[PDF] Top 20 Large deviation principle for the mean reflected stochastic differential equation with jumps
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Large deviation principle for the mean reflected stochastic differential equation with jumps
... We will use the weak convergence approach to study the large deviation principle for MR-SDE. Here, a representation formula of K plays an important role to overcome the difficulty coming from the fact ... See full document
15
Freidlin Wentzell’s Large Deviations for Stochastic Evolution Equations with Poisson Jumps
... a large deviation principle has been developed by Dupuis and Ellis in ...Laplace principle and large deviation principle ...sional stochastic dynamical systems ... See full document
20
Stability of stochastic differential equations in infinite dimensions
... to stochastic differential equations with Markovian ...of stochastic differential equations has always lain at the center of our understanding concerning stochastic models de- scribed ... See full document
203
On the averaging principle for stochastic delay differential equations with jumps
... Remark . When the time delay δ(t) = t, () will reduce to SDEs with jumps, which have been studied by [–]. In particularly, if p = in (), then we have the mean-square sense convergence of the ... See full document
19
An asymmetric information non zero sum differential game of mean field backward stochastic differential equation with applications
... theory. Mean-field theory was independently pro- posed by Lasry and Lions [1] and Huang et ...LQ mean-field games; Øksendal and Sulem [4] researched optimal control of predic- tive mean-field ... See full document
25
Weak order in averaging principle for stochastic differential equations with jumps
... weak deviation between original solution to slow equation and the solution of the corresponding averaged ...Poisson equation associated with the generator of frozen equation provides an ... See full document
20
A Mean Field Stochastic Maximum Principle for Optimal Control of Forward Backward Stochastic Differential Equations with Jumps via Malliavin Calculus
... the stochastic processes and also because our control must be partial information adapted, this problem is not of Markovian type and hence cannot be solved by dynamic programming even if the mean term were ... See full document
17
Strong convergence in the pth mean of an averaging principle for two time scales SPDEs with jumps
... some large moves and un- predictable events in such diverse areas as mathematics, finance, statistical physics and life sciences [–], while purely Brownian type perturbations cannot do ...that stochastic ... See full document
23
An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure
... of stochastic analysis theory, many authors began to study the aver- aging principle for stochastic differential equations ...of stochastic differential equations (SDEs) and studied the ... See full document
18
Optimal choices: mean field games with controlled jumps and optimality in a stochastic volatility model
... particular mean field game theory studies a class of differential decision problems characterised by a large (say huge, or better infinite) number of small and similar (say identical) players which ... See full document
106
A Stochastic Differential Equation Inventory Model
... It has been recognized for some time that the demand for some items may be proportional to the inventory on display. Baker and Urban [1] argued that the demand rate of an item is of a polynomial functional form, ... See full document
17
Discretizing a backward stochastic differential equation
... Zhang [12] studied a numerical scheme to solve a coupled forward-backward sto- chastic differential equations, which converge strongly to the real solution. His ap- proach is still quite different than ours. The main ... See full document
14
Successive approximation of solutions to doubly perturbed stochastic differential equations with jumps
... Abstract. In this paper, we study the existence and uniqueness of solutions to doubly perturbed stochastic differential equations with jumps under the local Lipschitz condi- tions, and give the p-th ... See full document
19
Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
... and Li (1994) and Barles et al. (1997) and for BSDEs driven by random mea- sures by Becherer (2006). Moreover, path-dependent BSDEs with jumps, where the generator and the terminal condition both depend on a path ... See full document
37
Semi-discrete semi-linear parabolic spdes
... The terms T 1 (n) , . . . , T 1 (1) that appear in the ultimate line of (7.13) are indepen- dent nonnegative random variables. By the triangle inequality, if the sum of those terms is at most t , then certainly it must ... See full document
48
Exact Quasi Classical Asymptotic beyond Maslov Canonical Operator and Quantum Jumps Nature
... An axiom of quantum mechanics is that we cannot predict the result of any single measurement of an observ- able of a quantum mechanical system in a superposition of eigenstates. However we can predict the result of any ... See full document
24
\(L^{p}\) \((p\geq2)\) strong convergence in averaging principle for multivalued stochastic differential equation with non Lipschitz coefficients
... by stochastic differential equations with (fractional) Brownian motion, Lévy process, Poisson process, and so ...explore stochastic differential equations, such as invariant manifolds [1–3], averaging ... See full document
12
Uncertainty propagation and quantification in a continuous time dynamical system
... As we saw in Section 1.1.1, the scalar case of (3.22) with appropriate boundary and ini- tial conditions along with (3.23) can be used to describe the population density in a size- structured population, where the total ... See full document
45
Infinite Horizon LQ Zero Sum Stochastic Differential Games with Markovian Jumps
... the differential game the- ory for stochastic Itô systems with Markovian jumps, a necessary and sufficient condition is developed for the existence of optimal control strategies in terms of a cou- ... See full document
6
On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps
... decades, stochastic models that incorporate jumps have been proved successful at describing unexpected, abrupt changes of state and have been used with great success in a variety of application areas, ... See full document
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