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Your search keyword '"60H15, 93E20, 35R60"' showing total 3 results
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3 results on '"60H15, 93E20, 35R60"'

1. Wong-Zakai Approximations of Backward Doubly Stochastic Doubly Backward Differential Equations

Author

Hu, Ying, Matoussi, Anis, Zhang, Tusheng, Institut de Recherche Mathématique de Rennes (IRMAR), AGROCAMPUS OUEST, Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement (Institut Agro)-Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement (Institut Agro)-Université de Rennes 1 (UR1), Université de Rennes (UNIV-RENNES)-Université de Rennes (UNIV-RENNES)-Université de Rennes 2 (UR2), Université de Rennes (UNIV-RENNES)-École normale supérieure - Rennes (ENS Rennes)-Centre National de la Recherche Scientifique (CNRS)-Institut National des Sciences Appliquées - Rennes (INSA Rennes), Institut National des Sciences Appliquées (INSA)-Université de Rennes (UNIV-RENNES)-Institut National des Sciences Appliquées (INSA), Laboratoire Manceau de Mathématiques (LMM), Le Mans Université (UM), Department of Mathematics [Manchester] (School of Mathematics), University of Manchester [Manchester], Institut de Recherche Mathématique de Rennes ( IRMAR ), Université de Rennes 1 ( UR1 ), Université de Rennes ( UNIV-RENNES ) -Université de Rennes ( UNIV-RENNES ) -AGROCAMPUS OUEST-École normale supérieure - Rennes ( ENS Rennes ) -Institut National de Recherche en Informatique et en Automatique ( Inria ) -Institut National des Sciences Appliquées ( INSA ) -Université de Rennes 2 ( UR2 ), Université de Rennes ( UNIV-RENNES ) -Centre National de la Recherche Scientifique ( CNRS ), Laboratoire Manceau de Mathématiques ( LMM ), Le Mans Université ( UM ), Department of Mathematics [Manchester] ( School of Mathematics ), Université de Rennes (UR)-Institut National des Sciences Appliquées - Rennes (INSA Rennes), Institut National des Sciences Appliquées (INSA)-Institut National des Sciences Appliquées (INSA)-École normale supérieure - Rennes (ENS Rennes)-Université de Rennes 2 (UR2)-Centre National de la Recherche Scientifique (CNRS)-INSTITUT AGRO Agrocampus Ouest, and Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement (Institut Agro)-Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement (Institut Agro)

Subjects
Statistics::Theory, Backward integrals, Mathematics::Complex Variables, Probability (math.PR), Backward stochastic differential equations, Primary 60H15 Secondary 93E20, 35R60, Wong–Zakai approximations, Statistics::Computation, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], Mathematics::Probability, FOS: Mathematics, 60H15, 93E20, 35R60, [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR], Mathematics - Probability
Abstract

International audience; In this paper we obtain a Wong-Zakai approximation to solutions of backward doubly stochastic differential equations.

Published
2015
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2. A comparison theorem for backward SPDEs with jumps

Author

��ksendal, Bernt, Sulem, Agn��s, and Zhang, Tusheng

Subjects
Probability (math.PR), FOS: Mathematics, 60H15, 93E20, 35R60, Mathematics - Probability
Abstract

In this paper we obtain a comparison theorem for backward stochastic partial differential equation (SPDEs) with jumps. We apply it to introduce space-dependent convex risk measures as a model for risk in large systems of interacting components.

Published
2014

3. Approximations of Stochastic Partial Differential Equations

Author

Giulia Di Nunno and Tusheng Zhang

Subjects
Statistics and Probability, approximations, Stochastic calculus, Malliavin calculus, 01 natural sciences, tightness, 010104 statistics & probability, Stochastic differential equation, Multigrid method, jump noise, Simultaneous equations, 35R60, FOS: Mathematics, 0101 mathematics, Mathematics, Geometric Brownian motion, 010102 general mathematics, Mathematical analysis, Probability (math.PR), Stochastic partial differential equations, 93E20, Stochastic partial differential equation, stochastic Burgers equations, 60H15, 60H15, 93E20, 35R60, weak convergence, Statistics, Probability and Uncertainty, Mathematics - Probability, Numerical partial differential equations
Abstract

In this paper we show that solutions of stochastic partial differ- ential equations driven by Brownian motion can be approximated by stochastic partial differential equations forced by pure jump noise/random kicks. Applications to stochastic Burgers equations are discussed.

Published
2014
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