In this paper,we consider the high order method for solving the linear transport equations under diffusive scaling and with random inputs.To tackle the randomness in the problem,the stochastic Galerkin method of the g...In this paper,we consider the high order method for solving the linear transport equations under diffusive scaling and with random inputs.To tackle the randomness in the problem,the stochastic Galerkin method of the generalized polynomial chaos approach has been employed.Besides,the high order implicit-explicit scheme under the micro-macro decomposition framework and the discontinuous Galerkin method have been employed.We provide several numerical experiments to validate the accuracy and the stochastic asymptotic-preserving property.展开更多
We study the distribution limit of a class of stochastic evolution equation driven by an additive-stable Non-Gaussian process in the case of α∈(1,2).We prove that,under suitable conditions,the law of the solution co...We study the distribution limit of a class of stochastic evolution equation driven by an additive-stable Non-Gaussian process in the case of α∈(1,2).We prove that,under suitable conditions,the law of the solution converges weakly to the law of a stochastic evolution equation with an additive Gaussian process.展开更多
Time based maintenance(TBM)and condition based maintenance(CBM)are widely applied in many large wind farms to optimize the maintenance issues of wind turbine gearboxes,however,these maintenance strategies do not take ...Time based maintenance(TBM)and condition based maintenance(CBM)are widely applied in many large wind farms to optimize the maintenance issues of wind turbine gearboxes,however,these maintenance strategies do not take into account environmental benefits during full life cycle such as carbon emissions issues.Hence,this article proposes a carbon emissions computing model for preventive maintenance activities of wind turbine gearboxes to solve the issue.Based on the change of the gearbox state during operation and the influence of external random factors on the gearbox state,a stochastic differential equation model(SDE)and corresponding carbon emission model are established,wherein SDE is applied to model the evolution of the device state,whereas carbon emission is used to implement carbon emissions computing.The simulation results indicate that the proposed preventive maintenance cannot ensure reliable operation of wind turbine gearboxes but reduce carbon emissions during their lifespan.Compared with TBM,CBM minimizes unit carbon emissions without influencing reliable operation,making it an effective maintenance method.展开更多
In this paper we consider general coupled mean-field reflected forward-backward stochastic differential equations(FBSDEs),whose coefficients not only depend on the solution but also on the law of the solution.The firs...In this paper we consider general coupled mean-field reflected forward-backward stochastic differential equations(FBSDEs),whose coefficients not only depend on the solution but also on the law of the solution.The first part of the paper is devoted to the existence and the uniqueness of solutions for such general mean-field reflected backward stochastic differential equations(BSDEs)under Lipschitz conditions,and for the one-dimensional case a comparison theorem is studied.With the help of this comparison result,we prove the existence of the solution for our mean-field reflected forward-backward stochastic differential equation under continuity assumptions.It should be mentioned that,under appropriate assumptions,we prove the uniqueness of this solution as well as that of a comparison theorem for mean-field reflected FBSDEs in a non-trivial manner.展开更多
This paper considers a linear-quadratic(LQ) meanfield game governed by a forward-backward stochastic system with partial observation and common noise,where a coupling structure enters state equations,cost functionals ...This paper considers a linear-quadratic(LQ) meanfield game governed by a forward-backward stochastic system with partial observation and common noise,where a coupling structure enters state equations,cost functionals and observation equations.Firstly,to reduce the complexity of solving the meanfield game,a limiting control problem is introduced.By virtue of the decomposition approach,an admissible control set is proposed.Applying a filter technique and dimensional-expansion technique,a decentralized control strategy and a consistency condition system are derived,and the related solvability is also addressed.Secondly,we discuss an approximate Nash equilibrium property of the decentralized control strategy.Finally,we work out a financial problem with some numerical simulations.展开更多
This study is focused on the approximate solution for the class of stochastic delay differential equations. The techniques applied involve the use of Caratheodory and Euler Maruyama procedures which approximated to st...This study is focused on the approximate solution for the class of stochastic delay differential equations. The techniques applied involve the use of Caratheodory and Euler Maruyama procedures which approximated to stochastic delay differential equations. Based on the Caratheodory approximate procedure, it was proved that stochastic delay differential equations have unique solution and established that the Caratheodory approximate solution converges to the unique solution of stochastic delay differential equations under the Cauchy sequence and initial condition. This Caratheodory approximate procedure and Euler method both converge at the same rate. This is achieved by replacing the present state with past state. The existence and uniqueness of an approximate solution of the stochastic delay differential equation were shown and the approximate solution to the unique solution was also shown. .展开更多
