Stochastic differential equations
A note on “Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions”
Comptes Rendus. Mathématique, Volume 359 (2021) no. 1, pp. 99-104.

The eigenvalue problem of stochastic Hamiltonian systems with boundary conditions was studied by Peng [4] in 2000. For the one-dimensional case, denoting by ${\left\{{\lambda }_{n}\right\}}_{n=1}^{\infty }$ all the eigenvalues of such an eigenvalue problem, Peng proved that ${\lambda }_{n}\to +\infty$ as $n\to \infty$. In this short note, we prove that the growth order of ${\lambda }_{n}$ is the same as ${n}^{2}$. Apart from the interest of this result in itself, the statistic periodicity of solutions of FBSDEs can be estimated directly by corresponding coefficients and time duration.

Revised:
Accepted:
Published online:
DOI: 10.5802/crmath.103
Classification: 34L15,  60H10
Guangdong Jing 1; Penghui Wang 2

1 School of Mathematics, Shandong University Jinan, Shandong 250100, The People’s Republic of China
2 School of Mathematics, Shandong University Jinan, Shandong 250100, The People’s Republic of China.
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Guangdong Jing; Penghui Wang. A note on “Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions”. Comptes Rendus. Mathématique, Volume 359 (2021) no. 1, pp. 99-104. doi : 10.5802/crmath.103. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.103/

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[2] Jin Ma; Philip Protter; Jiongmin Yong Solving forward-backward stochastic differential equations explicitly — a four step scheme, Probab. Theory Relat. Fields, Volume 98 (1994) no. 3, pp. 339-359 | MR: 1262970 | Zbl: 0794.60056

[3] Jin Ma; Zhen Wu; Detao Zhang; Jianfeng Zhang On well-posedness of forward-backward SDEs — a unified approach, Ann. Appl. Probab., Volume 25 (2015) no. 4, pp. 2168-2214 | MR: 3349005 | Zbl: 1319.60132

[4] Shige Peng Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions, Stoch. Proc. Appl., Volume 88 (2000) no. 2, pp. 259-290 | Article | MR: 1767848 | Zbl: 1045.60061

[5] Shige Peng; Zhen Wu Fully coupled forward-backward stochastic differential equations and applications to optimal control, SIAM J. Control Optimization, Volume 37 (1999) no. 3, pp. 825-843 | Article | MR: 1675098 | Zbl: 0931.60048

[6] Haiyang Wang; Zhen Wu Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions, Bound. Value Probl., Volume 2017 (2017), 164 | MR: 3722278 | Zbl: 1382.34026

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