In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization schemes for stochastic differential equations (SDEs), there appear two types of multiple stochastic integrals respectively. The present work is to...In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization schemes for stochastic differential equations (SDEs), there appear two types of multiple stochastic integrals respectively. The present work is to approximate these multiple stochastic integrals by converting them into systems of simple SDEs and solving the systems by lower order numerical schemes. The reliability of this approach is clarified in theory and demonstrated in numerical examples. In consequence, the results are applied to the strong discretization of both continuous and jump SDEs.展开更多
The aim of this paper is to establish a fundamental theory of convex analysis for the sets and functions over a discrete domain.By introducing conjugate/biconjugate functions and a discrete duality notion for the cone...The aim of this paper is to establish a fundamental theory of convex analysis for the sets and functions over a discrete domain.By introducing conjugate/biconjugate functions and a discrete duality notion for the cones over discrete domains,we study duals of optimization problems whose decision parameters are integers.In particular,we construct duality theory for integer linear programming,provide a discrete version of Slater’s condition that implies the strong duality and discuss the relationship between integrality and discrete convexity.展开更多
Most of results of Bestvina and Mogilski [Characterizing certain incomplete infinite-di- mensional absolute retracts. Michigan Math. J., 33, 291-313 （1986）] on strong Z-sets in ANR＇s and absorbing sets is generaliz...Most of results of Bestvina and Mogilski [Characterizing certain incomplete infinite-di- mensional absolute retracts. Michigan Math. J., 33, 291-313 （1986）] on strong Z-sets in ANR＇s and absorbing sets is generalized to nonseparable case. It is shown that if an ANR X is locally homotopy dense embeddable in infinite-dimensional Hilbert manifolds and w（U） ---- w（X） （where ＂w＂is the topological weight） for each open nonempty subset U of X, then X itself i,~ homotopy dense embeddable in a Hilbert manifold. It is also demonstrated that whenever X is an AR, its weak product W（X, ＊） ---- {（xn）=l C X ： x~ = ＊ for almost all n} is homeomorphic to a pre-Hilbert space E with E EE. An intrinsic characterization of manifolds modelled on such pre-Hilbert spaces is given.展开更多
文摘In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization schemes for stochastic differential equations (SDEs), there appear two types of multiple stochastic integrals respectively. The present work is to approximate these multiple stochastic integrals by converting them into systems of simple SDEs and solving the systems by lower order numerical schemes. The reliability of this approach is clarified in theory and demonstrated in numerical examples. In consequence, the results are applied to the strong discretization of both continuous and jump SDEs.
基金This work has been supported by US Army Research Office Grant(No.W911NF-15-1-0223)The Scientific and Technological Research Council of Turkey Grant(No.1059B191300653).
文摘The aim of this paper is to establish a fundamental theory of convex analysis for the sets and functions over a discrete domain.By introducing conjugate/biconjugate functions and a discrete duality notion for the cones over discrete domains,we study duals of optimization problems whose decision parameters are integers.In particular,we construct duality theory for integer linear programming,provide a discrete version of Slater’s condition that implies the strong duality and discuss the relationship between integrality and discrete convexity.
文摘Most of results of Bestvina and Mogilski [Characterizing certain incomplete infinite-di- mensional absolute retracts. Michigan Math. J., 33, 291-313 （1986）] on strong Z-sets in ANR＇s and absorbing sets is generalized to nonseparable case. It is shown that if an ANR X is locally homotopy dense embeddable in infinite-dimensional Hilbert manifolds and w（U） ---- w（X） （where ＂w＂is the topological weight） for each open nonempty subset U of X, then X itself i,~ homotopy dense embeddable in a Hilbert manifold. It is also demonstrated that whenever X is an AR, its weak product W（X, ＊） ---- {（xn）=l C X ： x~ = ＊ for almost all n} is homeomorphic to a pre-Hilbert space E with E EE. An intrinsic characterization of manifolds modelled on such pre-Hilbert spaces is given.