In this paper,we prove Talagrand’s T2 transportation cost-information inequality for the law of stochastic heat equation driven by Gaussian noise,which is fractional for a time variable with the Hurst index H∈(1/2,1...In this paper,we prove Talagrand’s T2 transportation cost-information inequality for the law of stochastic heat equation driven by Gaussian noise,which is fractional for a time variable with the Hurst index H∈(1/2,1),and is correlated for the spatial variable.The Girsanov theorem for fractional-colored Gaussian noise plays an important role in the proof.展开更多
Let u(t,x)be the solution to the one-dimensional nonlinear stochastic heat equation driven by space-time white noise with u(0,x)=1 for all x∈R.In this paper,we prove the law of the iterated logarithm(LIL for short)an...Let u(t,x)be the solution to the one-dimensional nonlinear stochastic heat equation driven by space-time white noise with u(0,x)=1 for all x∈R.In this paper,we prove the law of the iterated logarithm(LIL for short)and the functional LIL for a linear additive functional of the form∫[0,R]u(t,x)dx and the nonlinear additive functionals of the form∫[0,R]g(u(t,x))dx,where g:R→R is nonrandom and Lipschitz continuous,as R→∞for fixed t>0,using the localization argument.展开更多
In this paper,we establish a large deviation principle for the stochastic generalized Ginzburg-Landau equation driven by jump noise.The main difficulties come from the highly non-linear coefficient and the jump noise....In this paper,we establish a large deviation principle for the stochastic generalized Ginzburg-Landau equation driven by jump noise.The main difficulties come from the highly non-linear coefficient and the jump noise.Here,we adopt a new sufficient condition for the weak convergence criterion of the large deviation principle,which was initially proposed by Matoussi,Sabbagh and Zhang(2021).展开更多
In this paper, we focus on anticipated backward stochastic Volterra integral equations(ABSVIEs) with jumps. We solve the problem of the well-posedness of so-called M-solutions to this class of equation, and analytical...In this paper, we focus on anticipated backward stochastic Volterra integral equations(ABSVIEs) with jumps. We solve the problem of the well-posedness of so-called M-solutions to this class of equation, and analytically derive a comparison theorem for them and for the continuous equilibrium consumption process. These continuous equilibrium consumption processes can be described by the solutions to this class of ABSVIE with jumps.Motivated by this, a class of dynamic risk measures induced by ABSVIEs with jumps are discussed.展开更多
In this paper,we establish the integration by parts formula for the solution of fractional noise driven stochastic heat equations using the method of coupling.As an application,we also obtain the shift Harnack inequal...In this paper,we establish the integration by parts formula for the solution of fractional noise driven stochastic heat equations using the method of coupling.As an application,we also obtain the shift Harnack inequalities.展开更多
The existence and uniqueness results of fully coupled forward-backward stochastic differential equations with stopping time (unbounded) is obtained. One kind of comparison theorem for this kind of equations is also pr...The existence and uniqueness results of fully coupled forward-backward stochastic differential equations with stopping time (unbounded) is obtained. One kind of comparison theorem for this kind of equations is also proved.展开更多
A general type of forward-backward doubly stochastic differential equations (FBDSDEs) is studied. It extends many important equations that have been well studied, including stochastic Hamiltonian systems. Under some...A general type of forward-backward doubly stochastic differential equations (FBDSDEs) is studied. It extends many important equations that have been well studied, including stochastic Hamiltonian systems. Under some much weaker monotonicity assumptions, the existence and uniqueness of measurable solutions are established with a incthod of continuation. Furthermore, the continuity and differentiability of the solutions to FBDSDEs depending on parameters is discussed.展开更多
In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedba...In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations.展开更多
The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it consi...The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations (BSDEs) with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.展开更多
This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information avail...This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.展开更多
Burgers equation in random environment is studied. In order to give the exact solutions of random Burgers equation, we only consider the Wick-type stochastic Burgers equation which is the perturbation of the Burgers e...Burgers equation in random environment is studied. In order to give the exact solutions of random Burgers equation, we only consider the Wick-type stochastic Burgers equation which is the perturbation of the Burgers equation with variable coefficients by white noise W(t)=Bt, where Bt is a Brown motion. The auto-Baecklund transformation and stochastic soliton solutions of the Wick-type stochastic Burgers equation are shown by the homogeneous balance and Hermite transform. The generalization of the Wick-type stochastic Burgers equation is also studied.展开更多
