High Order IMEX Stochastic Galerkin Schemes for Linear Transport Equation with Random Inputs and Diffusive Scalings

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.

The Limit Distribution of Stochastic Evolution Equations Driven by-Stable Non-Gaussian Noise

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.

Research on Carbon Emission for Preventive Maintenance of Wind Turbine Gearbox Based on Stochastic Differential Equation

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.

GENERAL COUPLED MEAN-FIELD REFLECTED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

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.

A Comparative Survey of an Approximate Solution Method for Stochastic Delay Differential Equations

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. .

TRANSPORTATION COST-INFORMATION INEQUALITY FOR A STOCHASTIC HEAT EQUATION DRIVEN BY FRACTIONAL-COLORED NOISE

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.

THE LAW OF THE ITERATED LOGARITHM FOR SPATIAL AVERAGES OF THE STOCHASTIC HEAT EQUATION

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.

A LARGE DEVIATION PRINCIPLE FOR THE STOCHASTIC GENERALIZED GINZBURG-LANDAU EQUATION DRIVEN BY 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).

ANTICIPATED BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH JUMPS AND APPLICATIONS TO DYNAMIC RISK MEASURES

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.

AN INTEGRATION BY PARTS FORMULA FOR STOCHASTIC HEAT EQUATIONS WITH FRACTIONAL NOISE

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.

Auto-Bcklund transformation and exact solutions of Wick-type stochastic Burgers equation

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.

Bayesian analysis for mixed-effects model defined by stochastic differential equations

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.

NADARAYA-WATSON ESTIMATORS FOR REFLECTED STOCHASTIC PROCESSES

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.

Stochastic Maximum Principle for Optimal Advertising Models with Delay and Non-Convex Control Spaces

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.

Asymptotic Analysis of a Stochastic Model of Mosquito-Borne Disease with the Use of Insecticides and Bet Nets

Ross’ epidemic model describing the transmission of malaria uses two classes of infection, one for humans and one for mosquitoes. This paper presents a stochastic extension of a deterministic vector-borne epidemic model based only on the class of human infectious. The consistency of the model is established by proving that the stochastic delay differential equation describing the model has a unique positive global solution. The extinction of the disease is studied through the analysis of the stability of the disease-free equilibrium state and the persistence of the model. Finally, we introduce some numerical simulations to illustrate the obtained results.

RAZUMIKHIN-TYPE THEOREM FOR NEUTRAL STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS WITH UNBOUNDED DELAY

This paper establishes the Razumikhin-type theorem on stability for neutral stochastic functional differential equations with unbounded delay. To overcome difficulties from unbounded delay, we develop several different techniques to investigate stability. To show our idea clearly, we examine neutral stochastic delay differential equations with unbounded delay and linear neutral stochastic Volterra unbounded-delay-integro-differential equations.

MULTI-DIMENSIONAL REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND THE COMPARISON THEOREM

In this article, we study the multi-dimensional reflected backward stochastic differential equations. The existence and uniqueness result of the solution for this kind of equation is proved by the fixed point argument where every element of the solution is forced to stay above the given stochastic process, i.e., multi-dimensional obstacle, respectively. We also give a kind of multi-dimensional comparison theorem for the reflected BSDE and then use it as the tool to prove an existence result for the multi-dimensional reflected BSDE where the coefficient is continuous and has linear growth.

RANDOM ATTRACTORS FOR A STOCHASTIC HYDRODYNAMICAL EQUATION IN HEISENBERG PARAMAGNET

This article studies the asymptotic behaviors of the solution for a stochastic hydrodynamical equation in Heisenberg paramagnet in a two-dimensional periodic domain. We obtain the existence of random attractors in H1.

EXISTENCE OF SOLUTION AND APPROXIMATE CONTROLLABILITY OF A SECOND-ORDER NEUTRAL STOCHASTIC DIFFERENTIAL EQUATION WITH STATE DEPENDENT DELAY

This paper has two sections which deals with a second order stochastic neutral partial differential equation with state dependent delay. In the first section the existence and uniqueness of mild solution is obtained by use of measure of non-compactness. In the second section the conditions for approximate controllability are investigated for the distributed second order neutral stochastic differential system with respect to the approximate controllability of the corresponding linear system in a Hilbert space. Our method is an extension of co-author N. Sukavanam’s novel approach in [22]. Thereby, we remove the need to assume the invertibility of a controllability operator used by authors in [5], which fails to exist in infinite dimensional spaces if the associated semigroup is compact. Our approach also removes the need to check the invertibility of the controllability Gramian operator and associated limit condition used by the authors in [20], which are practically difficult to verify and apply. An example is provided to illustrate the presented theory.

Existence and Stability of Solutions to Highly Nonlinear Stochastic Differential Delay Equations Driven by G-Brownian Motion

Under linear expectation (or classical probability), the stability for stochastic differential delay equations (SDDEs), where their coefficients are either linear or nonlinear but bounded by linear functions, has been investigated intensively. Recently, the stability of highly nonlinear hybrid stochastic differential equations is studied by some researchers. In this paper, by using Peng’s G-expectation theory, we first prove the existence and uniqueness of solutions to SDDEs driven by G-Brownian motion (G-SDDEs) under local Lipschitz and linear growth conditions. Then the second kind of stability and the dependence of the solutions to G-SDDEs are studied. Finally, we explore the stability and boundedness of highly nonlinear G-SDDEs.