A class of (possibly) degenerate stochastic integro-differential equations of parabolic type is considered, which includes the Zakai equation in nonlinear filtering for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential spaces.
Solvability of a class of integro-differential equations with Laplace and bi-Laplace operators
University of Toronto(多伦多大学);Institute Camille Jordan, UMR 5208 CNRS, University Lyon 1(卡米尔·乔丹研究所,CNRS联合研究单位5208,里昂第一大学);Peoples’ Friendship University of Russia(俄罗斯人民友谊大学)
Existence of stationary solutions for some systems of integro-differential equations with Laplace and bi-Laplace operators
University of Toronto(多伦多大学);Institute Camille Jordan, UMR 5208 CNRS, University Lyon 1(卡米尔·若尔当研究所,CNRS UMR 5208,里昂第一大学);Peoples’ Friendship University of Russia(俄罗斯人民友谊大学)
In this article, we study a class of stochastic partial differential equations with fractional differential operators subject to some time-independent multiplicative Gaussian noise. We derive sharp conditions, under which a unique global $L^p(Ω)$-solution exits for all $p\ge 2$. In this case, we derive exact moment asymptotics following the same strategy in a recent work by Balan et al [1]. In the case when there exits only a local solution, we determine the precise deterministic time, $T_2$, before which a unique $L^2(Ω)$-solution exits, but after which the series corresponding to the $L^2(Ω)…
Inverse problem for wave equation of memory type with acoustic boundary conditions: Global solvability
Southern Mathematical Institute of Vladikavkaz Scientific Center of Russian Academy of Sciences(弗拉季高加索科学中心俄罗斯科学院南方数学研究所);Center for Mathematics and Applications (NovaMath), NOVA SST(新里斯本科学技术大学数学与应用中心(NovaMath));Department of Mathematics, Indian Institute of Technology Roorkee(印度罗尔基理工学院数学系)
Solvability conditions for some non-Fredholm operators with shifted arguments
University of Toronto(多伦多大学);Institute Camille Jordan, UMR 5208 CNRS, University Lyon 1(里昂第一大学卡米尔·若尔当研究所(CNRS联合研究单位5208));Peoples’ Friendship University of Russia(俄罗斯人民友谊大学)
In this paper we consider the numerical approximation of nonlocal integro differential parabolic equations via neural networks. These equations appear in many recent applications, including finance, biology and others, and have been recently studied in great generality starting from the work of Caffarelli and Silvestre. Based in the work by Hure, Pham and Warin, we generalize their Euler scheme and consistency result for Backward Forward Stochastic Differential Equations to the nonlocal case. We rely on Lèvy processes and a new neural network approximation of the nonlocal part to overcome the …
We prove unique weak solvability and Feller property for stochastic differential equations with drift in a large class of time-dependent vector fields. This class contains, in particular, the critical Ladyzhenskaya-Prodi-Serrin class, the weak $L^d$ class as well as some vector fields that are not even in $L^{2+\varepsilon}_{\rm loc}$, $\varepsilon>0$.
We consider a general class of integro-differential evolution equations which includes the governing equation of the generalized grey Brownian motion and the time- and space-fractional heat equation. We present a general relation between the parameters of the equation and the distribution of the underlying stochastic processes, as well as discuss different classes of processes providing stochastic solutions of these equations. For a subclass of evolution equations, containing Saigo-Maeda generalized time-fractional operators, we determine the parameters of the corresponding processes explicitl…
The purpose of this paper is to analyze solutions of a non-local nonlinear partial integro-differential equation (PIDE) in multidimensional spaces. Such class of PIDE often arises in financial modeling. We employ the theory of abstract semilinear parabolic equations in order to prove existence and uniqueness of solutions in the scale of Bessel potential spaces. We consider a wide class of Lévy measures satisfying suitable growth conditions near the origin and infinity. The novelty of the paper is the generalization of already known results in the one space dimension to the multidimensional cas…
In this work, we study the optimal control of stochastic Burgers equation perturbed by Gaussian and Levy type noises with distributed control process acting on the state equation. We use the dynamic programming approach for the second order Hamilton-Jacobi- Bellman (HJB) equation consisting of an integro-differential operator with Levy measure associated with the stochastic control problem. Using the regularizing properties of the transition semigroup corresponding to the stochastic Burgers equation and compactness arguments, we solve the HJB equation and the resultant feedback control problem…
In this article, we study optimal feedback control synthesis of stochastic 2D Navier-Stokes equations perturbed Levy type noise with distributed stochastic control process acting on the state equation. We use the dynamic programming approach to solve this control problem which involves the study of second order infinite dimensional Hamilton- Jacobi-Bellman (HJB) equation consisting of an integro-differential operator with Levy measure associated with the stochastic control problem. Using the regularizing properties of the transition semigroup corresponding to the stochastic 2D Navier-Stokes eq…