g :, d L,,, be joinly measurable such ha for any y,z,u d L,,, f,,y,z,u M,,, g,,y,z,u M,,. (H.) here exis consan C and a consan such ha for every,, and y,y, z,z d, u,u L,,, i f,,y,z,u f,,y,z,u C y y z z u u, ii g,,y,z,u g,,y,z,u C y y z z u u. (H.3) he erminal value be a given random variable in L. (H.4) S, is a coninuous progressively measurable real valued process saisfying
4 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps 76 sup S, where S : maxs,. (H.5) S, P-almos surely. heorem [6].. Assume ha H. H.5 hold. hen equaion admis a unique soluion Y,Z,U,K D. he resul depends on he following exension of he well-krown Iô s formula. Is proof follows he same way as Lemma.3 of []. Lemma.. Le S,, k,, M k, M kd and L,,, k such ha: hen i ii s ds s db s s dw s dks s e ds,de, s, s ds s, s db s s, s dw s s,dk s s,e ds,de s ds s ds Δ s, s e deds s ds s e deds s, s ds s,dk s 3. A Comparison heorem s ds. Given wo parameers,f,g, and,f,g,, we considere he refleced BDSDPs, i,, Yi i f i s,y s i,zs i,us i ds gs,y s i,zs i,us i dbs dk s i Z s i dws Us i e ds,de,. heorem 3.. Assume ha he refleced BDSDP associaed wih daes,f,g,, resp,f,g, has a soluion Y,Z,K,U,, resp Y,Z,K,U,. ach one saisfying he assumpion (H). Assume moreover ha:
5 77 B. MANSOURI, and M. A.. SAOULI,, S S, f,y,z,u f,y,z,u. hen we have P a.s., Y Y. Proof. Le us show ha Y Y, using he equaion (), we ge Ȳ Y Y f s,y s,z s,u s f s,y s,z s,u s ds gs,ys,z s,u s gs,y s,z s,u s db s dks dk s Z sdw s Ū s eds,de, where, Z Z Z and Ū U U. Since Ȳs gs,y s,z s,u s gs,y s,z s,u s db s and Ȳs Z sdw s are a uniformly inegrable maringale hen aking expecaion, we ge by applying lemma. Ȳ Ȳs Z s ds Ȳs Ū s e deds Ȳs f s,y s,z s,u s f s,y s,z s,u s ds Ȳs dk s dk s Ȳ s gs,y s,z s,u s gs,y s,z s,u s ds. Since, we ge Ȳs dk s dk s Ys Y s dk s, Ȳ Ȳs Z s ds Ȳs Ū se deds Ȳs f s,y s,z s,u s f s,y s,z s,u s ds gs,y Ȳ s s,z s,u s gs,y s,z s,u s ds, o obain, by hypohesis H. and Young s inequaliy, he following inequaliy Ȳs f s,y s,z s,u s f s,y s,z s,u s ds C C Ȳs ds Z s Ū s de ds.
6 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps 78 Also, we apply assumpion H. for g o arrive a gs,y s,z s,u s gs,y s,z s,u s C Ȳ s ds Z s Ū s. hen, we have he following inequaliy Ȳ Ȳ s Z ds Ȳ s Ū se deds C C Ȳs ds Z s Ū s de ds C Ȳ s Ȳ s ds Ȳ s Z s Ȳ s Ū s de ds, C 3C Ȳs ds Ȳ s Z s ds Ȳ s Ū s deds. By choosing such ha, we have Ȳ 3C C Ȳs ds. hen using Gronwall s lemma implies ha Ȳ. Finally, we have Y Y. 4. Refleced BDSDPs Wih Coninuous Coefficiens In his secion we are ineresed in weakening he condiions on f. We assume ha f and g saisfy he following assumpions: (H.6) here exiss andc s.. for all,,y,z,u, d L,,,, f,,y,z,u C y z u, g,,y,z,u g,,y,z,u C y y z z u u. (H.7) For fixed and, f,,,, is coninuous. he nex hree lemmas will be useful in he sequel. Before saing hem, we recall he following classical lemma, ha can be proved by adaping he proof given by J. J. Aliber and K. Bahlali in []. Lemma 4.. Lef :, d L,,, be a mesurable funcion such ha: Lemma.. For a.s. every,,, f,,y,z,u is a coninuous. 3. here exiss a consan C such ha for every,,y,z,u, d L,,,, f,,y,z,u C y z u. hen exiss he sequence of funcions f n
7 79 B. MANSOURI, and M. A.. SAOULI f n,,y,z,u y, z, u inf f,,y,z,u n y y z z u u, B is well defined for each n C, and i saisfies, dp d a.s. i Linear growh: n, y,z,u d L, f n,,y,z,u C y z u. ii Monooniciy in n : y,z,u, f n,,y,z,u is increases in n. iii Convergence:,,y,z,u, B, if,,y n,z n,u n,,y,z,u, hen f n,,y n,z n,u n f,,y,z,u. iv Lipschiz condiion: n,,,, y,z,u B and y,z,u B, wehave f n,,y,z,u f n,,y,z,u n y y z z u u. Now given L, n N, we consider Y n,z n,k n,u n and resp V,N,K,M be soluions of he following refleced BDSDPs: Y n f ns,ys n,zs n,us n ds gs,y s n,zs n,us n dbs dk s n Z s n dws Us n e ds,de,, 3 S Y n,, and Y n S dk n. respecively V Hs,Vs,N s,m s ds gs,vs,n s,m s db s dks Ns dw s M s e ds,de,, S V,, and V S dk, where Hs,,V,N,M C V N M. Lemma 4.. i a.s. for all, and n m, Y n Y m V, ii assume ha H., H.3 H.7 is in force. hen here exiss a consan A depending only on C,, and such ha: U n L,,, A, Zn M,, d A. Proof.he prove of he i follow from comparison heorem. I remains o prove ii, bylemma., we have
8 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps 8 Y n Zs n ds U s n e deds Ys n f n s,y s n,z s n,u s n ds Ys n dk s n gs,ys n,z s n,u s n ds. By i in lemma 4., we have Ys n f n s,y s n,z s n,u s n ds C Ys n Y s n Z s n U s n ds Ys n ds C C Ys n ds C Ys n ds Zs n ds C Ys n ds U s n e deds, C C C Ys n ds C Also by he hypohesis associaed wih g, wege Zs n ds U s n e deds. gs,y s n,z s n,u s n gs,y s n,z s n,u s n gs,,, gs,,,, C Y s n Z s n U s n gs,,,. Chossing. hen, we obain he following inequaliy Y n Zs n ds U s n e deds C C 4C C Ys n ds Ys n dk s n Zs n ds U s n e deds Consequenly, we have gs,,, ds. Zs n U s n e de ds where C n Zs ds U n s e deds K n K n, gs,,, ds sup S s s sup Y n. Now chossing and such ha, we obain C 4C
