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Pathwise Random Periodic Solutions of Stochastic Differential Equations
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Pathwise Random Periodic Solutions of Stochastic Differential Equations
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In this paper, we study the existence of random periodic solutions for semilinear stochastic differential equations. We identify these as the solutions of coupled forward-backward infinite horizon stochastic integral equations in general cases. We then use the argument of the relative compactness of Wiener-Sobolev spaces in $C^0([0, T], L^2(\Omega))$ and generalized Schauder's fixed point theorem to prove the existence of a solution of the coupled stochastic forward-backward infinite horizon integral equations. The condition on $F$ is then further weakened by applying the coupling method of forward and backward Gronwall inequalities. The results are also valid for stationary solutions as a special case when the period $\tau$ can be an arbitrary number.\
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