Moment decay rates of solutions of stochastic differential equations

The objective of this paper is to investigate the p-ίh moment asymptotic stability decay rates for certain finite-dimensional Itό stochastic differential equations. Motivated by some practical examples, the point of our analysis is a special consideration of general decay speeds, which contain as a special case the usual exponential or polynomial type one, to meet various situations. Sufficient conditions for stochastic differential equations (with variable delays or not) are obtained to ensure their asymptotic properties. Several examples are studied to illustrate our theory.

Modelling meso-scale diffusion processes in stochastic fluid bio-membranes

The space–time dynamics of rigid inhomogeneities (inclusions) free to move in a randomly fluctuating fluid bio-membrane is derived and numerically simulated as a function of the membrane shape changes. Both vertically placed (embedded) inclusions and horizontally placed (surface) inclusions are considered. The energetics of the membrane, as a two-dimensional (2D) meso-scale continuum sheet, is described by the Canham–Helfrich Hamiltonian, with the membrane height function treated as a stochastic process. The diffusion parameter of this process acts as the link coupling the membrane shape fluctuations to the kinematics of the inclusions. The latter is described via Ito stochastic differential equation. In addition to stochastic forces, the inclusions also experience membrane-induced deterministic forces. Our aim is to simulate the diffusion-driven aggregation of inclusions and show how the external inclusions arrive at the sites of the embedded inclusions. The model has potential use in such emerging fields as designing a targeted drug delivery system.

An improved result of exponential stability of stochastic semilinear evolution equations

Sufficient conditions for the exponential stability of a class ofnonlinear, non-autonomous stochastic differential equations in infinitedimensions are studied. The analysis consists of introducing a suitableapproximating solution systems and using a limiting argument to pass onstability of strong solutions to mild ones. As a consequence, the classicalcriteriaof stability in A. Ichikawa [8] are improved and extended to cover a class ofnon-autonomous stochastic evolution equations.Two examples are investigated to illustrate our theory.

Multiscale numerical modelling of crack propagation in two-dimensional metal plate

A novel multiscale model of brittle crack propagation in an Ag plate with macroscopic dimensions has been developed. The model represents crack propagation as stochastic drift-diffusion motion of the crack tip atom through the material, and couples the dynamics across three different length scales. It integrates the nanomechanics of bond rupture at the crack tip with the displacement and stress field equations of continuum based fracture theories. The finite element method is employed to obtain the continuum based displacement and stress fields over the macroscopic plate, and these are then used to drive the crack tip forward at the atomic level using the molecular dynamics simulation method based on many-body interatomic potentials. The linkage from the nanoscopic scale back to the macroscopic scale is established via the Ito stochastic calculus, the stochastic differential equation of which advances the tip to a new position on the macroscopic scale using the crack velocity and diffusion constant obtained on the nanoscale. Well known crack characteristics, such as the roughening transitions of the crack surfaces, crack velocity oscillations, as well as the macroscopic crack trajectories, are obtained.

A multi-scale numerical modelling of crack propagation in a 2D metallic plate

A new multi-scale model of brittle fracture growth in an Ag plate with macroscopic dimensions is proposed in which the crack propagation is identified with the stochastic drift-diffusion motion of the crack-tip atom through the material. The model couples molecular dynamics simulations, based on many-body interatomic potentials, with the continuum-based theories of fracture mechanics. The Ito stochastic differential equation is used to advance the tip position on a macroscopic scale before each nano-scale simulation is performed. Well-known crack characteristics, such as the roughening transitions of the crack surfaces, as well as the macroscopic crack trajectories are obtained.

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.