9 8 B. MANSOURI, and M. A.. SAOULI Z s n ds Us n e deds K n K n. On he oher hand, we have from q.3, 4 K n K n Y n fn s,y s n,z s n,u s n ds gs,ys n,z s n,u s n db s Zs n dw s U s n e ds,de. Using he Hölder s inequaliy and assupmion H.6, wehave K n K n C C Zs n ds U n deds, From inequaliy 4, wege Zs n U s n e de ds C C Zs n U n de ds. Finally chossing such ha C, we obain Zs n ds U s n e deds C. hus he prove of his lemma is comple. Lemma 4.3. Assume ha H., H.3 H.7 is in force. hen he sequence Z n,u n converges a.s. in M,, d L,,,. Proof. Le n C. Fromq.4., we deduce ha here exiss a process Y S,, such ha Y n Y a.s., as n. Applying lemma. o Y n Y m,forn,m n Y n Y m Zs n Z s m ds U s n e U s m e deds Ys n Y s m f n s,y s n,z s n,u s n f m s,y s m,z s m,u s m ds Ys n Y s m dk s n dk s m gs,ys n,z s n,u s n gs,y s m,z s m,u s m ds. Since Ys n Y s m dk s n dk s m, we deduce ha Z n Z m ds U s n e U s m e deds Ys n Y s m f n s,y s n,z s n,u s n f m s,y s m,z s m,u s m ds gs,ys n,z s n,u s n gs,y s m,z s m,u s m ds. Using Hölder s inequaliy and assumpion H.6 for g, we deduce ha Z n Z m ds U s n e U s m e deds fn s,y s n,z s n,u s n f m s,y s m,z s m,u s m ds Ys n Y s m ds C Ys n Y s m ds. Applying assumpion H.6 for f and he boundedness of he sequence Y n,z n,u n, we deduce
10 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps 8 ha Z n Z m ds U s n e U s m e deds C e Ys n Y s m ds, where he consan C e depend only, C, and. Which yields ha Z n n respecively U n n is a Cauchy sequence in M,, d, respecively in L,,,. hen here exiss Z,U M,, d L,,, such ha Zs n Z s ds U s n e U s e deds, as n. heorem 4.. Assume ha H., H.3 H.7 holds. hen q admis a soluion Y,Z,U,K D. Moreover here is a minimal soluion Y,Z,U of RBDSDP in he sense ha for any oher soluion Y,Z,U of q., we have Y Y. Proof. From q.4., i s readily seen ha Y n converges in S,,, d dp a.s. o Y S,,. Oherwise hanks o lemma 4.3 here exiss wo subsequences sill noed as he whole sequence Z n n respecively U n n such ha Zs n Z s ds asn, and U s n e U s e deds, as n. Applying lemma 4., we have f n,y n,z n,u n f,y,z,u and he linear growh of f n implies f n,y n,z n,u n C sup Y n Z n U n n L,;d. hus by Lebesgue s dominaed convergence heorem, we deduce ha for almos all and uniformly in, wehave fn s,y s n,z s n,u s n ds fs,ys,z s,u s ds. We have by H.6 he following esimaion n gs,ys,z n s,u n s gs,y s,z s,u s ds C Ys n Y s ds Zs n Z s ds U s n e U s e deds, as n, Using Burkholder-Davis-Gundy inequaliy, we have
11 83 B. MANSOURI, and M. A.. SAOULI sup n Zs dw s Zs dw s, sup U n s e ds,de U s e ds,de, sup n gs,ys,z n s,u n s db s gs,ys,z s,u s db s, in probabiliy as, n. Le he following refleced BDSDPs wih daa,f,g,s Ŷ S,,, Ẑ M,, d, K A, Û L,,,, Ŷ fs,ys,z s,u s ds gs,ys,z s,u s db s dks Ẑs dw s Û s e ds,de, S Ŷ, and Ŷ S dk. By Iô s formula, we obain Y n Ŷ n Ys Ŷ s f n s,y n s,z n s,u n s fs,y s,z s,u s ds Ys n Ŷ s dk s n dk s gs,ys n,z s n,u s n gs,y s,z s,u s ds U s n e Û s e deds Zs n Ẑ s ds. Using he fac ha Ys n Ŷ s dk s n dk s, we ge Y n Ŷ U s n e Û s e deds Zs n Ẑ s ds Ys n Ŷ s f n s,y s n,z s n,u s n fs,y s,z s,u s ds gs,ys n,z s n,u s n gs,y s,z s,u s ds. he by leing n, wehavey Ŷ, U Û and Z Ẑ dp d a.e. Le Y,Z,U,K be a soluion of. hen by heorem 3., we have for any n N, Y n Y. herefore, Y is a minimal soluion of.
12 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps RBDSDPs Wih Disconinuous Coefficiens In his secion we are ineresed in weakening he condiions on f. We assume ha f saisfy he following assumpions: (H.8) here exiss a nonnegaive process f M,, and consan C, such ha,y,z,u, B, f,y,z,u f C y z u. (H.9) f,,z,u : is a lef coninuous and f,y,, is a coninuous. (H.) here exiss a coninuous foncion :, B saisfying for y y, z,u d L,,,,y,z,u C y z u, f,,y,z,u f,,y,z,u,y y,z z,u u. (H.) g saisfies H.,ii. 5.. xisence resul he wo nex lemmas will be useful in he sequel. Lemma 5.. Assume ha saisfies H., g saisfies H. and h belongs in M,,. For a coninuous processes of finie variaion A belong in A we consider he processes Ȳ,Z,Ū S,, M,, d L,,, such ha: i Ȳ s,ȳ s,z s,ūs hsds gs,ȳ s,z s,ūsdbs da s Z sdws Ūse ds,de,, 5 ii Ȳ da s. hen we have, he RBDSDPs 5. admis a minimal soluion Y,Z,A,U D. If h and, we have Ȳ, dp d a.s. Proof. Has been obained from a previous par. Applying lemma. o Ȳ, leads o Ȳ Ȳs Z s ds Ȳs Ū se deds Ȳs s,ȳ s,z s,ū s hsds Ȳs da s Ȳs gs,ȳ s,z s,ū s ds. Since h,, and using he fac ha Ȳ da s, we obain
13 85 B. MANSOURI, and M. A.. SAOULI Ȳ Ȳs Z s ds Ȳs Ū se deds Ȳs s,ȳ s,z s,ū s ds Ȳs gs,ȳ s,z s,ū s ds. AccordingoassumpionsH., wehave Ȳ Ȳs Z s ds Ȳs Ū se deds Ȳs s,ȳ s,z s,ū s ds C Ȳs Ȳ s ds Ȳs Z s ds Ȳs Ū se deds. hen by applying assumpion H. and using Young s inequaliy, we can wrie Ȳs s,ȳ s,z s,ū s ds C Ȳs ds Ȳs ds C Z s ds Ȳs ds C Ū s e deds. hen Ȳ Ȳs Z s ds Ȳs Ū se deds 3C Ȳs ds C Ȳs Z s Ū s e de ds. herefore, choosing, and C such ha C and using Gronwall s inequaliy, we have Ȳ, P a.s. for all,. his implies ha Ȳ, P a.s. for all,. Now by heorem 4., we consider he processes Ỹ,Z,K,Ũ, Y,Z,K,U and he sequence of processes Ỹ n,z n,k n,ũ n n respecively as minimal soluion, for all,, o he following RBDSDPs iỹ C Ỹ s Z s Ũ s fs ds gs,ỹ s,z s,ũ s dbs dk s Z s dw s Ũs e ds,de,, 6 iiỹ S, iii Ỹ s Ss dk s,
