ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS

2001 ◽  
Vol 01 (01) ◽  
pp. 23-43 ◽  
Author(s):  
R. KHASMINSKII ◽  
G. N. MILSTEIN
Keyword(s):  
Differential Equations ◽  
Equilibrium Point ◽  
Stochastic Differential Equations ◽  
Initial Conditions ◽  
Equilibrium Points ◽  
Initial Condition ◽  
Nonlinear Stochastic Differential Equations

The estimation of the linearized drift for stochastic differential equations with equilibrium points is considered. It is proved that the linearized drift matrix can be estimated efficiently if the initial condition for the system is chosen close enough to the equilibrium point. Some bounds for initial conditions ensuring the asymptotical efficiency of the estimator are found.

scholarly journals A Type of Time-Symmetric Stochastic System and Related Games

Symmetry ◽  
2021 ◽  
Vol 13 (1) ◽  
pp. 118
Author(s):  
Qingfeng Zhu ◽  
Yufeng Shi ◽  
Jiaqiang Wen ◽  
Hui Zhang
Keyword(s):  
Nash Equilibrium ◽  
Time Delay ◽  
Differential Equations ◽  
Equilibrium Point ◽  
Stochastic Differential Equations ◽  
Stochastic System ◽  
Stochastic Systems ◽  
Necessary Condition ◽  
Nash Equilibrium Point ◽  
Doubly Stochastic

This paper is concerned with a type of time-symmetric stochastic system, namely the so-called forward–backward doubly stochastic differential equations (FBDSDEs), in which the forward equations are delayed doubly stochastic differential equations (SDEs) and the backward equations are anticipated backward doubly SDEs. Under some monotonicity assumptions, the existence and uniqueness of measurable solutions to FBDSDEs are obtained. The future development of many processes depends on both their current state and historical state, and these processes can usually be represented by stochastic differential systems with time delay. Therefore, a class of nonzero sum differential game for doubly stochastic systems with time delay is studied in this paper. A necessary condition for the open-loop Nash equilibrium point of the Pontriagin-type maximum principle are established, and a sufficient condition for the Nash equilibrium point is obtained. Furthermore, the above results are applied to the study of nonzero sum differential games for linear quadratic backward doubly stochastic systems with delay. Based on the solution of FBDSDEs, an explicit expression of Nash equilibrium points for such game problems is established.

A variational approach to nonlinear stochastic differential equations with linear multiplicative noise

2019 ◽  
Vol 25 ◽  
pp. 71
Author(s):  
Viorel Barbu
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Parabolic Equations ◽  
Optimization Problem ◽  
Multiplicative Noise ◽  
Generalized Solution ◽  
Convex Optimization Problem ◽  
Nonlinear Stochastic Differential Equations ◽  
Infinite Dimensional ◽  
Wiener Processes

One introduces a new concept of generalized solution for nonlinear infinite dimensional stochastic differential equations of subgradient type driven by linear multiplicative Wiener processes. This is defined as solution of a stochastic convex optimization problem derived from the Brezis-Ekeland variational principle. Under specific conditions on nonlinearity, one proves the existence and uniqueness of a variational solution which is also a strong solution in some significant situations. Applications to the existence of stochastic total variational flow and to stochastic parabolic equations with mild nonlinearity are given.

scholarly journals Three-Saddle-Foci Chaotic Behavior of a Modified Jerk Circuit with Chua’s Diode

Symmetry ◽  
2020 ◽  
Vol 12 (11) ◽  
pp. 1803
Author(s):  
Pattrawut Chansangiam
Keyword(s):  
Equilibrium Point ◽  
Chaotic Behavior ◽  
Initial Conditions ◽  
Piecewise Linear ◽  
Equilibrium Points ◽  
Initial Point ◽  
Electrical Circuit ◽  
Nonlinear Resistor ◽  
Voltage Current Characteristic ◽  
Time Waveform

This paper investigates the chaotic behavior of a modified jerk circuit with Chua’s diode. The Chua’s diode considered here is a nonlinear resistor having a symmetric piecewise linear voltage-current characteristic. To describe the system, we apply fundamental laws in electrical circuit theory to formulate a mathematical model in terms of a third-order (jerk) nonlinear differential equation, or equivalently, a system of three first-order differential equations. The analysis shows that this system has three collinear equilibrium points. The time waveform and the trajectories about each equilibrium point depend on its associated eigenvalues. We prove that all three equilibrium points are of type saddle focus, meaning that the trajectory of (x(t),y(t)) diverges in a spiral form but z(t) converges to the equilibrium point for any initial point (x(0),y(0),z(0)). Numerical simulation illustrates that the oscillations are dense, have no period, are highly sensitive to initial conditions, and have a chaotic hidden attractor.

scholarly journals A Four-Zone Model and Nonlinear Dynamic Analysis of Solution Multiplicity of Buoyancy Ventilation in Underground Building

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-24
Author(s):  
Yuxing Wang ◽  
Chunyu Wei
Keyword(s):  
Differential Equations ◽  
Equilibrium Point ◽  
Equilibrium Points ◽  
Underground Structure ◽  
Unstable Equilibrium ◽  
Phase Portraits ◽  
Zone Model ◽  
Unstable Equilibrium Point ◽  
Index 2 ◽  
The Stability

The solution multiplicity of natural ventilation in buildings is very important to personnel safety and ventilation design. In this paper, a four-zone model of buoyancy ventilation in typical underground building is proposed. The underground structure is divided to four zones, a differential equation is established in each zone, and therefore, there are four differential equations in the underground structure. By solving and analyzing the equilibrium points and characteristic roots of the differential equations, we analyze the stability of three scenarios and obtain the criterions to determine the stability and existence of solutions for two scenarios. According to these criterions, the multiple steady states of buoyancy ventilation in any four-zone underground buildings for different stack height ratios and the strength ratios of the heat sources can be obtained. These criteria can be used to design buoyancy ventilation or natural exhaust ventilation systems in underground buildings. Compared with the two-zone model in (Liu et al. 2020), the results of the proposed four-zone model are more consistent with CFD results in (Liu et al. 2018). In addition, the results of proposed four-zone model are more specific and more detailed in the unstable equilibrium point interval. We find that the unstable equilibrium point interval is divided into two different subintervals corresponding to the saddle point of index 2 and the saddle focal equilibrium point of index 2, respectively. Finally, the phase portraits and vector field diagrams for the two scenarios are given.

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