-variation for families of local times on lines
Parabolic SPDEs degenerating on the boundary of nonsmooth domain.
Parabolic variational inequalities with generalized reflecting directions
We study, in a Hilbert framework, some abstract parabolic variational inequalities, governed by reflecting subgradients with multiplicative perturbation, of the following type: y´(t)+ Ay(t)+0.t Θ(t,y(t)) ∂φ(y(t))∋f(t,y(t)),y(0) = y0,t ∈[0,T] where A is a linear self-adjoint operator, ∂φ is the subdifferential operator of a proper lower semicontinuous convex function φ defined on a suitable Hilbert space, and Θ is the perturbing term which acts on the set of reflecting directions, destroying the...
Parametric dependence of the solution processes on the coefficients in McShane's stochastic integral equation systems
Parametric inference for mixed models defined by stochastic differential equations
Non-linear mixed models defined by stochastic differential equations (SDEs) are considered: the parameters of the diffusion process are random variables and vary among the individuals. A maximum likelihood estimation method based on the Stochastic Approximation EM algorithm, is proposed. This estimation method uses the Euler-Maruyama approximation of the diffusion, achieved using latent auxiliary data introduced to complete the diffusion process between each pair of measurement instants. A tuned...
Partially observed optimal controls of forward-backward doubly stochastic systems
The partially observed optimal control problem is considered for forward-backward doubly stochastic systems with controls entering into the diffusion and the observation. The maximum principle is proven for the partially observable optimal control problems. A probabilistic approach is used, and the adjoint processes are characterized as solutions of related forward-backward doubly stochastic differential equations in finite-dimensional spaces. Then, our theoretical result is applied to study a partially-observed...
Partition-dependent stochastic measures and -deformed cumulants.
Path properties of a class of locally asymptotically self similar processes.
Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection
In this paper, the object of study is a Skorohod SDE in a convex polyhedron with oblique reflection at the boundary. We prove that the solution is pathwise differentiable with respect to its deterministic starting point up to the time when two of the faces are hit simultaneously. The resulting derivatives evolve according to an ordinary differential equation, when the process is in the interior of the polyhedron, and they are projected to the tangent space, when the process hits the boundary, while...
Pathwise differentiability with respect to a parameter of solutions of stochastic differential equations
Path-wise solutions of stochastic differential equations driven by Lévy processes.
In this paper we show that a path-wise solution to the following integral equationYt = ∫0t f(Yt) dXt, Y0 = a ∈ Rd,exists under the assumption that Xt is a Lévy process of finite p-variation for some p ≥ 1 and that f is an α-Lipschitz function for some α > p. We examine two types of solution, determined by the solution's behaviour at jump times of the process X, one we call geometric, the other forward. The geometric solution is obtained by adding fictitious time and solving an associated...
Pathwise uniqueness and approximation of solutions of stochastic differential equations
Pathwise uniqueness for stochastic PDEs
We consider a stochastic evolution equation in a separable Hilbert spaces H or in a separable Banach space E with a Hölder continuous perturbation on the drift. We review some recent result about pathwise uniqueness for this equation.
Peano type theorem for random fuzzy initial value problem
In this paper we consider the random fuzzy differential equations and show their application by an example. Under suitable conditions the Peano type theorem on existence of solutions is proved. For our purposes, a notion of ε-solution is exploited.
Penalisations of multidimensional Brownian motion, VI
As in preceding papers in which we studied the limits of penalized 1-dimensional Wiener measures with certain functionals Γt, we obtain here the existence of the limit, as t → ∞, of d-dimensional Wiener measures penalized by a function of the maximum up to time t of the Brownian winding process (for d = 2), or in {d}≥ 2 dimensions for Brownian motion prevented to exit a cone before time t. Various extensions of these multidimensional penalisations are studied, and the limit laws are described....
Periodic and almost periodic flows of periodic Ito equations
Under the uniform asymptotic stability of a finite dimensional Ito equation with periodic coefficients, the asymptotically almost periodicity of the -bounded solution and the existence of a trajectory of an almost periodic flow defined on the space of all probability measures are established.
Periodic and invariant measures for stochastic wave equations.
Periodic boundary value problems of second order random differential equations.
Periodic in distribution solution for a telegraph equation.
Persistence and extinction of a stochastic delay predator-prey model under regime switching
The paper is concerned with a stochastic delay predator-prey model under regime switching. Sufficient conditions for extinction and non-persistence in the mean of the system are established. The threshold between persistence and extinction is also obtained for each population. Some numerical simulations are introduced to support our main results.