14 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps 86 i Y C Y s Zs Us fs ds gs,y s,zs,us dbs dk s Z s dws Us e ds,de,, ii Y S, 7 iii Y s Ss dks, and i Ỹ n fs,ỹ s n,z sn,ũ s n ds s,ỹ n Ỹ n,z n Z n,ũ n Ũ n ds gs,ỹ s n,z sn,ũ s n dbs dk sn Z sn dw s Ũs n e ds,de,, iiỹ n S, iii Ỹ s n SsdK sn. 8 Lemma 5.. Under he assumpions H., H.3, H.5 and H.8 H., and for any n wih,,here holds Ỹ Ỹ n Ỹ n Y. Proof. For any n, we se n n n, and Δ n s,ỹ n s,z sn,ũ n s s,ỹ n s Ỹ n s,z sn Z sn,ũ n s Ũ n s s,ỹ n s,z sn,ũ n s. Invoke 8 o wrie where Ỹ n s,ỹs n,z sn,ũ s n s n ds Δg n s,ỹ s n,z sn,ũ s n db s dk sn Z sn dw s Ũ s n e ds,de,
15 87 B. MANSOURI, and M. A.. SAOULI n s Δf n s,ỹ n s,z sn,ũ n s s,ỹ n s,z sn,ũ n s, and s fs,ỹ s,z s,ũ s C Ỹ s Z s Ũ s f s, n. According o is definiion, one can show ha s and Δg n, n saisfy all assumpion of lemma 5.. Moreover, since K n is a coninuous and increasing process, for all n, hen K sn is a coninuous process of finie variaion. Using he same argumens as in firs par, i is possible o show ha Ỹ n Ỹ n dk n Ỹ n Ỹ n dk n Ỹ n Ỹ n dk n. By applying lemma 5., we deduce ha Ỹ n, i.e. Ỹ n Ỹ n, for all,.so we have Ỹ n Ỹ n Ỹ. Now we shall prove ha Ỹ n Y. By definiion, we have Y Ỹ n C Ys Ỹ s n Z s Z sn U s Ũ s n s n ds gs,ys,z s,u s gs,ỹ s n,z sn,ũ s n db s dks dk sn Zs Z sn dw s U s e Ũ s n e ds,de, where n s C Y n s Ỹ s Z s Z sn U n s Ũ s Y s Z s U s f s fs,ỹ n s,z sn,ũ n s s,ỹ n s,z sn,ũ n s. Also by repeaed use of lemma 5., we deduce ha Y Ỹ n, i.e. Y Ỹ n, for all,. hus, we have for all n, Y Ỹ n Ỹ n Ỹ, dp d a.s.,,. Now we can sae our main resul. heorem 5.. Under assumpion H., H.3, H.5 and H.8 H., he RBDSDPs has a minimal soluion Y,Z,K,U, D. Proof. Since Ỹ n maxỹ,y Ỹ Y for all,, wehave sup n sup Ỹ n sup Ỹ sup Y. herefore, we deduce from he Lebesgue s dominaed convergence heorem ha Ỹ n n converges in S,, o a limi Y. On he oher hand, by 8 we can wrie
16 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps 88 Ỹ n Ỹ n fs,ỹs n,z sn,ũ s n ds s,ỹ n,z n,ũ n ds gs,ỹs n,z sn,ũ s n db s dk sn Z sn dw s Ũ s n e ds,de. Apply hen lemma. o obain Ỹ n Z sn ds Ũ s n e deds Ỹs n fs,ỹ s n,z sn,ũ s n s,ỹ s n,z sn,ũ s n ds Ỹs n dk sn gs,ỹ s n,z sn,ũ s n ds. By H.8 and H., i follows ha Ỹ n f,ỹ n,z n,ũ n,ỹ n,z n,ũ n Ỹ n n f C Ỹ Z n Ũ n n C Ỹ Z n Ũ n Ỹ n C Ỹ n f C C C Ỹ n Ỹ n C Ỹ n Z n C Ỹ n Ũ n C 3 Ỹ n 3 Z n C 4 Ỹ n 4 Ũ n C C 3 C 4 C Ỹ n 3 Z n 4 n Ũ n Ỹ Z n n Ũ f. Also applying H. leads o he following inequaliy gs,ỹ n s,z sn,ũ n s gs,ỹ n s,z sn,ũ n s gs,,, gs,,, hen using Young s inequaliy, allows wriing Ỹs n dk sn Ss dk sn C Ỹ s n Z sn Ũ s n gs,,,. sup S K n. herefore, here exiss a consan C independen of n such ha for any i,wherei :4,we have Z sn ds Ũs n e deds C 3 Z sn ds 4 Ũs n deds 9 Z sn ds Ũs n deds K n. Moreover, since
17 89 B. MANSOURI, and M. A.. SAOULI K n Ỹ n fs,ỹs n,z sn,ũ s n ds s,ỹ s n,z sn,ũ s n ds gs,ỹs n,z sn,ũ s n db s Z sn dw s Ũ s n e ds,de, we may use Hölder s inequaliy and assumpions H.8 and H.. Consequenly, here exiss wo consans C and C depending on,c,, i,i,...,4, and we have ha K n C C Z sn Z sn ds Ũ s n Ũ s n deds. We reurn back o inequaliy 9 and wrie Z sn ds Ũ s n e deds C C C Z sn ds C Ũ s n deds 3 C Z sn ds 4 C Ũ s n deds. hen by aking and 3 4, wehave Z sn ds Ũ s n e deds C C C Z sn ds Ũ s n deds C Z sn Ũ s n e de ds. A furher choise of, and such ha C, allows for Z sn ds Ũ s n e deds C C C Z sn ds Ũ s n deds i n C C C i C n Z s ds Ũ s deds. i Now choosing, and C such ha C, and noing ha Z s Ũ s de ds,allows for sup Z sn ds and n N sup Ũ s n e deds. n N Consequenly, we deduce ha K n. Now we shall prove ha Z n,k n,ũ n is a Cauchy sequence in M,, d A L,,,, seγ n s fs,ỹ n s,z sn,ũ n s s,ỹ n s,z sn,ũ n s o arrive
18 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps 9 a Ỹ n Ỹ m Γs n Γ s m ds gs,ỹs n,z sn,ũ s n gs,ỹ s m,z sm,ũ s m db s dk sn dk sm Z sn Z sm dw s Ũ s n e Ũ s m e ds,de. Furher applicaion of lemma. o Ỹs n,m Ỹ s n Ỹ s m, resuls wih Ỹ n Ỹ m Z sn Z sm ds Ũ s n Ũ s m deds Ỹs n Ỹ s m Γ s n Γ s m ds Ỹs n Ỹ s n dk sn dk sm gs,ỹ s n,z sn,ũ s n gs,ỹ s m,z sm,ũ s m ds. Since Ỹs n Ỹ s n dk sn dk sm, we obain Z sn Z sm ds Ũ s n Ũ s m deds Ỹs n Ỹ s m Γ s n Γ s m ds gs,ỹ s n,z sn,ũ s n gs,ỹ s m,z sm,ũ s m ds. Apply nex Hölder s inequaliy and assumpion H. o wrie Z sn Z sm ds Ũ s n Ũ s m deds Ỹs n Ỹ s m ds Γs n Γ s m ds C Ỹs n Ỹ s m ds. he boundedness of he sequence Ỹ n,z n,k n,ũ n implies ha sup n Γs ds, o allow for Z sn Z sm ds Ũ s n Ũ s m deds n N 4 Ỹs n Ỹ s m ds C Ỹs n Ỹ s m ds, which implies ha each of Z n n and Ũ n n, is a Cauchy sequence in M,, d and in L,,, respecively. hen here exiss Z,U M,, d L,,, such ha, Z sn Z s ds Ũs n Us de, as n. On he oher hand, applying he Burkholder-Davis-Gundy inequaliy and, ends up wih
19 9 B. MANSOURI, and M. A.. SAOULI sup Z sn dw s Z sdws Z sn Z s ds, as n, sup Ũs n e ds,de Use ds,de Ũs n Us deds, as n, sup gs,ỹ s n,z sn,ũ s n dbs gs,y s,zs,usdbs C Ỹ s n Ys ds Z sn Z s ds Ũs n Us deds, as n. herefore, from he properieies of f,, wehave Γ n s fs,ỹ n s,z sn,ũ n s s,ỹ n s,z sn,ũ n s fs,y s,z s,u s, P a.s., for all, as n. I follows hen, by he dominaed convergence heorem, ha n Γs fs,y s,z s,u s ds. Since Ỹ s n,z sn,ũ s n,γ s n converges in B M,, and sup K n K m Ỹ n Ỹ m sup sup Ỹ n Ỹ m Γs n Γ s m ds gs,ỹs n,z sn,ũ s n gs,ỹ s m,z sm,ũ s m db sup for any n,m, we deduce ha Z sn Z sm dw s sup Ũ s n e Ũ s m e ds,de, sup K n K m, as n,m. Consequenly, here exiss a F measurable process K wich value in such ha sup K n K Finally, we have, as n.
