Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients

Alina Semrau

Displaying similar documents to “Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients”

Euler's Approximations of Solutions of Reflecting SDEs with Discontinuous Coefficients

Alina Semrau-Giłka (2013)

Bulletin of the Polish Academy of Sciences. Mathematics

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Let D be either a convex domain in $ℝ^{d}$ or a domain satisfying the conditions (A) and (B) considered by Lions and Sznitman (1984) and Saisho (1987). We investigate convergence in law as well as in $L^{p}$ for the Euler and Euler-Peano schemes for stochastic differential equations in D with normal reflection at the boundary. The coefficients are measurable, continuous almost everywhere with respect to the Lebesgue measure, and the diffusion coefficient may degenerate on some subsets of the domain. ...

On Stochastic Differential Equations with Reflecting Boundary Condition in Convex Domains

Weronika Łaukajtys (2004)

Bulletin of the Polish Academy of Sciences. Mathematics

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Let D be an open convex set in $ℝ^{d}$ and let F be a Lipschitz operator defined on the space of adapted càdlàg processes. We show that for any adapted process H and any semimartingale Z there exists a unique strong solution of the following stochastic differential equation (SDE) with reflection on the boundary of D: $X_{t} = H_{t} + \int_{0}^{t} ⟨ F {(X)}_{s -}, d Z_{s} ⟩ + K_{t}$ , t ∈ ℝ⁺. Our proofs are based on new a priori estimates for solutions of the deterministic Skorokhod problem.

Differentiation of n-convex functions

H. Fejzić, R. E. Svetic, C. E. Weil (2010)

Fundamenta Mathematicae

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The main result of this paper is that if f is n-convex on a measurable subset E of ℝ, then f is n-2 times differentiable, n-2 times Peano differentiable and the corresponding derivatives are equal, and $f^{(n - 1)} = f_{(n - 1)}$ except on a countable set. Moreover $f_{(n - 1)}$ is approximately differentiable with approximate derivative equal to the nth approximate Peano derivative of f almost everywhere.

Stochastic convolution in separable Banach spaces and the stochastic linear Cauchy problem

Zdzisław Brzeźniak, Jan van Neerven (2000)

Studia Mathematica

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Let H be a separable real Hilbert space and let E be a separable real Banach space. We develop a general theory of stochastic convolution of ℒ(H,E)-valued functions with respect to a cylindrical Wiener process ${W_{t}^{H}}_{t \in [0, T]}$ with Cameron-Martin space H. This theory is applied to obtain necessary and sufficient conditions for the existence of a weak solution of the stochastic abstract Cauchy problem (ACP) $d X_{t} = A X_{t} d t + B d W_{t}^{H}$ (t∈ [0,T]), $X_{0} = 0$ almost surely, where A is the generator of a $C_{0}$ -semigroup ${S (t)}_{t \geq 0}$ of bounded linear...

On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes

Nicolas Fournier (2013)

Annales de l'I.H.P. Probabilités et statistiques

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We study a one-dimensional stochastic differential equation driven by a stable Lévy process of order $α$ with drift and diffusion coefficients $b$ , $σ$ . When $α \in (1, 2)$ , we investigate pathwise uniqueness for this equation. When $α \in (0, 1)$ , we study another stochastic differential equation, which is equivalent in law, but for which pathwise uniqueness holds under much weaker conditions. We obtain various results, depending on whether $α \in (0, 1)$ or $α \in (1, 2)$ and on whether the driving stable process is symmetric or not. Our...

Initial measures for the stochastic heat equation

Daniel Conus, Mathew Joseph, Davar Khoshnevisan, Shang-Yuan Shiu (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We consider a family of nonlinear stochastic heat equations of the form $\partial_{t} u = ℒ u + σ (u) \dot{W}$ , where $\dot{W}$ denotes space–time white noise, $ℒ$ the generator of a symmetric Lévy process on $𝐑$ , and $σ$ is Lipschitz continuous and zero at 0. We show that this stochastic PDE has a random-field solution for every finite initial measure $u_{0}$ . Tight a priori bounds on the moments of the solution are also obtained. In the particular case that $ℒ f = c f^{''}$ for some $c g t; 0$ , we prove that if $u_{0}$ is a finite measure of compact support, then the...

