scholarly journals Weak solutions to Vlasov–McKean equations under Lyapunov-type conditions

2019 ◽  
Vol 19 (06) ◽  
pp. 1950042 ◽  
Author(s):  
Sima Mehri ◽  
Wilhelm Stannat
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Total Variation ◽  
Existence And Uniqueness ◽  
Wasserstein Distance ◽  
Uniqueness Result ◽  
Total Variation Distance ◽  
Uniqueness Results ◽  
General Law ◽  
Variation Distance

We present a Lyapunov-type approach to the problem of existence and uniqueness of general law-dependent stochastic differential equations. In the existing literature, most results concerning existence and uniqueness are obtained under regularity assumptions of the coefficients with respect to the Wasserstein distance. Some existence and uniqueness results for irregular coefficients have been obtained by considering the total variation distance. Here, we extend this approach to the control of the solution in some weighted total variation distance, that allows us now to derive a rather general weak uniqueness result, merely assuming measurability and certain integrability on the drift coefficient and some non-degeneracy on the dispersion coefficient. We also present an abstract weak existence result for the solution of law-dependent stochastic differential equations with merely measurable coefficients, based on an approximation with law-dependent stochastic differential equations with regular coefficients under Lyapunov-type assumptions.

DISSIPATIVE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS IN INFINITE DIMENSIONS

2006 ◽  
Vol 09 (01) ◽  
pp. 155-168 ◽  
Author(s):  
FULVIA CONFORTOLA
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Hilbert Spaces ◽  
Stochastic Partial Differential Equations ◽  
Existence And Uniqueness ◽  
Backward Stochastic Differential Equations ◽  
Uniqueness Result ◽  
Infinite Dimensions ◽  
Partial Differential

We prove an existence and uniqueness result for a class of backward stochastic differential equations (BSDE) with dissipative drift in Hilbert spaces. We also give examples of stochastic partial differential equations which can be solved with our result.

scholarly journals Periodic Solutions for Stochastic Differential Equations Driven by General Counting Processes: Application to Malaria

2021 ◽  
Vol 13 (4) ◽  
pp. 1
Author(s):  
KOUAME Yao Simplice ◽  
NZI Modeste
Keyword(s):  
Periodic Solution ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Markov Processes ◽  
Existence And Uniqueness ◽  
Sufficient Conditions ◽  
Uniqueness Result ◽  
Poisson Processes ◽  
Counting Processes ◽  
Periodic Environment

In this paper, a class of periodic stochastic differential equations driven by general counting processes (SDEsGp) is studied. First, an existence-uniqueness result for the solution of general SDEsGp based on Poisson processes with т-periodic stochastic intensity of time t has been given, for some  т> 0. Then, using the properties of periodic Markov processes, sufficient conditions for the existence and uniqueness of a periodic solution of the considered equations are obtained. We will then apply the obtained results to the propagation of malaria in a periodic environment.

scholarly journals Existence and Uniqueness Results for Fractional Differential Equations with Riemann-Liouville Fractional Integral Boundary Conditions

2015 ◽  
Vol 2015 ◽  
pp. 1-6
Author(s):  
Mohamed I. Abbas
Keyword(s):  
Differential Equations ◽  
Boundary Conditions ◽  
Fractional Differential Equations ◽  
Existence And Uniqueness ◽  
Fractional Integral ◽  
Integral Boundary Conditions ◽  
Uniqueness Result ◽  
Integral Boundary ◽  
Uniqueness Results ◽  
Fractional Differential

We prove the existence and uniqueness of solution for fractional differential equations with Riemann-Liouville fractional integral boundary conditions. The first existence and uniqueness result is based on Banach’s contraction principle. Moreover, other existence results are also obtained by using the Krasnoselskii fixed point theorem. An example is given to illustrate the main results.

Well-posedness of Stratonovich multi-valued SDEs driven by semimartingales

2014 ◽  
Vol 14 (04) ◽  
pp. 1450005
Author(s):  
Jing Wu
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Existence And Uniqueness ◽  
Uniqueness Result ◽  
Time Change ◽  
Random Time ◽  
Approximation Technique ◽  
Well Posedness ◽  
Uniqueness Of Solutions ◽  
Random Time Change

In this paper we consider Stratonovich type multi-valued stochastic differential equations (MSDEs) driven by general semimartingales. Based on an existence and uniqueness result for MSDEs with respect to continuous semimartingales, we apply the random time change and approximation technique to prove existence and uniqueness of solutions to Stratonovich type multi-valued SDEs driven by general semimartingales with summable jumps.