20 Refleced Disconinuous Doubly Sochasic Ds Wih Poisson Jumps 9 sup Ỹ n Y Z sn Z s ds Ũ s n U s deds sup K n K, as n. Obviously, K andk ; is a increasing and coninuous process. From 8, we have for all n, Ỹ n S,,.hen Y S,,. On he oher hand, from he resul of Saisho [], i follows ha Ỹs n S s dk sn Ys S s dk s, P a.s., as n. Using he ideniy Ỹs n S s dk sn for all n, we conclude ha Ys S s dk s. Leing hen n in equaion, proves ha Y,Z,K,U, is a soluion o i. Assume ulimaely Y,Z,U,K o be a soluion o o invoke heorem 3., and observe ha for any n N, Y n Y. herefore, Y is a minimal. Remark 5.. Using he same argumens and he following approximaing sequence f n,,y,z,u sup f,,y,z,u n y y z z u u, y, z, u B one can prove ha he RBDSD () has a maximal soluion. References [] J. J. Aliber, and K. Bahlali, Genericiy in deerminisic and sochasic differenial equaions, Séminaire de Probabiliés XXXV, Lecure Noes in Mahemaics 755, Springer Verlag, Berlin-Heidelberg, (), -4. [] K. Bahlali, M. Hassani, B. Mansouri, and N. Mrhardy, One barrier refleced backward doubly sochasic differenial equaions wih coninuous generaor, Compes Rendus Mahemaique 347(9), (9), -6. [3] K. Bahlali, R. Ga, and B. Mansouri, Backward doubly sochasic differenial equaions wih a superlinear growh generaor, Compes Rendus Mahemaique 353(), (5), 5-3. [4] J. M. Bismu, Conjugae convex funcions in opimal sochasic conrol, Journal of Mahemaical Analysis and Applicaions 44, (973), [5] B. Boufoussi, J. Van Caseren, and N. Mrhardy, Generalized backward doubly sochasic differenial equaions and SPDs wih nonlinear Neumann boundary condiions, Bernoulli 3(), (7), [6] X. Fan, and Y. Ren, Refleced backward doubly sochasic differenial equaion wih jumps, Mahemaica Applicaa (4), (9), [7] G. Jia, A class of backward sochasic differenial equaions wih disconinuous
21 93 B. MANSOURI, and M. A.. SAOULI coefficiens, Saisics and Probabiliy Leers 78, (8), [8] Q. Lin, A generalized exisence heorem of backward doubly sochasic differenial equaions, Aca Mahemaicae Sinica, nglish Series 6(8), (), [9] Q. Lin, Backward doubly sochasic differenial equaions wih weak assumpions on he coefficiens, Applied Mahemaics and Compuaion 7, (), [] M. N zi, and J. M. Owo, Backward doubly sochasic differenial equaions wih disconinuous coefficiens, Saisics and Probabiliy Leers 79, (9), []. Pardoux, and S. Peng, Backward doubly sochasic differenial equaions and sysems of quasili near SPDs, Probabiliy heory and Relaed Fields 98, (994), 9-7. [] Y. Saisho, Sochasic differenial equaions for mulidimensional domain wih reflecive boundary, and applicaions, Probabiliy heory and Relaed Fields 73(3), (987), [3] Y. Shi, Y. Gu, and K. Liu, Comparison heorems of backward doubly sochasic differenial equaions and applicaions, Sochasic Analysis and Applicaions 3, (5), 97. [4] A. B. Sow, Backward doubly sochasic differenial equaions driven by Lévy process: he case of non-lipschiz coefficiens, Journal of Numerical Mahemaics and Sochasics 3, (),7 79. [5] Z. Wu, and F. Zhang, BDSDs wih locally monoone coefficiens and Sobolev soluions for SPDs, Journal of Differenial quaions 5, (), [6] Q. Zhu, and Y. Shi, Backward doubly sochasic differenial equaions wih jumps and sochasic parial differenial-inegral equaions, Chinese Annals of Mahemaics, Ser. B 33,(), 7 4. [7] Q. Zhu, and Y. Shi, A class of backward doubly sochasic differenial equaions wih disconinuous coefficiens, Aca Mahemaicae Applicaae Sinica, nglish Series 3, (4), Aricle hisory: Submied February,, 8; Acceped December, 3, 8.
An Introduction to Backward Stochastic Differential Equations (BSDEs) PIMS Summer School 2016 in Mathematical Finance.
1 An Inroducion o Backward Sochasic Differenial Equaions (BSDEs) PIMS Summer School 2016 in Mahemaical Finance June 25, 2016 Chrisoph Frei cfrei@ualbera.ca This inroducion is based on Touzi [14], Bouchard
More informationGeneralized Snell envelope and BSDE With Two general Reflecting Barriers
1/22 Generalized Snell envelope and BSDE Wih Two general Reflecing Barriers EL HASSAN ESSAKY Cadi ayyad Universiy Poly-disciplinary Faculy Safi Work in progress wih : M. Hassani and Y. Ouknine Iasi, July
More informationDual Representation as Stochastic Differential Games of Backward Stochastic Differential Equations and Dynamic Evaluations
arxiv:mah/0602323v1 [mah.pr] 15 Feb 2006 Dual Represenaion as Sochasic Differenial Games of Backward Sochasic Differenial Equaions and Dynamic Evaluaions Shanjian Tang Absrac In his Noe, assuming ha he
More informationAn Introduction to Malliavin calculus and its applications
An Inroducion o Malliavin calculus and is applicaions Lecure 5: Smoohness of he densiy and Hörmander s heorem David Nualar Deparmen of Mahemaics Kansas Universiy Universiy of Wyoming Summer School 214
More informationBackward doubly stochastic di erential equations with quadratic growth and applications to quasilinear SPDEs
Backward doubly sochasic di erenial equaions wih quadraic growh and applicaions o quasilinear SPDEs Badreddine MANSOURI (wih K. Bahlali & B. Mezerdi) Universiy of Biskra Algeria La Londe 14 sepember 2007
More informationOn a Fractional Stochastic Landau-Ginzburg Equation
Applied Mahemaical Sciences, Vol. 4, 1, no. 7, 317-35 On a Fracional Sochasic Landau-Ginzburg Equaion Nguyen Tien Dung Deparmen of Mahemaics, FPT Universiy 15B Pham Hung Sree, Hanoi, Vienam dungn@fp.edu.vn
More informationEXISTENCE AND UNIQUENESS OF SOLUTIONS TO THE BACKWARD STOCHASTIC LORENZ SYSTEM
Communicaions on Sochasic Analysis Vol. 1, No. 3 (27) 473-483 EXISTENCE AND UNIQUENESS OF SOLUTIONS TO THE BACKWARD STOCHASTIC LORENZ SYSTEM P. SUNDAR AND HONG YIN Absrac. The backward sochasic Lorenz
More informationAnn. Funct. Anal. 2 (2011), no. 2, A nnals of F unctional A nalysis ISSN: (electronic) URL:
Ann. Func. Anal. 2 2011, no. 2, 34 41 A nnals of F uncional A nalysis ISSN: 2008-8752 elecronic URL: www.emis.de/journals/afa/ CLASSIFICAION OF POSIIVE SOLUIONS OF NONLINEAR SYSEMS OF VOLERRA INEGRAL EQUAIONS
More informationExample on p. 157
Example 2.5.3. Le where BV [, 1] = Example 2.5.3. on p. 157 { g : [, 1] C g() =, g() = g( + ) [, 1), var (g) = sup g( j+1 ) g( j ) he supremum is aken over all he pariions of [, 1] (1) : = < 1 < < n =
More informationUtility maximization in incomplete markets
Uiliy maximizaion in incomplee markes Marcel Ladkau 27.1.29 Conens 1 Inroducion and general seings 2 1.1 Marke model....................................... 2 1.2 Trading sraegy.....................................
