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Physical Sciences and Mathematics Commons

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Wayne State University

Numerical Analysis and Computation

Stochastic differential equations

Publication Year

Articles 1 - 2 of 2

Full-Text Articles in Physical Sciences and Mathematics

Almost Sure Asymptotic Stabilization Of Differential Equations With Time-Varying Delay By Lévy Noise, Dezhi Liu, Weiqun Wang, Jose Luis Menaldi Jan 2015

Almost Sure Asymptotic Stabilization Of Differential Equations With Time-Varying Delay By Lévy Noise, Dezhi Liu, Weiqun Wang, Jose Luis Menaldi

Mathematics Faculty Research Publications

This paper aims to determine that the Lévy noise can stabilize the given differential equations with time-varying delay, which has generalized the Brownian motion case. An analysis is developed and sufficient conditions on the stabilization for stochastic differential equations with time-varying delay are presented. Our stabilization criteria is in terms of linear matrix inequalities (LMIs), whence the feedback controls can be designed more easily in practice.


Some Results Of Backward Itô Formula, Guiseppe Da Prato, Jose-Luis Menaldi, Luciano Tubaro May 2007

Some Results Of Backward Itô Formula, Guiseppe Da Prato, Jose-Luis Menaldi, Luciano Tubaro

Mathematics Faculty Research Publications

We use the notion of backward integration, with respect to a general Lévy process, to treat, in a simpler and unifying way, various classical topics as: Girsanov theorem, rst order partial differential equations, the Liouville (or Lyapunov) equations and the stochastic characteristic method.