Stochastic Differential Systems Research Articles

Stochastic differential formula and solution of control problem

Exact solution of finite-dimensional linear stochastic differential system with control is derived. Its uniqueness up to stochastic modification is proved. In order to achieve this, detailed grounding of existence for stochastic integral over a process with orthogonal increments is provided. Particularly, density of step-functions set in the set of all integrable functions is proved. Integration by parts formula for stochastic integral is derived. Analogue of Fubini theorem is proved in the case, when one measure is linear and another one is a random orthogonal measure. Stochastic differential formula for finite-dimensional integral functional is established. Formulation of Ito’s stochastic differential formula and its comparison with the result is presented. The solution formula for controlled linear stochastic differential system was conditionally used in applied sciences. Its rigorous proof provides the necessary background for further research.

H∞ Filtering of Mean Field Stochastic Differential Systems

This paper addresses the H∞ filtering problem for mean field stochastic differential systems that involve both state-dependent and disturbance-dependent noise. We assume that the state as well as the measurement output is distracted by an uncertain exogenous disturbance. Firstly, a sufficient condition for the stochastic-bounded real lemma is given. Next, H∞ filtering, which is built upon a stochastic-bounded real lemma, is put forward by two linear matrix inequalities. Furthermore, the validation of the theoretical analysis is demonstrated with two examples.

On stochastic fractional differential variational inequalities general system with Lévy jumps

This paper is focused on investigating a stochastic fractional differential variational inequalities general system possessing Lévy jumps (SFDVIGS possessing Lévy jumps), which consists of two systems, i.e., a stochastic variational inequalities general system (SVIGS) and a stochastic fractional differential equations general system (SFDEGS) possessing Lévy jumps. Applying Picard successively iterative technique and the projection method, we derive the unique existence of solutions to SFDVIGS possessing Lévy jumps under certain mild assumptions.

Existence of solutions and approximate controllability of second-order stochastic differential systems with Poisson jumps and finite delay

Existence of solutions and approximate controllability of second-order stochastic differential systems with Poisson jumps and finite delay

A Variational Formula of Forward-Backward Stochastic Differential System of Mean-Field Type with Observation Noise and Some Application

A Variational Formula of Forward-Backward Stochastic Differential System of Mean-Field Type with Observation Noise and Some Application

Stability analysis of damped fractional stochastic differential systems with Poisson jumps: an successive approximation approach

This paper aims to investigate a new class of fractional stochastic differential systems under the influence of damping and Poisson jumps. First, the existence and uniqueness of mild solutions for the proposed system are investigated under the non-Lipschitz conditions. The results are formulated and proved by using the ( β , δ ) -regularised family, Grönwall's inequality, and successive approximation technique, which is different from the fixed point approach. Moreover, novel stability criteria for the considered system are obtained by utilising the corollary of the Bihari inequality. Finally, the correctness of the obtained results is verified by example.

On the approximate controllability of second-order stochastic differential systems with hemivariational inequalities with damping

In this article, we investigate the approximate controllability of damping second-order stochastic differential systems with hemivariational inequalities. First, we show the existence of a mild solution to the suggested second-order differential system with the notions of generalized Clarke's subdifferential type. Next, by adopting the fixed point technique of condensing multi-valued maps, the conditions for generalized Clarke's subdifferential and the strongly continuous cosine family is employed for the existence of a mild solution. Furthermore, the approximate controllability results for the given system are proven. In the end, an illustration is presented to highlight our primary findings.

T-controllability of higher-order fractional stochastic delay system via integral contractor

The existence, uniqueness and trajectory (T)-controllability results for mild solutions to the fractional neutral stochastic integro-delay differential system are presented in this article. To demonstrate the results, the concept of bounded integral contractors is combined with the stochastic result and sequencing technique. In contrast to previous publications, we do not need to specify the induced inverse of the controllability operator to prove the controllability results, and the relevant non-linear function does not have to meet the Lipschitz condition. Furthermore, T-controllability results for neutral integro-delay differential systems with non-local conditions have been established. Finally, an application to demonstrate the acquired results is discussed.