More informationSingular control of SPDEs and backward stochastic partial diffe. reflection
Singular conrol of SPDEs and backward sochasic parial differenial equaions wih reflecion Universiy of Mancheser Join work wih Bern Øksendal and Agnès Sulem Singular conrol of SPDEs and backward sochasic
More informationUniqueness of solutions to quadratic BSDEs. BSDEs with convex generators and unbounded terminal conditions
Recalls and basic resuls on BSDEs Uniqueness resul Links wih PDEs On he uniqueness of soluions o quadraic BSDEs wih convex generaors and unbounded erminal condiions IRMAR, Universié Rennes 1 Châeau de
More informationThe Asymptotic Behavior of Nonoscillatory Solutions of Some Nonlinear Dynamic Equations on Time Scales
Advances in Dynamical Sysems and Applicaions. ISSN 0973-5321 Volume 1 Number 1 (2006, pp. 103 112 c Research India Publicaions hp://www.ripublicaion.com/adsa.hm The Asympoic Behavior of Nonoscillaory Soluions
More informationarxiv: v1 [math.pr] 19 Feb 2011
A NOTE ON FELLER SEMIGROUPS AND RESOLVENTS VADIM KOSTRYKIN, JÜRGEN POTTHOFF, AND ROBERT SCHRADER ABSTRACT. Various equivalen condiions for a semigroup or a resolven generaed by a Markov process o be of
More informationA Necessary and Sufficient Condition for the Solutions of a Functional Differential Equation to Be Oscillatory or Tend to Zero
JOURNAL OF MAEMAICAL ANALYSIS AND APPLICAIONS 24, 7887 1997 ARICLE NO. AY965143 A Necessary and Sufficien Condiion for he Soluions of a Funcional Differenial Equaion o Be Oscillaory or end o Zero Piambar
More informationBackward stochastic dynamics on a filtered probability space
Backward sochasic dynamics on a filered probabiliy space Gechun Liang Oxford-Man Insiue, Universiy of Oxford based on join work wih Terry Lyons and Zhongmin Qian Page 1 of 15 gliang@oxford-man.ox.ac.uk
More informationPositive continuous solution of a quadratic integral equation of fractional orders
Mah. Sci. Le., No., 9-7 (3) 9 Mahemaical Sciences Leers An Inernaional Journal @ 3 NSP Naural Sciences Publishing Cor. Posiive coninuous soluion of a quadraic inegral equaion of fracional orders A. M.
More informationExistence and uniqueness of solution for multidimensional BSDE with local conditions on the coefficient
1/34 Exisence and uniqueness of soluion for mulidimensional BSDE wih local condiions on he coefficien EL HASSAN ESSAKY Cadi Ayyad Universiy Mulidisciplinary Faculy Safi, Morocco ITN Roscof, March 18-23,
More informationOn Gronwall s Type Integral Inequalities with Singular Kernels
Filoma 31:4 (217), 141 149 DOI 1.2298/FIL17441A Published by Faculy of Sciences and Mahemaics, Universiy of Niš, Serbia Available a: hp://www.pmf.ni.ac.rs/filoma On Gronwall s Type Inegral Inequaliies
More informationExistence Theory of Second Order Random Differential Equations
Global Journal of Mahemaical Sciences: Theory and Pracical. ISSN 974-32 Volume 4, Number 3 (22), pp. 33-3 Inernaional Research Publicaion House hp://www.irphouse.com Exisence Theory of Second Order Random
More informationLocal Strict Comparison Theorem and Converse Comparison Theorems for Reflected Backward Stochastic Differential Equations
arxiv:mah/07002v [mah.pr] 3 Dec 2006 Local Sric Comparison Theorem and Converse Comparison Theorems for Refleced Backward Sochasic Differenial Equaions Juan Li and Shanjian Tang Absrac A local sric comparison
More informationConvergence of the Neumann series in higher norms
Convergence of he Neumann series in higher norms Charles L. Epsein Deparmen of Mahemaics, Universiy of Pennsylvania Version 1.0 Augus 1, 003 Absrac Naural condiions on an operaor A are given so ha he Neumann
More informationBSDES UNDER FILTRATION-CONSISTENT NONLINEAR EXPECTATIONS AND THE CORRESPONDING DECOMPOSITION THEOREM FOR E-SUPERMARTINGALES IN L p
ROCKY MOUNTAIN JOURNAL OF MATHEMATICS Volume 43, Number 2, 213 BSDES UNDER FILTRATION-CONSISTENT NONLINEAR EXPECTATIONS AND THE CORRESPONDING DECOMPOSITION THEOREM FOR E-SUPERMARTINGALES IN L p ZHAOJUN
More informationHamilton- J acobi Equation: Weak S olution We continue the study of the Hamilton-Jacobi equation:
M ah 5 7 Fall 9 L ecure O c. 4, 9 ) Hamilon- J acobi Equaion: Weak S oluion We coninue he sudy of he Hamilon-Jacobi equaion: We have shown ha u + H D u) = R n, ) ; u = g R n { = }. ). In general we canno
More informationSobolev-type Inequality for Spaces L p(x) (R N )
In. J. Conemp. Mah. Sciences, Vol. 2, 27, no. 9, 423-429 Sobolev-ype Inequaliy for Spaces L p(x ( R. Mashiyev and B. Çekiç Universiy of Dicle, Faculy of Sciences and Ars Deparmen of Mahemaics, 228-Diyarbakir,
More informationCash Flow Valuation Mode Lin Discrete Time
IOSR Journal of Mahemaics (IOSR-JM) e-issn: 2278-5728,p-ISSN: 2319-765X, 6, Issue 6 (May. - Jun. 2013), PP 35-41 Cash Flow Valuaion Mode Lin Discree Time Olayiwola. M. A. and Oni, N. O. Deparmen of Mahemaics
More informationMonotonic Solutions of a Class of Quadratic Singular Integral Equations of Volterra type
In. J. Conemp. Mah. Sci., Vol. 2, 27, no. 2, 89-2 Monoonic Soluions of a Class of Quadraic Singular Inegral Equaions of Volerra ype Mahmoud M. El Borai Deparmen of Mahemaics, Faculy of Science, Alexandria
More informationarxiv: v2 [math.pr] 11 Dec 2013
Mulidimensional BSDEs wih uniformly coninuous generaors and general ime inervals Shengjun FAN a,b,, Lishun XIAO a, Yanbin WANG a a College of Science, China Universiy of Mining and echnology, Xuzhou, Jiangsu,
More informationarxiv: v2 [math.pr] 7 Mar 2018
Backward sochasic differenial equaions wih unbounded generaors arxiv:141.531v [mah.pr 7 Mar 18 Bujar Gashi and Jiajie Li 1 Insiue of Financial and Acuarial Mahemaics (IFAM), Deparmen of Mahemaical Sciences,
More informationL p -L q -Time decay estimate for solution of the Cauchy problem for hyperbolic partial differential equations of linear thermoelasticity
ANNALES POLONICI MATHEMATICI LIV.2 99) L p -L q -Time decay esimae for soluion of he Cauchy problem for hyperbolic parial differenial equaions of linear hermoelasiciy by Jerzy Gawinecki Warszawa) Absrac.
