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Register a new userSecond order elliptic partial differential equations driven by Levy white noise
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This paper deals with linear stochastic partial differential equations with variable coefficients driven by L{e}vy white noise. We first derive an existence theorem for integral transforms of L{e}vy white noise and prove the existence of generalized and mild solutions of second order elliptic partial differential equations. Furthermore, we discuss the generalized electric Schrodinger operator for different potential functions $V$.
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In this paper, we study almost periodic solutions for semilinear stochastic differential equations driven by L{e}vy noise with exponential dichotomy property. Under suitable conditions on the coefficients, we obtain the existence and uniqueness of bounded solutions. Furthermore, this unique bounded solution is almost periodic in distribution under slightly stronger conditions. We also give two examples to illustrate our results.
We construct an efficient integrator for stochastic differential systems driven by Levy processes. An efficient integrator is a strong approximation that is more accurate than the corresponding stochastic Taylor approximation, to all orders and independent of the governing vector fields. This holds provided the driving processes possess moments of all orders and the vector fields are sufficiently smooth. Moreover the efficient integrator in question is optimal within a broad class of perturbations for half-integer global root mean-square orders of convergence. We obtain these results using the quasi-shuffle algebra of multiple iterated integrals of independent Levy processes.
We show how the tangent bundle decomposition generated by a system of ordinary differential equations may be generalized to the case of a system of second order PDEs `of connection type. Whereas for ODEs the decomposition is intrinsic, for PDEs it is necessary to specify a closed 1-form on the manifold of independent variables, together with a transverse local vector field. The resulting decomposition provides several natural curvature operators. The harmonic map equation is examined, and in this case both the 1-form and the vector field arise naturally.
Numerical approximation of a stochastic partial integro-differential equation driven by a space- time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and convolution quadrature for time discretization. Sharp-order convergence of the numerical solutions is proved up to a logarithmic factor. Numerical examples are provided to support the theoretical analysis.
We consider a general class of high order weak approximation schemes for stochastic differential equations driven by Levy processes with infinite activity. These schemes combine a compound Poisson approximation for the jump part of the Levy process with a high order scheme for the Brownian driven component, applied between the jump times. The overall approximation is analyzed using a stochastic splitting argument. The resulting error bound involves separate contributions of the compound Poisson approximation and of the discretization scheme for the Brownian part, and allows, on one hand, to balance the two contributions in order to minimize the computational time, and on the other hand, to study the optimal design of the approximating compound Poisson process. For driving processes whose Levy measure explodes near zero in a regularly varying way, this procedure allows to construct discretization schemes with arbitrary order of convergence.
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