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9 papers · 2 filters
Solving the hyperbolic Anderson model 1: Skorohod setting
Xia Chen, Aurélien Deya, Jian Song +1
This paper is concerned with a wave equation in dimension , with a multiplicative space-time Gaussian noise which is fractional in time and homogeneous in space. W…
Ergodic Numerical Approximation to Periodic Measures of Stochastic Differential Equations
Chunrong Feng, Yu Liu, Huaizhong Zhao
In this paper, we consider numerical approximation to periodic measure of a time periodic stochastic differential equations (SDEs) under weakly dissipative condition. For this we f…
A note on the convergence rate of Peng's law of large numbers under sublinear expectations
Mingshang Hu, Xiaojuan Li, Xinpeng Li
This short note provides a new and simple proof of the convergence rate for Peng's law of large numbers under sublinear expectations, which improves the corresponding results in So…
On the rate of convergence for an -stable central limit theorem under sublinear expectation
Mingshang Hu, Lianzi Jiang, Gechun Liang
In this paper, we propose a monotone approximation scheme for a class of fully nonlinear degenerate partial integro-differential equations (PIDEs) which characterize the nonlinear…
Stochastic maximum principle for systems driven by local martingales with spatial parameters
Jian Song, Meng Wang
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming…
Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales
Tianyang Nie, Marek Rutkowski
We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encomp…