The present paper addresses the problem of the stabilization (in the sense of exponential stability in mean square) of partially linear composite stochastic systems by means of a stochastic observer. We propose sufficient conditions for the existence of a linear feedback law depending on an estimation given by a stochastic Luenberger observer which stabilizes the system at its equilibrium state. The novelty in our approach is that all the state variables but the output can be corrupted by noises...

Let $L$ be a parabolic second order differential operator on the domain $\overline{\Pi }=\left[0,T\right]\times ℝ.$ Given a function $\widehat{u}:ℝ\to R$ and $\widehat{x}\>0$ such that the support of $\widehat{u}$ is contained in $(-\infty ,-\widehat{x}]$, we let $\widehat{y}:\overline{\Pi }\to ℝ$ be the solution to the equation:$$L\widehat{y}=0,\widehat{y}{|}_{\left\{0\right\}\times ℝ}=\widehat{u}.$$Given positive bounds $0\<x_0\<x_1,$ we seek a function $u$ with support in $\left[x_0,x_1\right]$ such that the corresponding solution $y$ satisfies:$$y(t,0)=\widehat{y}(t,0)\forall t\in \left[0,T\right].$$We prove in this article that, under some regularity conditions on the coefficients of $L,$ continuous solutions are unique and dense in the sense that $\widehat{y}{|}_{[0,T]\times \left\{0\right\}}$ can be $C^0$-approximated, but an exact solution does not...

Let L be a parabolic second order differential operator on the domain $\overline{\Pi }=\left[0,T\right]\times ℝ.$ Given a function $\widehat{u}:ℝ\to R$ and $\widehat{x}>0$ such that the support of û is contained in $(-\infty ,-\widehat{x}]$, we let $\widehat{y}:\overline{\Pi }\to ℝ$ be the solution to the equation: $$L\widehat{y}=0,\widehat{y}{|}_{\left\{0\right\}\times ℝ}=\widehat{u}.$$ Given positive bounds $0<x_0<x_1,$ we seek a function u with support in $\left[x_0,x_1\right]$ such that the corresponding solution y satisfies: $$y(t,0)=\widehat{y}(t,0)\forall t\in \left[0,T\right].$$ We prove in this article that, under some regularity conditions on the coefficients of L, continuous solutions are unique and dense in the sense that $\widehat{y}{|}_{[0,T]\times \left\{0\right\}}$ can be C0-approximated, but an exact solution...

We analyze a jump processes $Z$ with a jump measure determined by a “memory” process $S$. The state space of $(Z,S)$ is the Cartesian product of the unit circle and the real line. We prove that the stationary distribution of $(Z,S)$ is the product of the uniform probability measure and a Gaussian distribution.

In the paper D. Hoover, J. Keisler: Adapted probability distributions, Trans. Amer. Math. Soc. 286 (1984), 159–201 the notion of adapted distribution of two stochastic processes was introduced, which in a way represents the notion of equivalence of those processes. This very important property is hard to prove directly, so we continue the work of Keisler and Hoover in finding sufficient conditions for two stochastic processes to have the same adapted distribution. For this purpose we use the concept...

A generalization of the Poisson driven stochastic differential equation is considered. A sufficient condition for asymptotic stability of a discrete time-nonhomogeneous Markov process is proved.

We show in this article how the theory of “rough paths” allows us to construct solutions of differential equations (SDEs) driven by processes generated by divergence-form operators. For that, we use approximations of the trajectories of the stochastic process by piecewise smooth paths. A result of type Wong-Zakai follows immediately.

We have seen in a previous article how the theory of “rough paths” allows us to construct solutions of differential equations driven by processes generated by divergence form operators. In this article, we study a convergence criterion which implies that one can interchange the integral with the limit of a family of stochastic processes generated by divergence form operators. As a corollary, we identify stochastic integrals constructed with the theory of rough paths with Stratonovich or Itô integrals...

In this article we prove the pathwise uniqueness for stochastic differential equations in ${ℝ}^d$ with time-dependent Sobolev drifts, and driven by symmetric $\alpha$-stable processes provided that $\alpha \in (1,2)$ and its spectral measure is non-degenerate. In particular, the drift is allowed to have jump discontinuity when $\alpha \in (\frac{2d}{d+1},2)$. Our proof is based on some estimates of Krylov’s type for purely discontinuous semimartingales.