Algebraic genericity of strict-order integrability

Luis Bernal-González (2010)

Studia Mathematica

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We provide sharp conditions on a measure μ defined on a measurable space X guaranteeing that the family of functions in the Lebesgue space $L^{p} (μ, X)$ (p ≥ 1) which are not q-integrable for any q > p (or any q < p) contains large subspaces of $L^{p} (μ, X)$ (without zero). This improves recent results due to Aron, García, Muñoz, Palmberg, Pérez, Puglisi and Seoane. It is also shown that many non-q-integrable functions can even be obtained on any nonempty open subset of X, assuming that X is a topological...

Transition semigroups for stochastic semilinear equations on Hilbert spaces

Anna Chojnowska-Michalik

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A large class of stochastic semilinear equations with measurable nonlinear term on a Hilbert space H is considered. Assuming the corresponding nonsymmetric Ornstein-Uhlenbeck process has an invariant measure μ, we prove in the $L^{p} (H, μ)$ spaces the existence of a transition semigroup $(P_{t})$ for the equations. Sufficient conditions are provided for hyperboundedness of $P_{t}$ and for the Log Sobolev Inequality to hold; and in the case of a bounded nonlinear term, sufficient and necessary conditions are obtained....

A continuous mapping theorem for the argmin-set functional with applications to convex stochastic processes

Dietmar Ferger (2021)

Kybernetika

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For lower-semicontinuous and convex stochastic processes $Z_{n}$ and nonnegative random variables $ϵ_{n}$ we investigate the pertaining random sets $A (Z_{n}, ϵ_{n})$ of all $ϵ_{n}$ -approximating minimizers of $Z_{n}$ . It is shown that, if the finite dimensional distributions of the $Z_{n}$ converge to some $Z$ and if the $ϵ_{n}$ converge in probability to some constant $c$ , then the $A (Z_{n}, ϵ_{n})$ converge in distribution to $A (Z, c)$ in the hyperspace of Vietoris. As a simple corollary we obtain an extension of several argmin-theorems in the literature. In particular,...

On Peano derivatives in $L^{p} (E_{n})$

S. Lasher (1968)

Studia Mathematica

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Stochastic dynamical systems with weak contractivity properties II. Iteration of Lipschitz mappings

Marc Peigné, Wolfgang Woess (2011)

Colloquium Mathematicae

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In this continuation of the preceding paper (Part I), we consider a sequence ${(F ₙ)}_{n \geq 0}$ of i.i.d. random Lipschitz mappings → , where is a proper metric space. We investigate existence and uniqueness of invariant measures, as well as recurrence and ergodicity of the induced stochastic dynamical system (SDS) $X ₙ^{x} = F ₙ \circ . . . \circ F ₁ (x)$ starting at x ∈ . The main results concern the case when the associated Lipschitz constants are log-centered. Principal tools are local contractivity, as considered in detail in Part I,...

Some Results on Stochastic Porous Media Equations

Viorel Barbu, Giuseppe Da Prato, Michael Röckner (2008)

Bollettino dell'Unione Matematica Italiana

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Some recent results about nonnegative solutions of stochastic porous media equations in bounded open subsets of $\mathbb{R}^{3}$ are considered. The existence of an invariant measure is proved.

Quasi-diffusion solution of a stochastic differential equation

Agnieszka Plucińska, Wojciech Szymański (2007)

Applicationes Mathematicae

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We consider the stochastic differential equation $X_{t} = X ₀ + \int_{0}^{t} (A_{s} + B_{s} X_{s}) d s + \int_{0}^{t} C_{s} d Y_{s}$ , where $A_{t}$ , $B_{t}$ , $C_{t}$ are nonrandom continuous functions of t, X₀ is an initial random variable, $Y = (Y_{t}, t \geq 0)$ is a Gaussian process and X₀, Y are independent. We give the form of the solution ( $X_{t}$ ) to (0.1) and then basing on the results of Plucińska [Teor. Veroyatnost. i Primenen. 25 (1980)] we prove that ( $X_{t}$ ) is a quasi-diffusion proces.