The nonlinear mixed-effects model with stochastic differential equations (SDEs) is used to model the population pharmacokinetic (PPK) data that are extended from ordinary differential equations (ODEs) by adding ...The nonlinear mixed-effects model with stochastic differential equations (SDEs) is used to model the population pharmacokinetic (PPK) data that are extended from ordinary differential equations (ODEs) by adding a stochastic term to the state equation. Compared with the ODEs, the SDEs can model correlated residuals which are ubiquitous in actual pharmacokinetic problems. The Bayesian estimation is provided for nonlinear mixed-effects models based on stochastic differential equations. Combining the Gibbs and the Metropolis-Hastings algorithms, the population and individual parameter values are given through the parameter posterior predictive distributions. The analysis and simulation results show that the performance of the Bayesian estimation for mixed-effects SDEs model and analysis of population pharmacokinetic data is reliable. The results suggest that the proposed method is feasible for population pharmacokinetic data.展开更多
We study the Nadaraya-Watson estimators for the drift function of two-sided reflected stochastic differential equations.The estimates,based on either the continuously observed process or the discretely observed proces...We study the Nadaraya-Watson estimators for the drift function of two-sided reflected stochastic differential equations.The estimates,based on either the continuously observed process or the discretely observed process,are considered.Under certain conditions,we prove the strong consistency and the asymptotic normality of the two estimators.Our method is also suitable for one-sided reflected stochastic differential equations.Simulation results demonstrate that the performance of our estimator is superior to that of the estimator proposed by Cholaquidis et al.(Stat Sin,2021,31:29-51).Several real data sets of the currency exchange rate are used to illustrate our proposed methodology.展开更多
In this paper we study optimal advertising problems that model the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwi...In this paper we study optimal advertising problems that model the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we let the dynamics of the product goodwill to depend on the past, and also on past advertising efforts. We treat the problem by means of the stochastic Pontryagin maximum principle, that here is considered for a class of problems where in the state equation either the state or the control depend on the past. Moreover the control acts on the martingale term and the space of controls U can be chosen to be non-convex but now the space of controls U can be chosen to be non-convex. The maximum principle is thus formulated using a first-order adjoint Backward Stochastic Differential Equations (BSDEs), which can be explicitly computed due to the specific characteristics of the model, and a second-order adjoint relation.展开更多
基金supported by the Simons Foundation:Collaboration Grantssupported by the AFOSR grant FA9550-18-1-0383.
文摘In this paper,we consider the high order method for solving the linear transport equations under diffusive scaling and with random inputs.To tackle the randomness in the problem,the stochastic Galerkin method of the generalized polynomial chaos approach has been employed.Besides,the high order implicit-explicit scheme under the micro-macro decomposition framework and the discontinuous Galerkin method have been employed.We provide several numerical experiments to validate the accuracy and the stochastic asymptotic-preserving property.
基金Supported by the Science and Technology Research Projects of Hubei Provincial Department of Education(B2022077)。
文摘We study the distribution limit of a class of stochastic evolution equation driven by an additive-stable Non-Gaussian process in the case of α∈(1,2).We prove that,under suitable conditions,the law of the solution converges weakly to the law of a stochastic evolution equation with an additive Gaussian process.
基金supported by Basic Science Research Program through the National Natural Science Foundation of China(Grant No.61867003)Key Project of Science and Technology Research and Development Plan of China Railway Co.,Ltd.(N2022X009).
文摘Time based maintenance(TBM)and condition based maintenance(CBM)are widely applied in many large wind farms to optimize the maintenance issues of wind turbine gearboxes,however,these maintenance strategies do not take into account environmental benefits during full life cycle such as carbon emissions issues.Hence,this article proposes a carbon emissions computing model for preventive maintenance activities of wind turbine gearboxes to solve the issue.Based on the change of the gearbox state during operation and the influence of external random factors on the gearbox state,a stochastic differential equation model(SDE)and corresponding carbon emission model are established,wherein SDE is applied to model the evolution of the device state,whereas carbon emission is used to implement carbon emissions computing.The simulation results indicate that the proposed preventive maintenance cannot ensure reliable operation of wind turbine gearboxes but reduce carbon emissions during their lifespan.Compared with TBM,CBM minimizes unit carbon emissions without influencing reliable operation,making it an effective maintenance method.
