It is generally known that the solutions of deterministic and stochastic differential equations （SDEs） usually grow linearly at such a rate that they may become unbounded after a small lapse of time and may eventual...It is generally known that the solutions of deterministic and stochastic differential equations （SDEs） usually grow linearly at such a rate that they may become unbounded after a small lapse of time and may eventually blow up or explode in finite time. If the drift and diffusion functions are globally Lipschitz, linear growth may still be experienced, as well as a possible blow-up of solutions in finite time. In this paper, a nonlinear scalar delay differential equation with a constant time lag is perturbed by a multiplicative Ito-type time - space white noise to form a stochastic Fokker-Planck delay differential equation. It is established that no explosion is possible in the presence of any intrinsically slow time - space white noise of Ito - type as manifested in the resulting stochastic Fokker- Planck delay differential equation. Time - space white noise has a role to play since the solution of the classical nonlinear equation without it still exhibits explosion.展开更多
The existence of positive solutions is investigated for following semipositone nonlinear third-order three-point BVP ω''(t) - λf(t,w(t)) = 0, 0 ≤ t ≤ 1, ω(0) = ω'(n) = ω'(1) = 0.
This paper studies a class of forward-backward stochastic differential equations (FBSDE)in a general Markovian framework.The forward SDE represents a large class of strong Markov semimartingales,and the backward gener...This paper studies a class of forward-backward stochastic differential equations (FBSDE)in a general Markovian framework.The forward SDE represents a large class of strong Markov semimartingales,and the backward generator requires only mild regularity assumptions.The authors showthat the Four Step Scheme introduced by Ma,et al.(1994) is still effective in this case.Namely,the authors show that the adapted solution of the FBSDE exists and is unique over any prescribedtime duration;and the backward components can be determined explicitly by the forward componentvia the classical solution to a system of parabolic integro-partial differential equations.An importantconsequence the authors would like to draw from this fact is that,contrary to the general belief,in aMarkovian set-up the martingale representation theorem is no longer the reason for the well-posednessof the FBSDE,but rather a consequence of the existence of the solution of the decoupling integralpartialdifferential equation.Finally,the authors briefly discuss the possibility of reducing the regularityrequirements of the coefficients by using a scheme proposed by F.Delarue (2002) to the current case.展开更多
The authors are concerned with a class of derivative nonlinear Schr¨odinger equation iu_t + u_(xx) + i?f(u, ū, ωt)u_x=0,(t, x) ∈ R × [0, π],subject to Dirichlet boundary condition, where the nonlinearity...The authors are concerned with a class of derivative nonlinear Schr¨odinger equation iu_t + u_(xx) + i?f(u, ū, ωt)u_x=0,(t, x) ∈ R × [0, π],subject to Dirichlet boundary condition, where the nonlinearity f(z1, z2, ?) is merely finitely differentiable with respect to all variables rather than analytic and quasi-periodically forced in time. By developing a smoothing and approximation theory, the existence of many quasi-periodic solutions of the above equation is proved.展开更多
Dark soliton solutions for space-time fractional Sharma–Tasso–Olver and space-time fractional potential Kadomtsev–Petviashvili equations are determined by using the properties of modified Riemann–Liouville derivat...Dark soliton solutions for space-time fractional Sharma–Tasso–Olver and space-time fractional potential Kadomtsev–Petviashvili equations are determined by using the properties of modified Riemann–Liouville derivative and fractional complex transform. After reducing both equations to nonlinear ODEs with constant coefficients, the tanh ansatz is substituted into the resultant nonlinear ODEs. The coefficients of the solutions in the ansatz are calculated by algebraic computer computations. Two different solutions are obtained for the Sharma–Tasso–Olver equation as only one solution for the potential Kadomtsev–Petviashvili equation. The solution profiles are demonstrated in 3D plots in finite domains of time and space.展开更多
文摘It is generally known that the solutions of deterministic and stochastic differential equations （SDEs） usually grow linearly at such a rate that they may become unbounded after a small lapse of time and may eventually blow up or explode in finite time. If the drift and diffusion functions are globally Lipschitz, linear growth may still be experienced, as well as a possible blow-up of solutions in finite time. In this paper, a nonlinear scalar delay differential equation with a constant time lag is perturbed by a multiplicative Ito-type time - space white noise to form a stochastic Fokker-Planck delay differential equation. It is established that no explosion is possible in the presence of any intrinsically slow time - space white noise of Ito - type as manifested in the resulting stochastic Fokker- Planck delay differential equation. Time - space white noise has a role to play since the solution of the classical nonlinear equation without it still exhibits explosion.
基金supported by the National Science Foundation under Grant Nos. #DMS 0505472, 0806017,and#DMS 0604309
文摘This paper studies a class of forward-backward stochastic differential equations (FBSDE)in a general Markovian framework.The forward SDE represents a large class of strong Markov semimartingales,and the backward generator requires only mild regularity assumptions.The authors showthat the Four Step Scheme introduced by Ma,et al.(1994) is still effective in this case.Namely,the authors show that the adapted solution of the FBSDE exists and is unique over any prescribedtime duration;and the backward components can be determined explicitly by the forward componentvia the classical solution to a system of parabolic integro-partial differential equations.An importantconsequence the authors would like to draw from this fact is that,contrary to the general belief,in aMarkovian set-up the martingale representation theorem is no longer the reason for the well-posednessof the FBSDE,but rather a consequence of the existence of the solution of the decoupling integralpartialdifferential equation.Finally,the authors briefly discuss the possibility of reducing the regularityrequirements of the coefficients by using a scheme proposed by F.Delarue (2002) to the current case.
基金supported by the National Natural Science Foundation of China(No.11201292)Shanghai Natural Science Foundation(No.12ZR1444300)the Key Discipline"Applied Mathematics"of Shanghai Second Polytechnic University(No.XXKZD1304)
文摘The authors are concerned with a class of derivative nonlinear Schr¨odinger equation iu_t + u_(xx) + i?f(u, ū, ωt)u_x=0,(t, x) ∈ R × [0, π],subject to Dirichlet boundary condition, where the nonlinearity f(z1, z2, ?) is merely finitely differentiable with respect to all variables rather than analytic and quasi-periodically forced in time. By developing a smoothing and approximation theory, the existence of many quasi-periodic solutions of the above equation is proved.
文摘Dark soliton solutions for space-time fractional Sharma–Tasso–Olver and space-time fractional potential Kadomtsev–Petviashvili equations are determined by using the properties of modified Riemann–Liouville derivative and fractional complex transform. After reducing both equations to nonlinear ODEs with constant coefficients, the tanh ansatz is substituted into the resultant nonlinear ODEs. The coefficients of the solutions in the ansatz are calculated by algebraic computer computations. Two different solutions are obtained for the Sharma–Tasso–Olver equation as only one solution for the potential Kadomtsev–Petviashvili equation. The solution profiles are demonstrated in 3D plots in finite domains of time and space.
