Geometrically Convergent Simulation of the Extrema of Lévy Processes

We develop a novel approximate simulation algorithm for the joint law of the position, the running supremum, and the time of the supremum of a general Lévy process at an arbitrary finite time. We identify the law of the error in simple terms. We prove that the error decays geometrically in Lp (for any [Formula: see text]) as a function of the computational cost, in contrast with the polynomial decay for the approximations available in the literature. We establish a central limit theorem and construct nonasymptotic and asymptotic confidence intervals for the corresponding Monte Carlo estimator. We prove that the multilevel Monte Carlo estimator has optimal computational complexity (i.e., of order [Formula: see text] if the mean squared error is at most [Formula: see text]) for locally Lipschitz and barrier-type functions of the triplet and develop an unbiased version of the estimator. We illustrate the performance of the algorithm with numerical examples.

Polynomial stability for the equations of porous elasticity in one-dimensional bounded domains

In this paper, we consider a porous–elastic system where the dissipation mechanisms act on the elastic and on the porous structures. Here, we consider the one-dimensional porous–elastic system defined on bounded domains in space and we proved the polynomial stability when a particular relationship between the damping parameters is equal to zero. We also prove the optimality of the rate of polynomial decay.

General decay of solutions of a thermoelastic Bresse system with viscoelastic boundary conditions

In this paper we consider a multidimensional thermoviscoelastic system of Bresse type where the heat conduction is given by Green and Naghdi theories. For a wider class of relaxation functions, We show that the dissipation produced by the memory eect is strong enough to produce a general decay results. We establish a general decay results, from which the usual exponential and polynomial decay rates are only special cases.

Stability with general decay rate of hybrid neutral stochastic pantograph differential equations driven by Lévy noise

<p style='text-indent:20px;'>This paper focuses on the <inline-formula><tex-math id="M2">\begin{document}$ p $\end{document}</tex-math></inline-formula>th moment and almost sure stability with general decay rate (including exponential decay, polynomial decay, and logarithmic decay) of highly nonlinear hybrid neutral stochastic pantograph differential equations driven by L<inline-formula><tex-math id="M3">\begin{document}$ \acute{e} $\end{document}</tex-math></inline-formula>vy noise (NSPDEs-LN). The crucial techniques used are the Lyapunov functions and the nonnegative semi-martingale convergence theorem. Simultaneously, the diffusion operators are permitted to be controlled by several additional functions with time-varying coefficients, which can be applied to a broad class of the non-autonomous hybrid NSPDEs-LN with highly nonlinear coefficients. Besides, <inline-formula><tex-math id="M4">\begin{document}$ H_\infty $\end{document}</tex-math></inline-formula> stability and the almost sure asymptotic stability are also concerned. Finally, two examples are offered to illustrate the validity of the obtained theory.</p>

Polynomial Decay Rate for a Coupled Lamé System with Viscoelastic Damping and Distributed Delay Terms

In this paper, we prove a general energy decay results of a coupled Lamé system with distributed time delay. By assuming a more general of relaxation functions and using some properties of convex functions, we establish the general energy decay results to the system by using an appropriate Lyapunov functional.