Controller design and energy analysis for stochastic differential systems with one-sided polynomial growth under finite-time attraction constraint

This article presents a novel controller design approach for stochastic nonlinear systems exhibiting one-sided polynomial growth. The objective is to achieve finite-time attractiveness and estimate control energy consumption. By constructing an appropriate controller and employing inequality techniques, sufficient conditions for achieving finite-time attractiveness in stochastic nonlinear systems are established. Moreover, the article introduces the concept of expected energy consumption for stochastic systems and provides upper bounds on control time and energy consumption. A comprehensive trade-off analysis between control time and energy consumption is conducted to identify the optimal control intensity. The proposed approach is validated through numerical examples, demonstrating its effectiveness in practice.

Existence results of a nonlocal impulsive fractional stochastic differential systems with Atangana–Baleanu derivative

Existence results of a nonlocal impulsive fractional stochastic differential systems with Atangana–Baleanu derivative

New Criteria on Asymptotic Stability of Stochastic Differential Systems via Impulsive Control

This brief is concerned with the stability issue for stochastic differential systems (SDSs). Some new criteria on asymptotic stability are established for SDSs with impulsive control based on Lyapunov stability theory, bounded difference sequences and martingale convergence theorems. The efficiency of the theory is demonstrated by two examples, i.e. a Chua’s circuit system and a numerical example, which show that the designed impulse controller can stabilize the SDSs.

The Dynamics of the Hubbard Model Through Stochastic Calculus and Girsanov Transformation

As a typical quantum many body problem, we consider the time evolution of density matrix elements in the Bose-Hubbard model. For an arbitrary initial state, these quantities can be obtained from an SDE or stochastic differential equation system. To this SDE system, a Girsanov transformation can be applied. This has the effect that all the information from the initial state moves into the drift part, into the mean field part, of the transformed system. In the large N limit with g=UN\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$g=UN$$\\end{document} fixed, the diffusive part of the transformed system vanishes and as a result, the exact quantum dynamics is given by an ODE system which turns out to be the time dependent discrete Gross Pitaevskii equation. For the two site Bose-Hubbard model, the GP equation reduces to the mathematical pendulum and the difference of expected number of particles at the two lattice sites is equal to the velocity of that pendulum which is either oscillatory or it can have rollovers which then corresponds to the self trapping or insulating phase. As a by-product, we also find an equivalence of the mathematical pendulum with a quartic double well potential. Collapse and revivals are a more subtle phenomenom, in order to see these the diffusive part of the SDE system or quantum corrections have to be taken into account. This can be done with an approximation and collapse and revivals can be reproduced, numerically and also through an analytic calculation. Since expectation values of Fresnel or Wiener diffusion processes, we write the density matrix elements exactly in this way, can be obtained from parabolic second order PDEs, we also obtain various exact PDE representations. The paper has been written with the goal to come up with an efficient calculation scheme for quantum many body systems and as such the formalism is generic and applies to arbitrary dimension, arbitrary hopping matrices and, with suitable adjustments, to fermionic models.

Decentralized control of forward and backward stochastic difference system with nested asymmetric information

This paper is concerned with the linear quadratic decentralized control of forward and backward stochastic difference system (FBSDS) with multiplicative noises and nested asymmetric information. The main contribution is to give the equivalent condition for the solvability of the problem and the explicit decentralized optimal controllers in terms of Riccati equations. The key technology is solving the forward and backward stochastic difference equations with partial information derived from stochastic maximum principle.

Solvability and optimal control for second-order stochastic differential systems under the influence of delay and impulses

We explore a new kind of second-order impulsive stochastic differential system with delays. By using the Hausdorff measure of noncompactness and M o ¨ nch fixed point theorem, we investigated the existence of mild solution for the considered systems. Further, we proved the existence of optimal control of the proposed system by using minimizing sequence, Lagrange functional, and Marzur lemma. An example is provided to validate the obtained results.

