Degenerate stochastic differential equations for catalytic branching networks

Degenerate Stochastic Differential Equations, Flows and Hypoellipticity

Stochastic Partial Differential Equations with Unbounded and Degenerate Coefficients

Abstract. In this article, using DiPerna-Lions theory [1], we investigate linear second order stochastic partial differential equations with unbounded and degenerate non-smooth coefficients, and obtain several conditions for existence and uniqueness. Moreover, we also prove the L1integrability and a general maximal principle for generalized solutions of SPDEs. As applications, we study nonlinea...

Computational Method for Fractional-Order Stochastic Delay Differential Equations

Dynamic systems in many branches of science and industry are often perturbed by various types of environmental noise. Analysis of this class of models are very popular among researchers. In this paper, we present a method for approximating solution of fractional-order stochastic delay differential equations driven by Brownian motion. The fractional derivatives are considered in the Caputo sense...

Degenerate Parabolic Stochastic Partial Differential Equations: Quasilinear case

In this paper, we study the Cauchy problem for a quasilinear degenerate parabolic stochastic partial differential equation driven by a cylindrical Wiener process. In particular, we adapt the notion of kinetic formulation and kinetic solution and develop a well-posedness theory that includes also an L1-contraction property. In comparison to the previous works of the authors concerning stochastic...

strong approximation for itô stochastic differential equations

in this paper, a class of semi-implicit two-stage stochastic runge-kutta methods (srks) of strong global order one, with minimum principal error constants are given. these methods are applied to solve itô stochastic differential equations (sdes) with a wiener process. the efficiency of this method with respect to explicit two-stage itô runge-kutta methods (irks), it method, milstien method, sem...