系数不连续的多值随机微分方程解的存在性

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-03-04 DOI:10.1080/17442508.2013.775286

Jing Wu

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引用次数: 4

摘要

本文的主题是寻找具有不连续系数的多值随机微分方程弱解的存在性条件。首先证明了当漂移系数b满足线性增长，扩散系数σ为一致椭圆型时，存在非爆炸解。在此基础上，我们继续得到了在一定局部可积性下的弱意义解(直到爆炸时间)，改进了Rozkosz和Słomiński的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On existence of solutions of multivalued stochastic differential equations with discontinuous coefficients

The subject of the paper is to find existence conditions of weak solutions to multivalued stochastic differential equations with discontinuous coefficients. First we prove that a non-exploding solution exists when the drift coefficient b satisfies linear growth and the diffusion coefficient σ is uniformly elliptic. On this basis, we continue to obtain a solution (up to the explosion time) in the weak sense under certain local integrability, improving the result of Rozkosz and Słomiński.

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.