Discussion on optimal feedback control for stochastic fractional differential system by hemivariational inequalities

This study focuses on optimal feedback control for stochastic Caputo fractional evolution systems in separable Hilbert spaces. Initially, we deal with the existence of a mild solution, establishing it through the application of the generalised Clarke's subdifferential and a fixed point theorem for multivalued maps. Then, we utilise the Cesari property and the Filippov theorem to demonstrate the existence of feasible pairs. Additionally, we provide pairs of suitable feedback controls under specific conditions. Finally, we present a simple illustration to support our theoretical findings.

Stability analysis of stochastic differential systems with state‐dependent delay subject to average‐delay impulses

In this paper, we study the stochastic weak local exponential stability of stochastic differential systems with state‐dependent delay (SDD) subject to average‐delay impulses by using Lyapunov–Krasovskii functional and stochastic analytical skill. Unlike time‐dependent delay discussed in the previous literature, we introduce SDD in impulsive stochastic differential systems, where SDD is a stochastic variable associated with system state, consequently leading to an indeterminate delay boundary. Our findings reveal that when destabilizing delayed impulses satisfying specific conditions are generated, the stability of stochastic differential systems with destabilizing delayed impulses and stable continuous stochastic dynamics can still be maintained. Additionally, if stable delayed impulses satisfy certain conditions, stability of the systems under consideration can also be achieved, irrespective of the stable status on the continuous stochastic dynamics. Finally, two examples are given to demonstrate the validity of theoretical results.

Approximate controllability for Hilfer fractional stochastic differential systems of order 1

In this paper, we analyse the approximate controllability of Hilfer fractional stochastic differential systems of order 1 < μ < 2 in Hilbert spaces. The primary findings are carried out by using fractional calculus, stochastic analysis theory, cosine family, and Schauder's fixed point theorem. In particular, we draw a new set of sufficient conditions for the approximate controllability of Hilfer fractional stochastic differential equations of order 1 < μ < 2 under the assumption that the corresponding linear system is approximately controllable. In the end, an example is provided to illustrate the derived theory.

Existence Result for a Stochastic Functional Differential System Driven by G-Brownian Motion with Infinite Delay

Abstract In this article, we are interested in the study of a class of stochastic functional differential systems driven by G-Brownian motion with infinite delay. We prove the existence and uniqueness of the solutions when two basic conditions are met: the linear growth condition and the Lipschitz condition.

Saddle-Point Equilibrium Strategy for Linear Quadratic Uncertain Stochastic Hybrid Differential Games Based on Subadditive Measures

This paper describes a kind of linear quadratic uncertain stochastic hybrid differential game system grounded in the framework of subadditive measures, in which the system dynamics are described by a hybrid differential equation with Wiener–Liu noise and the performance index function is quadratic. Firstly, we introduce the concept of hybrid differential games and establish the Max–Min Lemma for the two-player zero-sum game scenario. Next, we discuss the analysis of saddle-point equilibrium strategies for linear quadratic hybrid differential games, addressing both finite and infinite time horizons. Through the incorporation of a generalized Riccati differential equation (GRDE) and guided by the principles of the Itô–Liu formula, we prove that that solving the GRDE is crucial and serves as both a sufficient and necessary precondition for identifying equilibrium strategies within a finite horizon. In addition, we also acquire the explicit formulations of equilibrium strategies in closed forms, alongside determining the optimal values of the cost function. Through the adoption of a generalized Riccati equation (GRE) and applying a similar approach to that used for the finite horizon case, we establish that the ability to solve the GRE constitutes a sufficient criterion for the emergence of equilibrium strategies in scenarios extending over an infinite horizon. Moreover, we explore the dynamics of a resource extraction problem within a finite horizon and separately delve into an H∞ control problem applicable to an infinite horizon. Finally, we present the conclusions.

Modeling the dengue control dynamics based on a delay stochastic differential system

Modeling the dengue control dynamics based on a delay stochastic differential system