Global LpL^{p} estimates for degenerate Ornstein-Uhlenbeck operators with variable coefficients

We consider a class of degenerate Ornstein-Uhlenbeck operators in $\mathbb{R}^{N}$, of the kind [\mathcal{A}\equiv\sum_{i,j=1}^{p_{0}}a_{ij}(x) \partial_{x_{i}x_{j}}^{2}+\sum_{i,j=1}^{N}b_{ij}x_{i}\partial_{x_{j}}%] where $(a_{ij})$ is symmetric uniformly positive definite on $\mathbb{R}^{p_{0}}$ ($p_{0}\leq N$), with uniformly continuous and bounded entries, and $(b_{ij})$ is a constant matrix such that the frozen operator $\mathcal{A}_{x_{0}}$ corresponding to $a_{ij}(x_{0})$ is hypoelliptic. For this class of operators we prove global $L^{p}$ estimates ($1<p<\infty$) of the kind:% [|\partial_{x_{i}x_{j}}^{2}u|_{L^{p}(\mathbb{R}% ^{N})}\leq c{|\mathcal{A}u|_{L^{p}(\mathbb{R}^{N})}+|u|_{L^{p}(\mathbb{R}% ^{N})}} for i,j=1,2,...,p_{0}.] We obtain the previous estimates as a byproduct of the following one, which is of interest in its own:% [|\partial_{x_{i}x_{j}}^{2}u|_{L^{p}(S_{T})}\leq c{|Lu|_{L^{p}(S_{T})}+|u|_{L^{p}(S_{T})}}] for any $u\in C_{0}^{\infty}(S_{T}),$ where $S_{T}$ is the strip $\mathbb{R}^{N}\times[-T,T]$, $T$ small, and $L$ is the Kolmogorov-Fokker-Planck operator% [L\equiv\sum_{i,j=1}^{p_{0}}a_{ij}(x,t) \partial_{x_{i}x_{j}}% ^{2}+\sum_{i,j=1}^{N}b_{ij}x_{i}\partial_{x_{j}}-\partial_{t}%] with uniformly continuous and bounded $a_{ij}$'s

A Milstein scheme for SPDEs

This article studies an infinite dimensional analog of Milstein's scheme for finite dimensional stochastic ordinary differential equations (SODEs). The Milstein scheme is known to be impressively efficient for SODEs which fulfill a certain commutativity type condition. This article introduces the infinite dimensional analog of this commutativity type condition and observes that a certain class of semilinear stochastic partial differential equation (SPDEs) with multiplicative trace class noise naturally fulfills the resulting infinite dimensional commutativity condition. In particular, a suitable infinite dimensional analog of Milstein's algorithm can be simulated efficiently for such SPDEs and requires less computational operations and random variables than previously considered algorithms for simulating such SPDEs. The analysis is supported by numerical results for a stochastic heat equation and stochastic reaction diffusion equations showing signifficant computational savings.Comment: The article is slightly revised and shortened. In particular, some numerical simulations are remove

Harnack Inequality and Strong Feller Property for Stochastic Fast-Diffusion Equations

This paper presents analogous results for stochastic fast-diffusion equations. Since the fast-diffusion equation possesses weaker dissipativity than the porous medium one does, some technical difficulties appear in the study. As a compensation to the weaker dissipativity condition, a Sobolev-Nash inequality is assumed for the underlying self-adjoint operator in applications. Some concrete examples are constructed to illustrate the main results.Comment: to appear in Journal of Mathematical Analysis and Application

SPDE in Hilbert Space with Locally Monotone Coefficients

In this paper we prove the existence and uniqueness of strong solutions for SPDE in Hilbert space with locally monotone coefficients, which is a generalization of the classical result of Krylov and Rozovskii for monotone coefficients. Our main result can be applied to different types of SPDEs such as stochastic reaction-diffusion equations, stochastic Burgers type equation, stochastic 2-D Navier-Stokes equation, stochastic $p$-Laplace equation and stochastic porous media equation with some non-monotone perturbations.Comment: 20 pages, add Remark 3.1 for stochastic Burgers equatio

The Stochastic Reach-Avoid Problem and Set Characterization for Diffusions

In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting or address almost-sure stochastic requirements. In contrast, we propose a methodology to tackle problems with less stringent requirements than almost sure. To this end, we first establish a connection between two distinct stochastic reach-avoid problems and three classes of stochastic optimal control problems involving discontinuous payoff functions. Subsequently, we focus on solutions of one of the classes of stochastic optimal control problems---the exit-time problem, which solves both the two reach-avoid problems mentioned above. We then derive a weak version of a dynamic programming principle (DPP) for the corresponding value function; in this direction our contribution compared to the existing literature is to develop techniques that admit discontinuous payoff functions. Moreover, based on our DPP, we provide an alternative characterization of the value function as a solution of a partial differential equation in the sense of discontinuous viscosity solutions, along with boundary conditions both in Dirichlet and viscosity senses. Theoretical justifications are also discussed to pave the way for deployment of off-the-shelf PDE solvers for numerical computations. Finally, we validate the performance of the proposed framework on the stochastic Zermelo navigation problem

Large deviation principles for the stochastic quasi-geostrophic equation

In this paper we establish the large deviation principle for the stochastic quasi-geostrophic equation in the subcritical case with small multiplicative noise. The proof is mainly based on the stochastic control and weak convergence approach. Some analogous results are also obtained for the small time asymptotics of the stochastic quasi-geostrophic equation.Comment: 29 pages; correct some misprints and small gap

On the solvability of degenerate stochastic partial differential equations in Sobolev spaces

Systems of parabolic, possibly degenerate parabolic SPDEs are considered. Existence and uniqueness are established in Sobolev spaces. Similar results are obtained for a class of equations generalizing the deterministic first order symmetric hyperbolic systems.Comment: 26 page

An Optimal Execution Problem with Market Impact

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales, otherwise the value function is continuous. Moreover, we show the semi-group property (Bellman principle) and characterise the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We introduce some examples where the forms of the optimal strategies change completely, depending on the amount of the trader's security holdings and where optimal strategies in the Black-Scholes type market with nonlinear market impact are not block liquidation but gradual liquidation, even when the trader is risk-neutral.Comment: 36 pages, 8 figures, a modified version of the article "An optimal execution problem with market impact" in Finance and Stochastics (2014

Random attractors for a class of stochastic partial differential equations driven by general additive noise

The existence of random attractors for a large class of stochastic partial differential equations (SPDE) driven by general additive noise is established. The main results are applied to various types of SPDE, as e.g. stochastic reaction-diffusion equations, the stochastic $p$-Laplace equation and stochastic porous media equations. Besides classical Brownian motion, we also include space-time fractional Brownian Motion and space-time L\'evy noise as admissible random perturbations. Moreover, cases where the attractor consists of a single point are considered and bounds for the speed of attraction are obtained.Comment: 30 page

Multi-valued, singular stochastic evolution inclusions

We provide an abstract variational existence and uniqueness result for multi-valued, monotone, non-coercive stochastic evolution inclusions in Hilbert spaces with general additive and Wiener multiplicative noise. As examples we discuss certain singular diffusion equations such as the stochastic 1-Laplacian evolution (total variation flow) in all space dimensions and the stochastic singular fast diffusion equation. In case of additive Wiener noise we prove the existence of a unique weak-* mean ergodic invariant measure.Comment: 39 pages, in press: J. Math. Pures Appl. (2013