This paper explores the diffeomorphism of a backward stochastic ordinary differential equation (BSDE) to a system of semi-linear backward stochastic partial differential equations (BSPDEs), under the inverse of a stoc...This paper explores the diffeomorphism of a backward stochastic ordinary differential equation (BSDE) to a system of semi-linear backward stochastic partial differential equations (BSPDEs), under the inverse of a stochastic flow generated by an ordinary stochastic differential equation (SDE). The author develops a new approach to BSPDEs and also provides some new results. The adapted solution of BSPDEs in terms of those of SDEs and BSDEs is constructed. This brings a new insight on BSPDEs, and leads to a probabilistic approach. As a consequence, the existence, uniqueness, and regularity results are obtained for the (classical, Sobolev, and distributional) solution of BSPDEs.The dimension of the space variable x is allowed to be arbitrary n, and BSPDEs are allowed to be nonlinear in both unknown variables, which implies that the BSPDEs may be nonlinear in the gradient. Due to the limitation of space, however, this paper concerns only classical solution of BSPDEs under some more restricted assumptions.展开更多
This paper provides a mathematically rigorous foundation for self-consistent mean field theory of the polymeric physics. We study a new model for dynamics of mono-polymer systems. Every polymer is regarded as a string...This paper provides a mathematically rigorous foundation for self-consistent mean field theory of the polymeric physics. We study a new model for dynamics of mono-polymer systems. Every polymer is regarded as a string of points which are moving randomly as Brownian motions and under elastic forces. Every two points on the same string or on two different strings also interact under a pairwise potential V. The dynamics of the system is described by a system of N coupled stochastic partial differential equations （SPDEs）. We show that the mean field limit as N -＋ c~ of the system is a self-consistent McKean-Vlasov type equation, under suitable assumptions on the initial and boundary conditions and regularity of V. We also prove that both the SPDE system of the polymers and the mean field limit equation are well-posed.展开更多
基金Project supported by the National Natural Science Foundation of China (No.10325101, No.101310310)the Science Foundation of the Ministry of Education of China (No. 20030246004).
文摘This paper explores the diffeomorphism of a backward stochastic ordinary differential equation (BSDE) to a system of semi-linear backward stochastic partial differential equations (BSPDEs), under the inverse of a stochastic flow generated by an ordinary stochastic differential equation (SDE). The author develops a new approach to BSPDEs and also provides some new results. The adapted solution of BSPDEs in terms of those of SDEs and BSDEs is constructed. This brings a new insight on BSPDEs, and leads to a probabilistic approach. As a consequence, the existence, uniqueness, and regularity results are obtained for the (classical, Sobolev, and distributional) solution of BSPDEs.The dimension of the space variable x is allowed to be arbitrary n, and BSPDEs are allowed to be nonlinear in both unknown variables, which implies that the BSPDEs may be nonlinear in the gradient. Due to the limitation of space, however, this paper concerns only classical solution of BSPDEs under some more restricted assumptions.
基金supported by National Natural Science Foundation of China(Grant No.91130005)the US Army Research Office(Grant No.W911NF-11-1-0101)
文摘This paper provides a mathematically rigorous foundation for self-consistent mean field theory of the polymeric physics. We study a new model for dynamics of mono-polymer systems. Every polymer is regarded as a string of points which are moving randomly as Brownian motions and under elastic forces. Every two points on the same string or on two different strings also interact under a pairwise potential V. The dynamics of the system is described by a system of N coupled stochastic partial differential equations （SPDEs）. We show that the mean field limit as N -＋ c~ of the system is a self-consistent McKean-Vlasov type equation, under suitable assumptions on the initial and boundary conditions and regularity of V. We also prove that both the SPDE system of the polymers and the mean field limit equation are well-posed.
