The modelling of risky asset by stochastic processes with continuous paths, based on Brow- nian motions, suffers from several defects. First, the path continuity assumption does not seem reason- able in view of the po...The modelling of risky asset by stochastic processes with continuous paths, based on Brow- nian motions, suffers from several defects. First, the path continuity assumption does not seem reason- able in view of the possibility of sudden price variations （jumps） resulting of market crashes. A solution is to use stochastic processes with jumps, that will account for sudden variations of the asset prices. On the other hand, such jump models are generally based on the Poisson random measure. Many popular economic and financial models described by stochastic differential equations with Poisson jumps. This paper deals with the approximate controllability of a class of second-order neutral stochastic differential equations with infinite delay and Poisson jumps. By using the cosine family of operators, stochastic analysis techniques, a new set of sufficient conditions are derived for the approximate controllability of the above control system. An example is provided to illustrate the obtained theory.展开更多
We propose a reformulation of Newton’s second law of motion for charged particles and possible applications of the reformulation to quantum dynamics. We show that the negative energy states arising from the Dirac equ...We propose a reformulation of Newton’s second law of motion for charged particles and possible applications of the reformulation to quantum dynamics. We show that the negative energy states arising from the Dirac equation in relativistic quantum mechanics can be verified using the reformulating framework. We also discuss possible hidden dynamics underlying the concept of quantum jumps in quantum mechanics as outlined in Schr<span style="font-size:12px;white-space:nowrap;">ö</span>dinger’s article: ARE THERE QUANTUM JUMPS? In this case, we show that the hidden dynamics of quantum jumps are also determined by the Coulomb interaction between charged particles.展开更多
We propose new numerical schemes for decoupled forward-backward stochastic differ- ential equations （FBSDEs） with jumps, where the stochastic dynamics are driven by a d- dimensional Brownian motion and an independen...We propose new numerical schemes for decoupled forward-backward stochastic differ- ential equations （FBSDEs） with jumps, where the stochastic dynamics are driven by a d- dimensional Brownian motion and an independent compensated Poisson random measure. A semi-discrete scheme is developed for discrete time approximation, which is constituted by a classic scheme for the forward SDE [20, 28] and a novel scheme for the backward SDE. Under some reasonable regularity conditions, we prove that the semi-discrete scheme can achieve second-order convergence in approximating the FBSDEs of interest; and such convergence rate does not require jump-adapted temporal discretization. Next, to add in spatial discretization, a fully discrete scheme is developed by designing accurate quadrature rules for estimating the involved conditional mathematical expectations. Several numerical examples are given to illustrate the effectiveness and the high accuracy of the proposed schemes.展开更多
基金supported by the National Board for Higher Mathematics,Mumbai,India under Grant No.2/48(5)/2013/NBHM(R.P.)/RD-II/688 dt 16.01.2014
文摘The modelling of risky asset by stochastic processes with continuous paths, based on Brow- nian motions, suffers from several defects. First, the path continuity assumption does not seem reason- able in view of the possibility of sudden price variations （jumps） resulting of market crashes. A solution is to use stochastic processes with jumps, that will account for sudden variations of the asset prices. On the other hand, such jump models are generally based on the Poisson random measure. Many popular economic and financial models described by stochastic differential equations with Poisson jumps. This paper deals with the approximate controllability of a class of second-order neutral stochastic differential equations with infinite delay and Poisson jumps. By using the cosine family of operators, stochastic analysis techniques, a new set of sufficient conditions are derived for the approximate controllability of the above control system. An example is provided to illustrate the obtained theory.
文摘We propose a reformulation of Newton’s second law of motion for charged particles and possible applications of the reformulation to quantum dynamics. We show that the negative energy states arising from the Dirac equation in relativistic quantum mechanics can be verified using the reformulating framework. We also discuss possible hidden dynamics underlying the concept of quantum jumps in quantum mechanics as outlined in Schr<span style="font-size:12px;white-space:nowrap;">ö</span>dinger’s article: ARE THERE QUANTUM JUMPS? In this case, we show that the hidden dynamics of quantum jumps are also determined by the Coulomb interaction between charged particles.
基金The authors would like to thank the referees for their valuable comments, which improved much of the quality of the paper. This work is partially support- ed by the National Natural Science Foundations of China under grant numbers 91130003,11171189 and 11571206 by Natural Science Foundation of Shandong Province under grant number ZR2011AZ002+1 种基金 by the U.S. Department of Energy, Office of Science, Office of Ad- vanced Scientific Computing Research, Applied Mathematics program under contract number ERKJE45 and by the Laboratory Directed Research and Development program at the Oak Ridge National Laboratory, which is operated by UT-Battelle, LLC, for the U.S. Department of Energy under Contract DE-AC05-00OR22725.
文摘We propose new numerical schemes for decoupled forward-backward stochastic differ- ential equations （FBSDEs） with jumps, where the stochastic dynamics are driven by a d- dimensional Brownian motion and an independent compensated Poisson random measure. A semi-discrete scheme is developed for discrete time approximation, which is constituted by a classic scheme for the forward SDE [20, 28] and a novel scheme for the backward SDE. Under some reasonable regularity conditions, we prove that the semi-discrete scheme can achieve second-order convergence in approximating the FBSDEs of interest; and such convergence rate does not require jump-adapted temporal discretization. Next, to add in spatial discretization, a fully discrete scheme is developed by designing accurate quadrature rules for estimating the involved conditional mathematical expectations. Several numerical examples are given to illustrate the effectiveness and the high accuracy of the proposed schemes.
