scholarly journals Optimization of functionals under uncertainties for Ito-Skorokhod stochastic differential equations in Hilbert spaces

2018 ◽  
pp. 65-70
Author(s):  
A. Nikitin ◽  
O. Baliasnikova
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Hilbert Spaces ◽  
Liquid Fuel ◽  
Degrees Of Freedom ◽  
Applied Mathematics ◽  
Optimal Controls ◽  
Infinite Dimensional ◽  
Finite Dimensional ◽  
Carry Over

In the article for the stochastic differential equations of Ito-Skorokhod, problems of optimization of functionals under conditions of uncertainty in Hilbert spaces are investigated. Purpose of the article is to investigate some properties of stochastic differential equations in Hilbert spaces. These objects arise in diverse areas of applied mathematics as models for various natural phenomena, in particular, the evolution of complex systems with infinitely many degrees of freedom. For instance, one may think of the liquid fuel motion in the tank of a spacecraft. Spacecraft constructors should take into account this motion, for it influences heavily the path of a spacecraft. Also, optimization of the motion is an issue of principal importance. It is not trivial to carry over the results concerning stochastic differential equations in finite-dimensional spaces to the infinite dimensional case. We give some statements, in which the existence, uniqueness is proved and the explicit form μ-optimal controls for such equations is constructed, in particular, μ-optimal control is found as a linear inverse relationship.

scholarly journals Schramm–Loewner evolution with Lie superalgebra symmetry

2018 ◽  
Vol 33 (20) ◽  
pp. 1850117 ◽  
Author(s):  
Shinji Koshida
Keyword(s):  
Differential Equations ◽  
Representation Theory ◽  
Stochastic Differential Equations ◽  
Degrees Of Freedom ◽  
Lie Superalgebra ◽  
Classical Type ◽  
Finite Dimensional ◽  
Loewner Evolution ◽  
Internal Degrees Of Freedom

We propose a generalization of Schramm–Loewner evolution (SLE) that has internal degrees of freedom described by an affine Lie superalgebra. We give a general formulation of SLE corresponding to representation theory of an affine Lie superalgebra whose underlying finite-dimensional Lie superalgebra is basic classical type, and write down stochastic differential equations on internal degrees of freedom in case that the corresponding affine Lie superalgebra is [Formula: see text]. We also demonstrate computation of local martingales associated with the solution from a representation of [Formula: see text].

On mild solutions of gradient systems in Hilbert spaces

2013 ◽  
Vol 11 (11) ◽  
Author(s):  
Andrzej Rozkosz
Keyword(s):  
Cauchy Problem ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Hilbert Spaces ◽  
Existence And Uniqueness ◽  
Mild Solutions ◽  
Backward Stochastic Differential Equations ◽  
Stochastic Representation ◽  
Infinite Dimensional ◽  
The Cauchy Problem

AbstractWe consider the Cauchy problem for an infinite-dimensional Ornstein-Uhlenbeck equation perturbed by gradient of a potential. We prove some results on existence and uniqueness of mild solutions of the problem. We also provide stochastic representation of mild solutions in terms of linear backward stochastic differential equations determined by the Ornstein-Uhlenbeck operator and the potential.

LONG TERM BEHAVIOR OF DICHOTOMOUS STOCHASTIC DIFFERENTIAL EQUATIONS IN HILBERT SPACES

2004 ◽  
Vol 06 (03) ◽  
pp. 349-376 ◽  
Author(s):  
ONNO VAN GAANS ◽  
SJOERD VERDUYN LUNEL
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Hilbert Spaces ◽  
Bounded Solution ◽  
Linear Part ◽  
Existence Of A Solution ◽  
Infinite Dimensional ◽  
Lipschitz Constants ◽  
Long Term Behavior

We study existence of invariant measures for semilinear stochastic differential equations in Hilbert spaces. The noise is infinite dimensional, white in time, and colored in space. We show that if the equation is exponentially dichotomous in the sense that the semigroup generated by the linear part is hyperbolic and the Lipschitz constants of the nonlinearities are not too large, then existence of a solution with bounded mean squares implies existence of an invariant measure. Moreover, we show that every bounded solution satisfies a certain "Cauchy condition", which implies that its distributions converge weakly to a limit distribution.

AN INFINITE FACTOR MODEL FOR CREDIT RISK

2006 ◽  
Vol 09 (01) ◽  
pp. 43-68 ◽  
Author(s):  
THORSTEN SCHMIDT
Keyword(s):  
Markov Chain ◽  
Differential Equations ◽  
Credit Risk ◽  
Stochastic Differential Equations ◽  
Term Structure ◽  
Hilbert Spaces ◽  
Factor Model ◽  
Dimensional Model ◽  
Infinite Dimensional ◽  
Drift Condition

The defaultable term structure is modeled using stochastic differential equations in Hilbert spaces. This leads to an infinite dimensional model, which is free of arbitrage under a certain drift condition. Furthermore, the model is extended to incorporate ratings based on a Markov chain.

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.

Infinitely entangled states

2003 ◽  
Vol 3 (4) ◽  
pp. 281-306
Author(s):  
M. Keyl ◽  
D. Schlingemann ◽  
R.F. Werner
Keyword(s):  
Hilbert Spaces ◽  
Degrees Of Freedom ◽  
Entangled States ◽  
Entangled State ◽  
Bounded Operators ◽  
Infinite Dimensional ◽  
Infinite Dimensional Hilbert Space ◽  
Density Operators ◽  
Fundamental Paper ◽  
Extended Notion

For states in infinite dimensional Hilbert spaces entanglement quantities like the entanglement of distillation can become infinite. This leads naturally to the question, whether one system in such an infinitely entangled state can serve as a resource for tasks like the teleportation of arbitrarily many qubits. We show that appropriate states cannot be obtained by density operators in an infinite dimensional Hilbert space. However, using techniques for the description of infinitely many degrees of freedom from field theory and statistical mechanics, such states can nevertheless be constructed rigorously. We explore two related possibilities, namely an extended notion of algebras of observables, and the use of singular states on the algebra of bounded operators. As applications we construct the essentially unique infinite analogue of maximally entangled states, and the singular state used heuristically in the fundamental paper of Einstein, Rosen and Podolsky.

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.

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