On reliability analysis of consecutive $k$ -out-of- $n$ systems with arbitrarily dependent components

Ebrahim Salehi (2016)

Applications of Mathematics

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In this paper, we consider the linear and circular consecutive $k$ -out-of- $n$ systems consisting of arbitrarily dependent components. Under the condition that at least $n - r + 1$ components ( $r \leq n$ ) of the system are working at time $t$ , we study the reliability properties of the residual lifetime of such systems. Also, we present some stochastic ordering properties of residual lifetime of consecutive $k$ -out-of- $n$ systems. In the following, we investigate the inactivity time of the component with lifetime...

Vitali Lemma approach to differentiation on a time scale

Chuan Jen Chyan, Andrzej Fryszkowski (2004)

Studia Mathematica

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A new approach to differentiation on a time scale is presented. We give a suitable generalization of the Vitali Lemma and apply it to prove that every increasing function f: → ℝ has a right derivative f₊’(x) for $μ_{Δ}$ -almost all x ∈ . Moreover, $\int_{[a, b)} f ₊^{'} (x) d μ_{Δ} \leq f (b) - f (a)$ .

Quantitative stability for sumsets in $ℝ^{n}$

Alessio Figalli, David Jerison (2015)

Journal of the European Mathematical Society

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Given a measurable set $A \subset ℝ^{n}$ of positive measure, it is not difficult to show that $| A + A | = | 2 A |$ if and only if $A$ is equal to its convex hull minus a set of measure zero. We investigate the stability of this statement: If $(| A + A | - | 2 A |) / | A |$ is small, is $A$ close to its convex hull? Our main result is an explicit control, in arbitrary dimension, on the measure of the difference between $A$ and its convex hull in terms of $(| A + A | - | 2 A |) / | A |$ .

Relations between Shy Sets and Sets of $ν_{p}$ -Measure Zero in Solovay’s Model

G. Pantsulaia (2004)

Bulletin of the Polish Academy of Sciences. Mathematics

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An example of a non-zero non-atomic translation-invariant Borel measure $ν_{p}$ on the Banach space $ℓ_{p} (1 \leq p \leq \infty)$ is constructed in Solovay’s model. It is established that, for 1 ≤ p < ∞, the condition " $ν_{p}$ -almost every element of $ℓ_{p}$ has a property P" implies that “almost every” element of $ℓ_{p}$ (in the sense of [4]) has the property P. It is also shown that the converse is not valid.

Continuous pluriharmonic boundary values

Per Åhag, Rafał Czyż (2007)

Annales Polonici Mathematici

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Let $D_{j}$ be a bounded hyperconvex domain in $ℂ^{n_{j}}$ and set $D = D ₁ \times \dots \times D_{s}$ , j=1,...,s, s≥ 3. Also let ₙ be the symmetrized polydisc in ℂⁿ, n ≥ 3. We characterize those real-valued continuous functions defined on the boundary of D or ₙ which can be extended to the inside to a pluriharmonic function. As an application a complete characterization of the compliant functions is obtained.

Generalized Lebesgue points for Sobolev functions

Nijjwal Karak (2017)

Czechoslovak Mathematical Journal

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In many recent articles, medians have been used as a replacement of integral averages when the function fails to be locally integrable. A point $x$ in a metric measure space $(X, d, μ)$ is called a generalized Lebesgue point of a measurable function $f$ if the medians of $f$ over the balls $B (x, r)$ converge to $f (x)$ when $r$ converges to $0$ . We know that almost every point of a measurable, almost everywhere finite function is a generalized Lebesgue point and the same is true for every point of a continuous function....