基金supported in part by theNSFC(11871037)Shandong Province(JQ201202)+3 种基金NSFC-RS(11661130148NA150344)111 Project(B12023)supported by the Qingdao Postdoctoral Application Research Project(QDBSH20220202092)。
文摘In this paper we consider general coupled mean-field reflected forward-backward stochastic differential equations(FBSDEs),whose coefficients not only depend on the solution but also on the law of the solution.The first part of the paper is devoted to the existence and the uniqueness of solutions for such general mean-field reflected backward stochastic differential equations(BSDEs)under Lipschitz conditions,and for the one-dimensional case a comparison theorem is studied.With the help of this comparison result,we prove the existence of the solution for our mean-field reflected forward-backward stochastic differential equation under continuity assumptions.It should be mentioned that,under appropriate assumptions,we prove the uniqueness of this solution as well as that of a comparison theorem for mean-field reflected FBSDEs in a non-trivial manner.
基金supported by the National Key Research and Development Program of China(2022YFA1006103,2023YFA1009203)the National Natural Science Foundation of China(61925306,61821004,11831010,61977043,12001320)+2 种基金the Natural Science Foundation of Shandong Province(ZR2019ZD42,ZR2020ZD24)the Taishan Scholars Young Program of Shandong(TSQN202211032)the Young Scholars Program of Shandong University。
文摘This paper considers a linear-quadratic(LQ) meanfield game governed by a forward-backward stochastic system with partial observation and common noise,where a coupling structure enters state equations,cost functionals and observation equations.Firstly,to reduce the complexity of solving the meanfield game,a limiting control problem is introduced.By virtue of the decomposition approach,an admissible control set is proposed.Applying a filter technique and dimensional-expansion technique,a decentralized control strategy and a consistency condition system are derived,and the related solvability is also addressed.Secondly,we discuss an approximate Nash equilibrium property of the decentralized control strategy.Finally,we work out a financial problem with some numerical simulations.
文摘This study is focused on the approximate solution for the class of stochastic delay differential equations. The techniques applied involve the use of Caratheodory and Euler Maruyama procedures which approximated to stochastic delay differential equations. Based on the Caratheodory approximate procedure, it was proved that stochastic delay differential equations have unique solution and established that the Caratheodory approximate solution converges to the unique solution of stochastic delay differential equations under the Cauchy sequence and initial condition. This Caratheodory approximate procedure and Euler method both converge at the same rate. This is achieved by replacing the present state with past state. The existence and uniqueness of an approximate solution of the stochastic delay differential equation were shown and the approximate solution to the unique solution was also shown. .
基金supported by the Shanghai Sailing Program (21YF1415300)the Natural Science Foundation of China (12101392)supported by the Natural Science Foundation of China (11871382,11771161).
文摘In this paper,we prove Talagrand’s T2 transportation cost-information inequality for the law of stochastic heat equation driven by Gaussian noise,which is fractional for a time variable with the Hurst index H∈(1/2,1),and is correlated for the spatial variable.The Girsanov theorem for fractional-colored Gaussian noise plays an important role in the proof.
基金supported by the National Natural Science Foundation of China(11771178 and 12171198)the Science and Technology Development Program of Jilin Province(20210101467JC)+1 种基金the Science and Technology Program of Jilin Educational Department during the“13th Five-Year”Plan Period(JJKH20200951KJ)the Fundamental Research Funds for the Central Universities。
文摘Let u(t,x)be the solution to the one-dimensional nonlinear stochastic heat equation driven by space-time white noise with u(0,x)=1 for all x∈R.In this paper,we prove the law of the iterated logarithm(LIL for short)and the functional LIL for a linear additive functional of the form∫[0,R]u(t,x)dx and the nonlinear additive functionals of the form∫[0,R]g(u(t,x))dx,where g:R→R is nonrandom and Lipschitz continuous,as R→∞for fixed t>0,using the localization argument.
基金partially supported by the National Natural Science Foundation of China(11871382,12071361)partially supported by the National Natural Science Foundation of China(11971361,11731012)。
文摘In this paper,we establish a large deviation principle for the stochastic generalized Ginzburg-Landau equation driven by jump noise.The main difficulties come from the highly non-linear coefficient and the jump noise.Here,we adopt a new sufficient condition for the weak convergence criterion of the large deviation principle,which was initially proposed by Matoussi,Sabbagh and Zhang(2021).
基金supported by the National Natural Science Foundation of China (11901184, 11771343)the Natural Science Foundation of Hunan Province (2020JJ5025)。
文摘In this paper, we focus on anticipated backward stochastic Volterra integral equations(ABSVIEs) with jumps. We solve the problem of the well-posedness of so-called M-solutions to this class of equation, and analytically derive a comparison theorem for them and for the continuous equilibrium consumption process. These continuous equilibrium consumption processes can be described by the solutions to this class of ABSVIE with jumps.Motivated by this, a class of dynamic risk measures induced by ABSVIEs with jumps are discussed.
