38,741 research outputs found

    Delay differential equations driven by Levy processes: stationarity and Feller properties

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    We consider a stochastic delay differential equation driven by a general Levy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment process is eventually Feller, but in general not eventually strong Feller on the Skorokhod space. The existence of an invariant measure is shown by proving tightness of the segments using semimartingale characteristics and the Krylov-Bogoliubov method. A counterexample shows that the stationary solution in completely general situations may not be unique, but in more specific cases uniqueness is established.Comment: 28 page

    Time-Fractional KdV Equation: Formulation and Solution using Variational Methods

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    In this work, the semi-inverse method has been used to derive the Lagrangian of the Korteweg-de Vries (KdV) equation. Then, the time operator of the Lagrangian of the KdV equation has been transformed into fractional domain in terms of the left-Riemann-Liouville fractional differential operator. The variational of the functional of this Lagrangian leads neatly to Euler-Lagrange equation. Via Agrawal's method, one can easily derive the time-fractional KdV equation from this Euler-Lagrange equation. Remarkably, the time-fractional term in the resulting KdV equation is obtained in Riesz fractional derivative in a direct manner. As a second step, the derived time-fractional KdV equation is solved using He's variational-iteration method. The calculations are carried out using initial condition depends on the nonlinear and dispersion coefficients of the KdV equation. We remark that more pronounced effects and deeper insight into the formation and properties of the resulting solitary wave by additionally considering the fractional order derivative beside the nonlinearity and dispersion terms.Comment: The paper has been rewritten, 12 pages, 3 figure

    Time-Fractional KdV Equation for the plasma in auroral zone using Variational Methods

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    The reductive perturbation method has been employed to derive the Korteweg-de Vries (KdV) equation for small but finite amplitude electrostatic waves. The Lagrangian of the time fractional KdV equation is used in similar form to the Lagrangian of the regular KdV equation. The variation of the functional of this Lagrangian leads to the Euler-Lagrange equation that leads to the time fractional KdV equation. The Riemann-Liouvulle definition of the fractional derivative is used to describe the time fractional operator in the fractional KdV equation. The variational-iteration method given by He is used to solve the derived time fractional KdV equation. The calculations of the solution with initial condition A0*sech(cx)^2 are carried out. Numerical studies have been made using plasma parameters close to those values corresponding to the dayside auroral zone. The effects of the time fractional parameter on the electrostatic solitary structures are presented.Comment: 1 tex file + 5 eps figure

    A regularization approach to functional It\^o calculus and strong-viscosity solutions to path-dependent PDEs

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    First, we revisit functional It\^o/path-dependent calculus started by B. Dupire, R. Cont and D.-A. Fourni\'e, using the formulation of calculus via regularization. Relations with the corresponding Banach space valued calculus introduced by C. Di Girolami and the second named author are explored. The second part of the paper is devoted to the study of the Kolmogorov type equation associated with the so called window Brownian motion, called path-dependent heat equation, for which well-posedness at the level of classical solutions is established. Then, a notion of strong approximating solution, called strong-viscosity solution, is introduced which is supposed to be a substitution tool to the viscosity solution. For that kind of solution, we also prove existence and uniqueness. The notion of strong-viscosity solution motivates the last part of the paper which is devoted to explore this new concept of solution for general semilinear PDEs in the finite dimensional case. We prove an equivalence result between the classical viscosity solution and the new one. The definition of strong-viscosity solution for semilinear PDEs is inspired by the notion of "good" solution, and it is based again on an approximating procedure

    Operator splitting for dissipative delay equations

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    We investigate Lie-Trotter product formulae for abstract nonlinear evolution equations with delay. Using results from the theory of nonlinear contraction semigroups in Hilbert spaces, we explain the convergence of the splitting procedure. The order of convergence is also investigated in detail, and some numerical illustrations are presented.Comment: to appear in Semigroup Foru

    A new approach to the vakonomic mechanics

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    The aim of this paper is to show that the Lagrange-d'Alembert and its equivalent the Gauss and Appel principle are not the only way to deduce the equations of motion of the nonholonomic systems. Instead of them, here we consider the generalization of the Hamiltonian principle for nonholonomic systems with nonzero transpositional relations. By applying this variational principle which takes into the account transpositional relations different from the classical ones we deduce the equations of motion for the nonholonomic systems with constraints that in general are nonlinear in the velocity. These equations of motion coincide, except perhaps in a zero Lebesgue measure set, with the classical differential equations deduced with d'Alembert-Lagrange principle. We provide a new point of view on the transpositional relations for the constrained mechanical systems: the virtual variations can produce zero or non-zero transpositional relations. In particular the independent virtual variations can produce non-zero transpositional relations. For the unconstrained mechanical systems the virtual variations always produce zero transpositional relations. We conjecture that the existence of the nonlinear constraints in the velocity must be sought outside of the Newtonian model. All our results are illustrated with precise examples

    Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations

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    The paper reminds the basic ideas of stochastic calculus via regularizations in Banach spaces and its applications to the study of strict solutions of Kolmogorov path dependent equations associated with "windows" of diffusion processes. One makes the link between the Banach space approach and the so called functional stochastic calculus. When no strict solutions are available one describes the notion of strong-viscosity solution which alternative (in infinite dimension) to the classical notion of viscosity solution.Comment: arXiv admin note: text overlap with arXiv:1401.503
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