Explicit construction of a unitary double product integral

R. L. Hudson, Paul Jones (2011)

Banach Center Publications

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In analogy with earlier work on the forward-backward case, we consider an explicit construction of the forward-forward double stochastic product integral $\prod^{\to \to} (1 + d r)$ with generator $d r = λ (d A^{†} \otimes d A - d A \otimes d A^{†})$ . The method of construction is to approximate the product integral by a discrete double product $\prod_{(j, k) \in ℕ_{m} \times ℕ ₙ}^{\to \to} Γ (R_{m, n}^{(j, k)}) = Γ (\prod_{(j, k) \in ℕ_{m} \times ℕ ₙ}^{\to \to} (R_{m, n}^{(j, k)}))$ of second quantised rotations $R_{m, n}^{(j, k)}$ in different planes using the embedding of $ℂ^{m} \oplus ℂ ⁿ$ into L²(ℝ) ⊕ L²(ℝ) in which the standard orthonormal bases of $ℂ^{m}$ and ℂⁿ are mapped to the orthonormal sets consisting of normalised indicator...

The Young Measure Representation for Weak Cluster Points of Sequences in M-spaces of Measurable Functions

Hôǹg Thái Nguyêñ, Dariusz Pączka (2008)

Bulletin of the Polish Academy of Sciences. Mathematics

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Let ⟨X,Y⟩ be a duality pair of M-spaces X,Y of measurable functions from Ω ⊂ ℝ ⁿ into $ℝ^{d}$ . The paper deals with Y-weak cluster points ϕ̅ of the sequence $ϕ (\cdot, z_{j} (\cdot))$ in X, where $z_{j} : Ω \to ℝ^{m}$ is measurable for j ∈ ℕ and $ϕ : Ω \times ℝ^{m} \to ℝ^{d}$ is a Carathéodory function. We obtain general sufficient conditions, under which, for some negligible set $A_{ϕ}$ , the integral $I (ϕ, ν_{x}) : = \int_{ℝ^{m}} ϕ (x, λ) d ν_{x} (λ)$ exists for $x \in Ω ∖ A_{ϕ}$ and $ϕ ̅ (x) = I (ϕ, ν_{x})$ on $Ω ∖ A_{ϕ}$ , where $ν = {ν_{x}}_{x \in Ω}$ is a measurable-dependent family of Radon probability measures on $ℝ^{m}$ .

On the completeness of $ℒ_{p}$ -spaces over a charge

Sreela Gangopadhyay (1990)

Colloquium Mathematicae

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Convergence of greedy approximation I. General systems

S. V. Konyagin, V. N. Temlyakov (2003)

Studia Mathematica

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We consider convergence of thresholding type approximations with regard to general complete minimal systems eₙ in a quasi-Banach space X. Thresholding approximations are defined as follows. Let eₙ* ⊂ X* be the conjugate (dual) system to eₙ; then define for ε > 0 and x ∈ X the thresholding approximations as $T_{ε} (x) : = \sum_{j \in D_{ε} (x)} e *_{j} (x) e_{j}$ , where $D_{ε} (x) : = j : | e *_{j} (x) | \geq ε$ . We study a generalized version of $T_{ε}$ that we call the weak thresholding approximation. We modify the $T_{ε} (x)$ in the following way. For ε > 0, t ∈ (0,1) we set $D_{t, ε} (x) : = j : t ε \leq | e *_{j} (x) | < ε$ and consider...

On some representations of almost everywhere continuous functions on $ℝ^{m}$

Ewa Strońska (2006)

Colloquium Mathematicae

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It is proved that the following conditions are equivalent: (a) f is an almost everywhere continuous function on $ℝ^{m}$ ; (b) f = g + h, where g,h are strongly quasicontinuous on $ℝ^{m}$ ; (c) f = c + gh, where c ∈ ℝ and g,h are strongly quasicontinuous on $ℝ^{m}$ .