Renormalization Group Method for Singular Perturbed Systems Driven by Fractional Brownian Motion

2019 ◽  
Author(s):  
Lihong Guo ◽  
Shaoyun Shi ◽  
YangQuan Chen
Keyword(s):  
Brownian Motion ◽  
Renormalization Group ◽  
Fractional Brownian Motion ◽  
High Probability ◽  
Large Time ◽  
Approximate Solutions ◽  
Hurst Parameter ◽  
Group Method ◽  
Renormalization Group Method ◽  
Perturbed Systems

Abstract In this article, we use the renormalization group method to study the approximate solution of stochastic differential equations (SDEs) driven by fractional Brownian motion with Hurst parameter H∈12,1. We derive a related reduced system, which we use to construct the separate scale approximation solutions. It is shown that the approximate solutions remain valid with high probability on large time scales. We also expect that our general approach can be applied to the fields of physics, finance, and engineering, etc.

Global attracting sets of neutral stochastic functional integro-differential equations driven by a fractional Brownian motion

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
A. Bakka ◽  
S. Hajji ◽  
D. Kiouach
Keyword(s):  
Hilbert Space ◽  
Fixed Point ◽  
Brownian Motion ◽  
Differential Equations ◽  
Fractional Brownian Motion ◽  
Sufficient Conditions ◽  
Integrodifferential Equations ◽  
Hurst Parameter ◽  
Fixed Point Principle ◽  
Stochastic Functional

Abstract By means of the Banach fixed point principle, we establish some sufficient conditions ensuring the existence of the global attracting sets of neutral stochastic functional integrodifferential equations with finite delay driven by a fractional Brownian motion (fBm) with Hurst parameter H ∈ ( 1 2 , 1 ) {H\in(\frac{1}{2},1)} in a Hilbert space.

scholarly journals New applications of the renormalization group method in physics: a brief introduction

2011 ◽  
Vol 369 (1946) ◽  
pp. 2602-2611 ◽  
Author(s):  
Y. Meurice ◽  
R. Perry ◽  
S.-W. Tsai
Keyword(s):  
Renormalization Group ◽  
Phase Transitions ◽  
Dynamical Systems ◽  
Particle Physics ◽  
Recent Progress ◽  
Condensed Matter ◽  
Group Method ◽  
Renormalization Group Method ◽  
Theme Issue ◽  
New Applications

The renormalization group (RG) method developed by Ken Wilson more than four decades ago has revolutionized the way we think about problems involving a broad range of energy scales such as phase transitions, turbulence, continuum limits and bifurcations in dynamical systems. The Theme Issue provides articles reviewing recent progress made using the RG method in atomic, condensed matter, nuclear and particle physics. In the following, we introduce these articles in a way that emphasizes common themes and the universal aspects of the method.

Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application

2020 ◽  
Vol 28 (4) ◽  
pp. 291-306
Author(s):  
Tayeb Bouaziz ◽  
Adel Chala
Keyword(s):  
Brownian Motion ◽  
Maximum Principle ◽  
Control Problem ◽  
Fractional Brownian Motion ◽  
Stochastic Control ◽  
Malliavin Calculus ◽  
Stochastic Maximum Principle ◽  
Hurst Parameter ◽  
Principle Of Optimality ◽  
Initial Cost

AbstractWe consider a stochastic control problem in the case where the set of the control domain is convex, and the system is governed by fractional Brownian motion with Hurst parameter {H\in(\frac{1}{2},1)} and standard Wiener motion. The criterion to be minimized is in the general form, with initial cost. We derive a stochastic maximum principle of optimality by using two famous approaches. The first one is the Doss–Sussmann transformation and the second one is the Malliavin derivative.

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