• Journal of applied mathematics & informatics
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• v.24 no.1_2
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• pp.427-435
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• 2007

The existence theorem and continuous dependence property in $"L^2"$ sense for solutions of backward stochastic differential equation (shortly BSDE) with Lipschitz coefficients were respectively established by Pardoux-Peng and Peng in [1,2], Mao and Cao generalized the Pardoux-Peng's existence and uniqueness theorem to BSDE with non-Lipschitz coefficients in [3,4]. The present paper generalizes the Peng's continuous dependence property in $"L^2"$ sense to BSDE with Mao and Cao's conditions. Furthermore, this paper investigates the continuous dependence property in "almost surely" sense for BSDE with Mao and Cao's conditions, based on the comparison with the classical mathematical expectation.

• Bulletin of the Korean Mathematical Society
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• v.56 no.5
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• pp.1129-1141
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• 2019

We propose a stochastic delay financial model which describes influences driven by historical events. The underlying is modeled by stochastic delay differential equation (SDDE), and the delay effect is modeled by a stopping time in coefficient functions. While this model makes good economical sense, it is difficult to mathematically deal with this. Therefore, we circumvent this model with similar delay effects but mathematically more tractable, which is by the backward time integration. We derive the option pricing equation and provide the option price and the perfect hedging portfolio.

• Smart Structures and Systems
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• v.23 no.6
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• pp.641-651
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• 2019

The stochastic stability control of the parameter-excited vibration of an inclined stay cable with multiple modes coupling under random and periodic combined support disturbances is studied by using the direct eigenvalue analysis approach based on the response moment stability, Floquet theorem, Fourier series and matrix eigenvalue analysis. The differential equation with time-varying parameters for the transverse vibration of the inclined cable with control under random and deterministic support disturbances is derived and converted into the randomly and deterministically parameter-excited multi-degree-of-freedom vibration equations. As the stochastic stability of the parameter-excited vibration is mainly determined by the characteristics of perturbation moment, the differential equation with only deterministic parameters for the perturbation second moment is derived based on the $It{\hat{o}}$ stochastic differential rule. The stochastically and deterministically parameter-excited vibration stability is then determined by the deterministic parameter-varying response moment stability. Based on the Floquet theorem, expanding the periodic parameters of the perturbation moment equation and the periodic component of the characteristic perturbation moment expression into the Fourier series yields the eigenvalue equation which determines the perturbation moment behavior. Thus the stochastic stability of the parameter-excited cable vibration under the random and periodic combined support disturbances is determined directly by the matrix eigenvalues. The direct eigenvalue analysis approach is applicable to the stochastic stability of the control cable with multiple modes coupling under various periodic and/or random support disturbances. Numerical results illustrate that the multiple cable modes need to be considered for the stochastic stability of the parameter-excited cable vibration under the random and periodic support disturbances, and the increase of the control damping rather than control stiffness can greatly enhance the stochastic stability of the parameter-excited cable vibration including the frequency width increase of the periodic disturbance and the critical value increase of the random disturbance amplitude.

• Journal of applied mathematics & informatics
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• v.28 no.5_6
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• pp.1305-1314
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• 2010

In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations driven by a Brownian motion and the martingales of Teugels associated with an independent L$\acute{e}$vy process having a stochastic Lipschitz coefficient. We derive the existence and uniqueness of solutions for these equations via Snell envelope and the fixed point theorem.

• Smart Structures and Systems
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• v.9 no.3
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• pp.231-251
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• 2012

The stochastic optimal control for a piezoelectric spherically symmetric shell subjected to stochastic boundary perturbations is constructed, analyzed and evaluated. The stochastic optimal control problem on the boundary stress output reduction of the piezoelectric shell subjected to stochastic boundary displacement perturbations is presented. The electric potential integral as a function of displacement is obtained to convert the differential equations for the piezoelectric shell with electrical and mechanical coupling into the equation only for displacement. The displacement transformation is constructed to convert the stochastic boundary conditions into homogeneous ones, and the transformed displacement is expanded in space to convert further the partial differential equation for displacement into ordinary differential equations by using the Galerkin method. Then the stochastic optimal control problem of the piezoelectric shell in partial differential equations is transformed into that of the multi-degree-of-freedom system. The optimal control law for electric potential is determined according to the stochastic dynamical programming principle. The frequency-response function matrix, power spectral density matrix and correlation function matrix of the controlled system response are derived based on the theory of random vibration. The expressions of mean-square stress, displacement and electric potential of the controlled piezoelectric shell are finally obtained to evaluate the control effectiveness. Numerical results are given to illustrate the high relative reduction in the root-mean-square boundary stress of the piezoelectric shell subjected to stochastic boundary displacement perturbations by the optimal electric potential control.

• Journal of the Korean Society for Precision Engineering
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• v.12 no.4
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• pp.127-134
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• 1995

The dynamic characteristics of a system can be critically influenced by system uncertainty, so the dynamic system must be analyzed stochastically in consideration of system uncertainty. This study presents a generalized stochastic model of dynamic system subjected to bot external and parametric nonstationary stochastic input. And this stochastic system is analyzed by a new stochastic process closure method and moment equation method. The first moment equation is numerically evaluated by Runge-Kutta method. But the second moment equation is founded to constitute an infinite coupled set of differential equations, so this equations are numerically evaluated by cumulant neglect closure method and Runge-Kutta method. Finally the accuracy of the present method is verified by Monte Carlo simulation.

• Bulletin of the Korean Mathematical Society
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• v.52 no.2
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• pp.483-504
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• 2015

This paper is devoted to solving a multidimensional backward stochastic differential equation with a general time interval, where the generator is uniformly continuous in (y, z) non-uniformly with respect to t. By establishing some results on deterministic backward differential equations with general time intervals, and by virtue of Girsanov's theorem and convolution technique, we prove a new existence and uniqueness result for solutions of this kind of backward stochastic differential equations, which extends the results of [8] and [6] to the general time interval case.

• Journal of applied mathematics & informatics
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• v.31 no.3_4
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• pp.491-498
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• 2013

This note is concerned with the uniform $L^p$-continuity of solution for the stochastic differential equations under Lipschitz condition and linear growth condition. Furthermore, uniform $L^p$-continuity of the solution for the stochastic functional differential equation is given.

• Journal of the Korean Mathematical Society
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• v.42 no.2
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• pp.269-289
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• 2005

An infinite system of stochastic differential equations (SDE)driven by Brownian motions and compensated Poisson random measures for the locations and weights of a collection of particles is considered. This is an analogue of the work by Kurtz and Xiong where compensated Poisson random measures are replaced by white noise. The particles interact through their weighted measure V, which is shown to be a solution of a stochastic differential equation. Also a limit theorem for system of SDE is proved when the corresponding Poisson random measures in SDE converge to white noise.

• Bulletin of the Korean Mathematical Society
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• v.56 no.2
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• pp.479-489
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• 2019

In this paper, we show the existence of a weak solution for a stochastic differential equation driven by an additive fractional Brownian sheet with Hurst parameters H, H' > 1/2, and a drift coefficient satisfying the linear growth condition. The result is obtained using a suitable Girsanov theorem for the fractional Brownian sheet.