Existence and uniqueness of the entropy solution of a stochastic conservation law with a Q‐Brownian motion

2020 ◽  
Vol 43 (9) ◽  
pp. 5860-5886
Author(s):  
Tadahisa Funaki ◽  
Yueyuan Gao ◽  
Danielle Hilhorst
Keyword(s):  
Brownian Motion ◽  
Conservation Law ◽  
Existence And Uniqueness ◽  
Entropy Solution

scholarly journals Self-exciting multifractional processes

2021 ◽  
Vol 58 (1) ◽  
pp. 22-41
Author(s):  
Fabian A. Harang ◽  
Marc Lagunas-Merino ◽  
Salvador Ortiz-Latorre
Keyword(s):  
Stochastic Process ◽  
Brownian Motion ◽  
Rate Of Convergence ◽  
Existence And Uniqueness ◽  
Volterra Equation ◽  
The Self ◽  
The Past ◽  
Stochastic Volterra Equation ◽  
Multifractional Brownian Motion ◽  
Self Organizing

AbstractWe propose a new multifractional stochastic process which allows for self-exciting behavior, similar to what can be seen for example in earthquakes and other self-organizing phenomena. The process can be seen as an extension of a multifractional Brownian motion, where the Hurst function is dependent on the past of the process. We define this by means of a stochastic Volterra equation, and we prove existence and uniqueness of this equation, as well as giving bounds on the p-order moments, for all $p\geq1$. We show convergence of an Euler–Maruyama scheme for the process, and also give the rate of convergence, which is dependent on the self-exciting dynamics of the process. Moreover, we discuss various applications of this process, and give examples of different functions to model self-exciting behavior.

scholarly journals Fuzzy stochastic differential equations driven by fractional Brownian motion

2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Hossein Jafari ◽  
Marek T. Malinowski ◽  
M. J. Ebadi
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Fractional Brownian Motion ◽  
Approximation Method ◽  
Existence And Uniqueness ◽  
Financial Models ◽  
Stochastic Integral ◽  
Long Range Dependence ◽  
World Systems

AbstractIn this paper, we consider fuzzy stochastic differential equations (FSDEs) driven by fractional Brownian motion (fBm). These equations can be applied in hybrid real-world systems, including randomness, fuzziness and long-range dependence. Under some assumptions on the coefficients, we follow an approximation method to the fractional stochastic integral to study the existence and uniqueness of the solutions. As an example, in financial models, we obtain the solution for an equation with linear coefficients.

scholarly journals Solving Arbitrage Problem on the Financial Market Under the Mixed Fractional Brownian Motion With Hurst Parameter H ∈]1/2,3/4[

2019 ◽  
Vol 11 (1) ◽  
pp. 76
Author(s):  
Eric Djeutcha ◽  
Didier Alain Njamen Njomen ◽  
Louis-Aimé Fono
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Financial Market ◽  
Existence And Uniqueness ◽  
Hurst Parameter ◽  
Existence And Uniqueness Theorem ◽  
Martingale Approximation ◽  
Arbitrage Opportunities ◽  
Mixed Fractional Brownian Motion ◽  
Geometric Fractional Brownian Motion

This study deals with the arbitrage problem on the financial market when the underlying asset follows a mixed fractional Brownian motion. We prove the existence and uniqueness theorem for the mixed geometric fractional Brownian motion equation. The semi-martingale approximation approach to mixed fractional Brownian motion is used to eliminate the arbitrage opportunities.

scholarly journals ROUGH VOLTERRA EQUATIONS 1: THE ALGEBRAIC INTEGRATION SETTING

2009 ◽  
Vol 09 (03) ◽  
pp. 437-477 ◽  
Author(s):  
AURÉLIEN DEYA ◽  
SAMY TINDEL
Keyword(s):  
Brownian Motion ◽  
Existence And Uniqueness ◽  
Local Existence ◽  
Volterra Equations ◽  
Existence And Uniqueness Theorem ◽  
Hölder Exponent ◽  
Local Existence And Uniqueness ◽  
Hurst Coefficient ◽  
Rough Path ◽  
Driving Signal

We define and solve Volterra equations driven by an irregular signal, by means of a variant of the rough path theory called algebraic integration. In the Young case, that is for a driving signal with Hölder exponent γ > 1/2, we obtain a global solution, and are able to handle the case of a singular Volterra coefficient. In case of a driving signal with Hölder exponent 1/3 < γ < 1/2, we get a local existence and uniqueness theorem. The results are easily applied to the fractional Brownian motion with Hurst coefficient H > 1/3.

Fractional anticipated BSDEs with stochastic Lipschitz coefficients

2018 ◽  
Vol 26 (3) ◽  
pp. 143-161
Author(s):  
Ahmadou Bamba Sow ◽  
Bassirou Kor Diouf
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Stochastic Differential Equation ◽  
Fractional Brownian Motion ◽  
Comparison Theorem ◽  
Existence And Uniqueness ◽  
Backward Stochastic Differential Equation ◽  
Hurst Parameter ◽  
Uniqueness Of A Solution

Abstract In this paper, we deal with an anticipated backward stochastic differential equation driven by a fractional Brownian motion with Hurst parameter {H\in(1/2,1)} . We essentially establish existence and uniqueness of a solution in the case of stochastic Lipschitz coefficients and prove a comparison theorem in a specific case.

scholarly journals Convergence of Monotone Schemes for Conservation Laws with Zero-Flux Boundary Conditions

2017 ◽  
Vol 9 (3) ◽  
pp. 515-542
Author(s):  
K. H. Karlsen ◽  
J. D. Towers
Keyword(s):  
Boundary Conditions ◽  
Conservation Law ◽  
Entropy Solution ◽  
Approximate Solutions ◽  
Convergence Result ◽  
Simple Modification ◽  
Monotone Schemes ◽  
Scalar Conservation Law ◽  
Flux Boundary Conditions ◽  
Scalar Conservation

AbstractWe consider a scalar conservation law with zero-flux boundary conditions imposed on the boundary of a rectangular multidimensional domain. We study monotone schemes applied to this problem. For the Godunov version of the scheme, we simply set the boundary flux equal to zero. For other monotone schemes, we additionally apply a simple modification to the numerical flux. We show that the approximate solutions produced by these schemes converge to the unique entropy solution, in the sense of [7], of the conservation law. Our convergence result relies on a BV bound on the approximate numerical solution. In addition, we show that a certain functional that is closely related to the total variation is nonincreasing from one time level to the next. We extend our scheme to handle degenerate convection-diffusion equations and for the one-dimensional case we prove convergence to the unique entropy solution.

scholarly journals Lp Solutions of BSDEs with Stochastic Lipschitz Condition

2007 ◽  
Vol 2007 ◽  
pp. 1-14 ◽  
Author(s):  
Jiajie Wang ◽  
Qikang Ran ◽  
Qihong Chen
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Lipschitz Condition ◽  
Existence And Uniqueness ◽  
Special Class ◽  
Lipschitz Continuity ◽  
Backward Stochastic Differential Equations ◽  
Uniqueness Of The Solution ◽  
Lp Solutions

We are concerned with the solutions of a special class of backward stochastic differential equations which are driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one. We prove the existence and uniqueness of the solution in Lp with p>1.

Sign in / Sign up

Export Citation Format

Share Document