More informationREFLECTED SOLUTIONS OF BACKWARD SDE S, AND RELATED OBSTACLE PROBLEMS FOR PDE S
The Annals of Probabiliy 1997, Vol. 25, No. 2, 72 737 REFLECTED SOLUTIONS OF BACKWARD SDE S, AND RELATED OBSTACLE PROBLEMS FOR PDE S By N. El Karoui, C. Kapoudjian, E. Pardoux, S. Peng and M. C. Quenez
More informationHamilton- J acobi Equation: Explicit Formulas In this lecture we try to apply the method of characteristics to the Hamilton-Jacobi equation: u t
M ah 5 2 7 Fall 2 0 0 9 L ecure 1 0 O c. 7, 2 0 0 9 Hamilon- J acobi Equaion: Explici Formulas In his lecure we ry o apply he mehod of characerisics o he Hamilon-Jacobi equaion: u + H D u, x = 0 in R n
More informationarxiv: v1 [math.ca] 15 Nov 2016
arxiv:6.599v [mah.ca] 5 Nov 26 Counerexamples on Jumarie s hree basic fracional calculus formulae for non-differeniable coninuous funcions Cheng-shi Liu Deparmen of Mahemaics Norheas Peroleum Universiy
More informationExistence of positive solution for a third-order three-point BVP with sign-changing Green s function
Elecronic Journal of Qualiaive Theory of Differenial Equaions 13, No. 3, 1-11; hp://www.mah.u-szeged.hu/ejqde/ Exisence of posiive soluion for a hird-order hree-poin BVP wih sign-changing Green s funcion
More information6. Stochastic calculus with jump processes
A) Trading sraegies (1/3) Marke wih d asses S = (S 1,, S d ) A rading sraegy can be modelled wih a vecor φ describing he quaniies invesed in each asse a each insan : φ = (φ 1,, φ d ) The value a of a porfolio
More informationCONTRIBUTION TO IMPULSIVE EQUATIONS
European Scienific Journal Sepember 214 /SPECIAL/ ediion Vol.3 ISSN: 1857 7881 (Prin) e - ISSN 1857-7431 CONTRIBUTION TO IMPULSIVE EQUATIONS Berrabah Faima Zohra, MA Universiy of sidi bel abbes/ Algeria
More informationarxiv: v1 [math.pr] 23 Mar 2019
arxiv:193.991v1 [mah.pr] 23 Mar 219 Uniqueness, Comparison and Sabiliy for Scalar BSDEs wih Lexp(µ 2log(1 + L)) -inegrable erminal values and monoonic generaors Hun O, Mun-Chol Kim and Chol-Kyu Pak * Faculy
More informationarxiv: v1 [math.pr] 21 May 2010
ON SCHRÖDINGER S EQUATION, 3-DIMENSIONAL BESSEL BRIDGES, AND PASSAGE TIME PROBLEMS arxiv:15.498v1 [mah.pr 21 May 21 GERARDO HERNÁNDEZ-DEL-VALLE Absrac. In his work we relae he densiy of he firs-passage
More informationMODULE 3 FUNCTION OF A RANDOM VARIABLE AND ITS DISTRIBUTION LECTURES PROBABILITY DISTRIBUTION OF A FUNCTION OF A RANDOM VARIABLE
Topics MODULE 3 FUNCTION OF A RANDOM VARIABLE AND ITS DISTRIBUTION LECTURES 2-6 3. FUNCTION OF A RANDOM VARIABLE 3.2 PROBABILITY DISTRIBUTION OF A FUNCTION OF A RANDOM VARIABLE 3.3 EXPECTATION AND MOMENTS
More informationBACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTION AND DYNKIN GAMES 1. By Jakša Cvitanić and Ioannis Karatzas Columbia University
The Annals of Probabiliy 1996, Vol. 24, No. 4, 224 256 BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTION AND DYNKIN GAMES 1 By Jakša Cvianić and Ioannis Karazas Columbia Universiy We esablish
More informationOscillation of an Euler Cauchy Dynamic Equation S. Huff, G. Olumolode, N. Pennington, and A. Peterson
PROCEEDINGS OF THE FOURTH INTERNATIONAL CONFERENCE ON DYNAMICAL SYSTEMS AND DIFFERENTIAL EQUATIONS May 4 7, 00, Wilmingon, NC, USA pp 0 Oscillaion of an Euler Cauchy Dynamic Equaion S Huff, G Olumolode,
More informationUndetermined coefficients for local fractional differential equations
Available online a www.isr-publicaions.com/jmcs J. Mah. Compuer Sci. 16 (2016), 140 146 Research Aricle Undeermined coefficiens for local fracional differenial equaions Roshdi Khalil a,, Mohammed Al Horani
More informationA class of multidimensional quadratic BSDEs
A class of mulidimensional quadraic SDEs Zhongmin Qian, Yimin Yang Shujin Wu March 4, 07 arxiv:703.0453v mah.p] Mar 07 Absrac In his paper we sudy a mulidimensional quadraic SDE wih a paricular class of
More informationResearch Article Existence and Uniqueness of Periodic Solution for Nonlinear Second-Order Ordinary Differential Equations
Hindawi Publishing Corporaion Boundary Value Problems Volume 11, Aricle ID 19156, 11 pages doi:1.1155/11/19156 Research Aricle Exisence and Uniqueness of Periodic Soluion for Nonlinear Second-Order Ordinary
More informationDISCRETE GRONWALL LEMMA AND APPLICATIONS
DISCRETE GRONWALL LEMMA AND APPLICATIONS JOHN M. HOLTE MAA NORTH CENTRAL SECTION MEETING AT UND 24 OCTOBER 29 Gronwall s lemma saes an inequaliy ha is useful in he heory of differenial equaions. Here is
More informationA proof of Ito's formula using a di Title formula. Author(s) Fujita, Takahiko; Kawanishi, Yasuhi. Studia scientiarum mathematicarum H Citation
A proof of Io's formula using a di Tile formula Auhor(s) Fujia, Takahiko; Kawanishi, Yasuhi Sudia scieniarum mahemaicarum H Ciaion 15-134 Issue 8-3 Dae Type Journal Aricle Tex Version auhor URL hp://hdl.handle.ne/186/15878
More informationThe Existence, Uniqueness and Stability of Almost Periodic Solutions for Riccati Differential Equation
ISSN 1749-3889 (prin), 1749-3897 (online) Inernaional Journal of Nonlinear Science Vol.5(2008) No.1,pp.58-64 The Exisence, Uniqueness and Sailiy of Almos Periodic Soluions for Riccai Differenial Equaion
More informationSTABILITY OF NONLINEAR NEUTRAL DELAY DIFFERENTIAL EQUATIONS WITH VARIABLE DELAYS
Elecronic Journal of Differenial Equaions, Vol. 217 217, No. 118, pp. 1 14. ISSN: 172-6691. URL: hp://ejde.mah.xsae.edu or hp://ejde.mah.un.edu STABILITY OF NONLINEAR NEUTRAL DELAY DIFFERENTIAL EQUATIONS
More informationarxiv: v1 [math.fa] 9 Dec 2018
AN INVERSE FUNCTION THEOREM CONVERSE arxiv:1812.03561v1 [mah.fa] 9 Dec 2018 JIMMIE LAWSON Absrac. We esablish he following converse of he well-known inverse funcion heorem. Le g : U V and f : V U be inverse
More informationarxiv: v1 [math.pr] 28 Nov 2016
Backward Sochasic Differenial Equaions wih Nonmarkovian Singular Terminal Values Ali Devin Sezer, Thomas Kruse, Alexandre Popier Ocober 15, 2018 arxiv:1611.09022v1 mah.pr 28 Nov 2016 Absrac We solve a
More informationSupplement for Stochastic Convex Optimization: Faster Local Growth Implies Faster Global Convergence
Supplemen for Sochasic Convex Opimizaion: Faser Local Growh Implies Faser Global Convergence Yi Xu Qihang Lin ianbao Yang Proof of heorem heorem Suppose Assumpion holds and F (w) obeys he LGC (6) Given
More informationPOSITIVE SOLUTIONS OF NEUTRAL DELAY DIFFERENTIAL EQUATION
Novi Sad J. Mah. Vol. 32, No. 2, 2002, 95-108 95 POSITIVE SOLUTIONS OF NEUTRAL DELAY DIFFERENTIAL EQUATION Hajnalka Péics 1, János Karsai 2 Absrac. We consider he scalar nonauonomous neural delay differenial
More informationLecture 20: Riccati Equations and Least Squares Feedback Control
34-5 LINEAR SYSTEMS Lecure : Riccai Equaions and Leas Squares Feedback Conrol 5.6.4 Sae Feedback via Riccai Equaions A recursive approach in generaing he marix-valued funcion W ( ) equaion for i for he
More informationApproximation of backward stochastic variational inequalities
Al. I. Cuza Universiy of Iaşi, România 10ème Colloque Franco-Roumain de Mahémaiques Appliquées Augus 27, 2010, Poiiers, France Shor hisory & moivaion Re eced Sochasic Di erenial Equaions were rs sudied
More informationarxiv: v1 [math.pr] 14 Jul 2008
Refleced Backward Sochasic Differenial Equaions Driven by Lévy Process arxiv:0807.2076v1 [mah.pr] 14 Jul 2008 Yong Ren 1, Xiliang Fan 2 1. School of Mahemaics and Physics, Universiy of Tasmania, GPO Box
More informationAsymptotic instability of nonlinear differential equations
Elecronic Journal of Differenial Equaions, Vol. 1997(1997), No. 16, pp. 1 7. ISSN: 172-6691. URL: hp://ejde.mah.sw.edu or hp://ejde.mah.un.edu fp (login: fp) 147.26.13.11 or 129.12.3.113 Asympoic insabiliy
More informationCouplage du principe des grandes déviations et de l homogénisation dans le cas des EDP paraboliques: (le cas constant)
Couplage du principe des grandes déviaions e de l homogénisaion dans le cas des EDP paraboliques: (le cas consan) Alioune COULIBALY U.F.R Sciences e Technologie Universié Assane SECK de Ziguinchor Probabilié
More informationProperties Of Solutions To A Generalized Liénard Equation With Forcing Term
Applied Mahemaics E-Noes, 8(28), 4-44 c ISSN 67-25 Available free a mirror sies of hp://www.mah.nhu.edu.w/ amen/ Properies Of Soluions To A Generalized Liénard Equaion Wih Forcing Term Allan Kroopnick
More informationTO our knowledge, most exciting results on the existence
IAENG Inernaional Journal of Applied Mahemaics, 42:, IJAM_42 2 Exisence and Uniqueness of a Periodic Soluion for hird-order Delay Differenial Equaion wih wo Deviaing Argumens A. M. A. Abou-El-Ela, A. I.