基金supported by the Natural Science Foundation of China(11901005,12071003)the Natural Science Foundation of Anhui Province(2008085QA20)。
文摘In this paper,we establish the integration by parts formula for the solution of fractional noise driven stochastic heat equations using the method of coupling.As an application,we also obtain the shift Harnack inequalities.
基金This work was supported by the National Natural Science Foundation of China (10001022 and 10371067)the Excellent Young Teachers Program and the Doctoral program Foundation of MOE and Shandong Province,P.R.C.
文摘The existence and uniqueness results of fully coupled forward-backward stochastic differential equations with stopping time (unbounded) is obtained. One kind of comparison theorem for this kind of equations is also proved.
基金supported by the National Natural Science Foundation of China (No. 10771122)the NaturalScience Foundation of Shandong Province of China (No. Y2006A08)the National Basic ResearchProgram of China (973 Program) (No. 2007CB814900)
文摘A general type of forward-backward doubly stochastic differential equations (FBDSDEs) is studied. It extends many important equations that have been well studied, including stochastic Hamiltonian systems. Under some much weaker monotonicity assumptions, the existence and uniqueness of measurable solutions are established with a incthod of continuation. Furthermore, the continuity and differentiability of the solutions to FBDSDEs depending on parameters is discussed.
基金The NSF(10671112)of ChinaNational Basic Research Program(973 Program)(2007CB814904)of Chinathe NSF(Z2006A01)of Shandong Province and the Chinese New Century Young Teachers Program
文摘In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations.
文摘The article first studies the fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations (BSDEs) with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.
文摘This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.
文摘Burgers equation in random environment is studied. In order to give the exact solutions of random Burgers equation, we only consider the Wick-type stochastic Burgers equation which is the perturbation of the Burgers equation with variable coefficients by white noise W(t)=Bt, where Bt is a Brown motion. The auto-Baecklund transformation and stochastic soliton solutions of the Wick-type stochastic Burgers equation are shown by the homogeneous balance and Hermite transform. The generalization of the Wick-type stochastic Burgers equation is also studied.
基金The National Natural Science Foundation of China(No.11171065,81130068)the Natural Science Foundation of Jiangsu Province(No.BK2011058)the Fundamental Research Funds for the Central Universities(No.JKPZ2013015)
文摘The nonlinear mixed-effects model with stochastic differential equations (SDEs) is used to model the population pharmacokinetic (PPK) data that are extended from ordinary differential equations (ODEs) by adding a stochastic term to the state equation. Compared with the ODEs, the SDEs can model correlated residuals which are ubiquitous in actual pharmacokinetic problems. The Bayesian estimation is provided for nonlinear mixed-effects models based on stochastic differential equations. Combining the Gibbs and the Metropolis-Hastings algorithms, the population and individual parameter values are given through the parameter posterior predictive distributions. The analysis and simulation results show that the performance of the Bayesian estimation for mixed-effects SDEs model and analysis of population pharmacokinetic data is reliable. The results suggest that the proposed method is feasible for population pharmacokinetic data.
基金partially supported by the National Natural Science Foundation of China(11871244)the Fundamental Research Funds for the Central Universities,JLU。
文摘We study the Nadaraya-Watson estimators for the drift function of two-sided reflected stochastic differential equations.The estimates,based on either the continuously observed process or the discretely observed process,are considered.Under certain conditions,we prove the strong consistency and the asymptotic normality of the two estimators.Our method is also suitable for one-sided reflected stochastic differential equations.Simulation results demonstrate that the performance of our estimator is superior to that of the estimator proposed by Cholaquidis et al.(Stat Sin,2021,31:29-51).Several real data sets of the currency exchange rate are used to illustrate our proposed methodology.
文摘In this paper we study optimal advertising problems that model the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we let the dynamics of the product goodwill to depend on the past, and also on past advertising efforts. We treat the problem by means of the stochastic Pontryagin maximum principle, that here is considered for a class of problems where in the state equation either the state or the control depend on the past. Moreover the control acts on the martingale term and the space of controls U can be chosen to be non-convex but now the space of controls U can be chosen to be non-convex. The maximum principle is thus formulated using a first-order adjoint Backward Stochastic Differential Equations (BSDEs), which can be explicitly computed due to the specific characteristics of the model, and a second-order adjoint relation.