scholarly journals McKean–Vlasov type stochastic differential equations arising from the random vortex method

2021 ◽  
Vol 3 (1) ◽  
Author(s):  
Zhongmin Qian ◽  
Yuhan Yao
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Vortex Dynamics ◽  
Existence And Uniqueness ◽  
Strong Solutions ◽  
Vortex Method ◽  
Wasserstein Distance ◽  
New Approach ◽  
Lipschitz Continuous ◽  
Space Of Distributions

AbstractWe study a class of McKean–Vlasov type stochastic differential equations (SDEs) which arise from the random vortex dynamics and other physics models. By introducing a new approach we resolve the existence and uniqueness of both the weak and strong solutions for the McKean–Vlasov stochastic differential equations whose coefficients are defined in terms of singular integral kernels such as the Biot–Savart kernel. These SDEs which involve the distributions of solutions are in general not Lipschitz continuous with respect to the usual distances on the space of distributions such as the Wasserstein distance. Therefore there is an obstacle in adapting the ordinary SDE method for the study of this class of SDEs, and the conventional methods seem not appropriate for dealing with such distributional SDEs which appear in applications such as fluid mechanics.

scholarly journals Solutions and comparison theorems for anticipated backward stochastic differential equations with non-Lipschitz generators

2016 ◽  
Vol 12 (4) ◽  
pp. 6139-6147
Author(s):  
Xuecheng XU ◽  
Min Chen
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Existence And Uniqueness ◽  
Backward Stochastic Differential Equations ◽  
Uniqueness Result ◽  
Comparison Theorems ◽  
One Dimensional

This paper is devoted to solving multidimensional anticipated backward stochastic differential equations (anticipated BSDEs for short) with a kind of non-Lipschitz generators. We establish the existence and uniqueness result for L2 solutions of this kind of anticipated BSDEs, and establish the corresponding one-dimensional comparison theorems for the type of anticipated BSDEs. Our results improve some known results.

scholarly journals Mean-Field Forward-Backward Doubly Stochastic Differential Equations and Related Nonlocal Stochastic Partial Differential Equations

2014 ◽  
Vol 2014 ◽  
pp. 1-10
Author(s):  
Qingfeng Zhu ◽  
Yufeng Shi
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Stochastic Partial Differential Equations ◽  
Existence And Uniqueness ◽  
Mean Field ◽  
Partial Differential ◽  
Existence And Uniqueness Results ◽  
Doubly Stochastic ◽  
Uniqueness Results

Mean-field forward-backward doubly stochastic differential equations (MF-FBDSDEs) are studied, which extend many important equations well studied before. Under some suitable monotonicity assumptions, the existence and uniqueness results for measurable solutions are established by means of a method of continuation. Furthermore, the probabilistic interpretation for the solutions to a class of nonlocal stochastic partial differential equations (SPDEs) combined with algebra equations is given.

scholarly journals Backward stochastic differential equations with stochastic monotone coefficients

2004 ◽  
Vol 2004 (4) ◽  
pp. 317-335 ◽  
Author(s):  
K. Bahlali ◽  
A. Elouaflin ◽  
M. N'zi
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Existence And Uniqueness ◽  
Backward Stochastic Differential Equations ◽  
Uniqueness Result ◽  
Nonlinear Pdes ◽  
Monotonicity Condition ◽  
Stochastic Monotonicity ◽  
Monotone Coefficients ◽  
Terminal Time

We prove an existence and uniqueness result for backward stochastic differential equations whose coefficients satisfy a stochastic monotonicity condition. In this setting, we deal with both constant and random terminal times. In the random case, the terminal time is allowed to take infinite values. But in a Markovian framework, that is coupled with a forward SDE, our result provides a probabilistic interpretation of solutions to nonlinear PDEs.

Reflected backward stochastic differential equations with time-delayed generators

2018 ◽  
Vol 26 (1) ◽  
pp. 11-22
Author(s):  
Navegué Tuo ◽  
Harouna Coulibaly ◽  
Auguste Aman
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Existence And Uniqueness ◽  
Backward Stochastic Differential Equations ◽  
Uniqueness Result ◽  
Penalization Method ◽  
One Dimensional

AbstractThis paper is devoted to establish an existence and uniqueness result of one-dimensional reflected backward stochastic differential equations with time-delayed generators (RBSDEs with time-delayed generators, in short). Our proof is based on approximation via a penalization method.

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