More informationChapter 2. First Order Scalar Equations
Chaper. Firs Order Scalar Equaions We sar our sudy of differenial equaions in he same way he pioneers in his field did. We show paricular echniques o solve paricular ypes of firs order differenial equaions.
More informationExistence of positive solutions for second order m-point boundary value problems
ANNALES POLONICI MATHEMATICI LXXIX.3 (22 Exisence of posiive soluions for second order m-poin boundary value problems by Ruyun Ma (Lanzhou Absrac. Le α, β, γ, δ and ϱ := γβ + αγ + αδ >. Le ψ( = β + α,
More informationOn R d -valued peacocks
On R d -valued peacocks Francis HIRSCH 1), Bernard ROYNETTE 2) July 26, 211 1) Laboraoire d Analyse e Probabiliés, Universié d Évry - Val d Essonne, Boulevard F. Mierrand, F-9125 Évry Cedex e-mail: francis.hirsch@univ-evry.fr
More information2. Nonlinear Conservation Law Equations
. Nonlinear Conservaion Law Equaions One of he clear lessons learned over recen years in sudying nonlinear parial differenial equaions is ha i is generally no wise o ry o aack a general class of nonlinear
More informationLecture 10: The Poincaré Inequality in Euclidean space
Deparmens of Mahemaics Monana Sae Universiy Fall 215 Prof. Kevin Wildrick n inroducion o non-smooh analysis and geomery Lecure 1: The Poincaré Inequaliy in Euclidean space 1. Wha is he Poincaré inequaliy?
More informationHamilton Jacobi equations
Hamilon Jacobi equaions Inoducion o PDE The rigorous suff from Evans, mosly. We discuss firs u + H( u = 0, (1 where H(p is convex, and superlinear a infiniy, H(p lim p p = + This by comes by inegraion
More informationMatrix Versions of Some Refinements of the Arithmetic-Geometric Mean Inequality
Marix Versions of Some Refinemens of he Arihmeic-Geomeric Mean Inequaliy Bao Qi Feng and Andrew Tonge Absrac. We esablish marix versions of refinemens due o Alzer ], Carwrigh and Field 4], and Mercer 5]
More informationSome New Uniqueness Results of Solutions to Nonlinear Fractional Integro-Differential Equations
Annals of Pure and Applied Mahemaics Vol. 6, No. 2, 28, 345-352 ISSN: 2279-87X (P), 2279-888(online) Published on 22 February 28 www.researchmahsci.org DOI: hp://dx.doi.org/.22457/apam.v6n2a Annals of
More informationPOSITIVE PERIODIC SOLUTIONS OF NONAUTONOMOUS FUNCTIONAL DIFFERENTIAL EQUATIONS DEPENDING ON A PARAMETER
POSITIVE PERIODIC SOLUTIONS OF NONAUTONOMOUS FUNCTIONAL DIFFERENTIAL EQUATIONS DEPENDING ON A PARAMETER GUANG ZHANG AND SUI SUN CHENG Received 5 November 21 This aricle invesigaes he exisence of posiive
More informationOn Oscillation of a Generalized Logistic Equation with Several Delays
Journal of Mahemaical Analysis and Applicaions 253, 389 45 (21) doi:1.16/jmaa.2.714, available online a hp://www.idealibrary.com on On Oscillaion of a Generalized Logisic Equaion wih Several Delays Leonid
More informationarxiv: v1 [math.pr] 6 Oct 2008
MEASURIN THE NON-STOPPIN TIMENESS OF ENDS OF PREVISIBLE SETS arxiv:8.59v [mah.pr] 6 Oc 8 JU-YI YEN ),) AND MARC YOR 3),4) Absrac. In his paper, we propose several measuremens of he nonsopping imeness of
More informationMATH 4330/5330, Fourier Analysis Section 6, Proof of Fourier s Theorem for Pointwise Convergence
MATH 433/533, Fourier Analysis Secion 6, Proof of Fourier s Theorem for Poinwise Convergence Firs, some commens abou inegraing periodic funcions. If g is a periodic funcion, g(x + ) g(x) for all real x,
More informationLECTURE 1: GENERALIZED RAY KNIGHT THEOREM FOR FINITE MARKOV CHAINS
LECTURE : GENERALIZED RAY KNIGHT THEOREM FOR FINITE MARKOV CHAINS We will work wih a coninuous ime reversible Markov chain X on a finie conneced sae space, wih generaor Lf(x = y q x,yf(y. (Recall ha q
More informationEXISTENCE AND UNIQUENESS THEOREMS ON CERTAIN DIFFERENCE-DIFFERENTIAL EQUATIONS
Elecronic Journal of Differenial Equaions, Vol. 29(29), No. 49, pp. 2. ISSN: 72-669. URL: hp://ejde.mah.xsae.edu or hp://ejde.mah.un.edu fp ejde.mah.xsae.edu EXISTENCE AND UNIQUENESS THEOREMS ON CERTAIN
More informationStochastic Model for Cancer Cell Growth through Single Forward Mutation
Journal of Modern Applied Saisical Mehods Volume 16 Issue 1 Aricle 31 5-1-2017 Sochasic Model for Cancer Cell Growh hrough Single Forward Muaion Jayabharahiraj Jayabalan Pondicherry Universiy, jayabharahi8@gmail.com
More information10. State Space Methods
. Sae Space Mehods. Inroducion Sae space modelling was briefly inroduced in chaper. Here more coverage is provided of sae space mehods before some of heir uses in conrol sysem design are covered in he
More informationQuasi-sure Stochastic Analysis through Aggregation
E l e c r o n i c J o u r n a l o f P r o b a b i l i y Vol. 16 (211), Paper no. 67, pages 1844 1879. Journal URL hp://www.mah.washingon.edu/~ejpecp/ Quasi-sure Sochasic Analysis hrough Aggregaion H. Mee
More informationAlgorithmic Trading: Optimal Control PIMS Summer School
Algorihmic Trading: Opimal Conrol PIMS Summer School Sebasian Jaimungal, U. Torono Álvaro Carea,U. Oxford many hanks o José Penalva,(U. Carlos III) Luhui Gan (U. Torono) Ryan Donnelly (Swiss Finance Insiue,
More informationOn the probabilistic stability of the monomial functional equation
Available online a www.jnsa.com J. Nonlinear Sci. Appl. 6 (013), 51 59 Research Aricle On he probabilisic sabiliy of he monomial funcional equaion Claudia Zaharia Wes Universiy of Timişoara, Deparmen of
More informationSingular perturbation control problems: a BSDE approach
Singular perurbaion conrol problems: a BSDE approach Join work wih Francois Delarue Universié de Nice and Giuseppina Guaeri Poliecnico di Milano Le Mans 8h of Ocober 215 Conference in honour of Vlad Bally
More informationarxiv: v4 [math.pr] 29 Jan 2015
Mulidimensional quadraic and subquadraic BSDEs wih special srucure arxiv:139.6716v4 [mah.pr] 9 Jan 15 Parick Cheridio Princeon Universiy Princeon, NJ 8544, USA January 15 Absrac We sudy mulidimensional
More informationVariational Iteration Method for Solving System of Fractional Order Ordinary Differential Equations
