Random Motion of Strings and Related Stochastic Evolution Equations with Monotone Nonlinearities

Authors: Shiva Zamani ^a; Bijan Z. Zangeneh ^b

Affiliations:	^a Graduate School of Management and Economics, Sharif University of Technology, Tehran, Iran
	^b Department of Mathematical Sciences, Sharif University of Technology, Tehran, Iran

DOI: 10.1080/SAP-200044453

Publication Frequency: 6 issues per year

Published in: journal

Stochastic Analysis and Applications, Volume 23, Issue 5 September 2005 , pages 903 - 920

Subjects: Statistics & Probability; Stochastic Models & Processes;

Formats available: HTML (English) : PDF (English)

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Abstract

A limiting problem for a stochastic evolution equation is studied in the paper. In the equation, the linear operator is non-positive with a pure point spectrum, the non-linearity is monotone, and the Brownian motion is cylindrical. It is shown that, in the limit, the mild solution to the evolution equation tends to the solution of an ordinary Ito equation.

Keywords: Limiting problem; Monotone nonlinearity; Stochastic evolution equation

Mathematics Subject Classification: 60H15; 65C30

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Random Motion of Strings and Related Stochastic Evolution Equations with Monotone Nonlinearities

Abstract