IOSR Journal of Mahemaics (IOSR-JM) e-issn: 2278-5728, p-issn: 2319-765X. Volume 1, Issue 6 Ver. II (Nov - Dec. 214), PP 48-54 Variaional Ieraion Mehod for Solving Sysem of Fracional Order Ordinary Differenial
More informationON JENSEN S INEQUALITY FOR g-expectation
Chin. Ann. Mah. 25B:3(2004),401 412. ON JENSEN S INEQUALITY FOR g-expectation JIANG Long CHEN Zengjing Absrac Briand e al. gave a conerexample showing ha given g, Jensen s ineqaliy for g-expecaion sally
More informationOn Boundedness of Q-Learning Iterates for Stochastic Shortest Path Problems
MATHEMATICS OF OPERATIONS RESEARCH Vol. 38, No. 2, May 2013, pp. 209 227 ISSN 0364-765X (prin) ISSN 1526-5471 (online) hp://dx.doi.org/10.1287/moor.1120.0562 2013 INFORMS On Boundedness of Q-Learning Ieraes
More informationThe Optimal Stopping Time for Selling an Asset When It Is Uncertain Whether the Price Process Is Increasing or Decreasing When the Horizon Is Infinite
American Journal of Operaions Research, 08, 8, 8-9 hp://wwwscirporg/journal/ajor ISSN Online: 60-8849 ISSN Prin: 60-8830 The Opimal Sopping Time for Selling an Asse When I Is Uncerain Wheher he Price Process
More informationHomogenization of random Hamilton Jacobi Bellman Equations
Probabiliy, Geomery and Inegrable Sysems MSRI Publicaions Volume 55, 28 Homogenizaion of random Hamilon Jacobi Bellman Equaions S. R. SRINIVASA VARADHAN ABSTRACT. We consider nonlinear parabolic equaions
More informationThis article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and
This aricle appeared in a journal published by Elsevier. The aached copy is furnished o he auhor for inernal non-commercial research and educaion use, including for insrucion a he auhors insiuion and sharing
More information23.5. Half-Range Series. Introduction. Prerequisites. Learning Outcomes
Half-Range Series 2.5 Inroducion In his Secion we address he following problem: Can we find a Fourier series expansion of a funcion defined over a finie inerval? Of course we recognise ha such a funcion
More informationResearch Article Existence and Uniqueness of Positive and Nondecreasing Solutions for a Class of Singular Fractional Boundary Value Problems
Hindawi Publishing Corporaion Boundary Value Problems Volume 29, Aricle ID 42131, 1 pages doi:1.1155/29/42131 Research Aricle Exisence and Uniqueness of Posiive and Nondecreasing Soluions for a Class of
More informationA FAMILY OF MARTINGALES GENERATED BY A PROCESS WITH INDEPENDENT INCREMENTS
Theory of Sochasic Processes Vol. 14 3), no. 2, 28, pp. 139 144 UDC 519.21 JOSEP LLUÍS SOLÉ AND FREDERIC UTZET A FAMILY OF MARTINGALES GENERATED BY A PROCESS WITH INDEPENDENT INCREMENTS An explici procedure
More informationEXISTENCE OF S 2 -ALMOST PERIODIC SOLUTIONS TO A CLASS OF NONAUTONOMOUS STOCHASTIC EVOLUTION EQUATIONS
Elecronic Journal of Qualiaive Theory of Differenial Equaions 8, No. 35, 1-19; hp://www.mah.u-szeged.hu/ejqde/ EXISTENCE OF S -ALMOST PERIODIC SOLUTIONS TO A CLASS OF NONAUTONOMOUS STOCHASTIC EVOLUTION
More informationSTABILITY OF PEXIDERIZED QUADRATIC FUNCTIONAL EQUATION IN NON-ARCHIMEDEAN FUZZY NORMED SPASES
Novi Sad J. Mah. Vol. 46, No. 1, 2016, 15-25 STABILITY OF PEXIDERIZED QUADRATIC FUNCTIONAL EQUATION IN NON-ARCHIMEDEAN FUZZY NORMED SPASES N. Eghbali 1 Absrac. We deermine some sabiliy resuls concerning
More informationBackward Stochastic Differential Equations with Nonmarkovian Singular Terminal Values
Backward Sochasic Differenial Equaions wih Nonmarkovian Singular Terminal Values Ali Sezer, Thomas Kruse, Alexandre Popier, Ali Sezer To cie his version: Ali Sezer, Thomas Kruse, Alexandre Popier, Ali
More informationWell-posedness of Backward Stochastic Differential Equations with General Filtration
Well-posedness of Backward Sochasic Differenial Equaions wih General Filraion Qi Lü and Xu Zhang Absrac This paper is addressed o he well-posedness of some linear and semilinear backward sochasic differenial
More informationCHARACTERIZATION OF REARRANGEMENT INVARIANT SPACES WITH FIXED POINTS FOR THE HARDY LITTLEWOOD MAXIMAL OPERATOR
Annales Academiæ Scieniarum Fennicæ Mahemaica Volumen 31, 2006, 39 46 CHARACTERIZATION OF REARRANGEMENT INVARIANT SPACES WITH FIXED POINTS FOR THE HARDY LITTLEWOOD MAXIMAL OPERATOR Joaquim Marín and Javier
More informationarxiv: v2 [math.pr] 12 Jul 2014
Quadraic BSDEs wih L erminal daa Exisence resuls, Krylov s esimae and Iô Krylov s formula arxiv:4.6596v [mah.pr] Jul 4 K. Bahlali a, M. Eddahbi b and Y. Ouknine c a Universié de Toulon, IMATH, EA 34, 83957
More information4 Sequences of measurable functions
4 Sequences of measurable funcions 1. Le (Ω, A, µ) be a measure space (complee, afer a possible applicaion of he compleion heorem). In his chaper we invesigae relaions beween various (nonequivalen) convergences
More informationSimulation of BSDEs and. Wiener Chaos Expansions
Simulaion of BSDEs and Wiener Chaos Expansions Philippe Briand Céline Labar LAMA UMR 5127, Universié de Savoie, France hp://www.lama.univ-savoie.fr/ Workshop on BSDEs Rennes, May 22-24, 213 Inroducion
More informationKYLE BACK EQUILIBRIUM MODELS AND LINEAR CONDITIONAL MEAN-FIELD SDEs
SIAM J. CONTROL OPTIM. Vol. 56, No. 2, pp. 1154 118 c 218 Sociey for Indusrial and Applied Mahemaics KYLE BACK EQUILIBRIUM MODELS AND LINEAR CONDITIONAL MEAN-FIELD SDEs JIN MA, RENTAO SUN, AND YONGHUI
More informationImproved Approximate Solutions for Nonlinear Evolutions Equations in Mathematical Physics Using the Reduced Differential Transform Method
Journal of Applied Mahemaics & Bioinformaics, vol., no., 01, 1-14 ISSN: 179-660 (prin), 179-699 (online) Scienpress Ld, 01 Improved Approimae Soluions for Nonlinear Evoluions Equaions in Mahemaical Physics
More informationEssential Maps and Coincidence Principles for General Classes of Maps
Filoma 31:11 (2017), 3553 3558 hps://doi.org/10.2298/fil1711553o Published by Faculy of Sciences Mahemaics, Universiy of Niš, Serbia Available a: hp://www.pmf.ni.ac.rs/filoma Essenial Maps Coincidence
More information