Applicable Analysis

Vol. 86, No. 7, July 2007, 819–827

Existence of almost periodic solutions to

some stochastic differential equations
PAUL H. BEZANDRY and TOKA DIAGANA*
Department of Mathematics, Howard University, Washington, DC 20059, USA

Communicated by R. P. Gilbert

(Received 4 February 2007; revised 19 March 2007; in final form 20 March 2007)

The article introduces and studies the concept of p-mean almost periodicity for stochastic
processes. Our abstract results are, subsequently, applied to studying the existence of square-
mean almost periodic solutions to some semilinear stochastic equations.

Keywords: Stochastic processes; p-Mean almost periodicity; Stochastic differential equations;

Stochastically bounded; Square mean almost periodic

2000 Mathematics Subject Classifications: 34K14; 60H10; 35B15; 34F05

1. Introduction

The concept of almost periodicity is important in probability for investigating

stochastic processes [1–5,8,9]. Such a notion is also of interest for applications arising
in mathematical physics and statistics. The concept of almost periodicity for
stochastic processes, which is the central question in this article was first introduced
in the literature at the end of thirties by Slutsky [7], who then obtained reasonable
sufficient conditions for sample paths of a stationary process to be almost periodic
in the sense of Besicovitch, that is, B2-almost periodic. A few decades later, two
other investigations on the almost periodicity of sample paths followed the pioneer
work of Slutsky. Indeed, Udagawa [10] studied sufficient conditions for sample paths
to be almost periodic in the sense of Stepanov, and Kawata [5] studied the uniform
almost periodicity of samples paths. A decade ago, Swift [8] extended Kawata’s results
within the framework of harmonizable stochastic processes. More precisely, Swift made
extensive use of the concept of uniform almost periodicity similar to the one studied by

*Corresponding author. Email: tdiagana@howard.edu

Applicable Analysis ISSN 0003-6811 print/ISSN 1563-504X online ß 2007 Taylor & Francis
http://www.tandf.co.uk/journals
DOI: 10.1080/00036810701397788
820 P. H. Bezandry and T. Diagana

Kawata, to obtain some sufficient conditions for harmonizable stochastic processes to

be almost periodic.
Let p
1 and let ð
, F , PÞ be a probability space. In this article, we introduce and
develop the notion of p-mean almost periodicity, which generalizes in a natural fashion
the concept of quadratic mean uniformly almost periodic utilized by Swift. Among
others, it will be shown that each p-mean almost periodic process is uniformly contin-
uous and stochastically bounded [6]. Furthermore, the collection of all p-mean almost
periodic processes is a Banach space when it is equipped with some norm obtained
through the norm of Lp ðP, BÞ where ðB, k  kÞ is a Banach space. In addition to that,
we also establish a composition result for p-mean almost periodic processes
(Theorem 2.7). The previous basic results, especially Theorem 2.7, are, subsequently,
applied to studying the existence and uniqueness of a square-mean almost periodic
solution to semilinear stochastic equations on L2 ðP, HÞ where H is a real separable
Hilbert space (Theorem 3.2). One should point that several contributions upon the
study of almost periodic solutions to stochastic differential equations can be found in
the literature, see, e.g.,[1,3,9]. Here, we essentially make use of the Banach fixed-
point principle to obtain the existence and uniqueness of a square-mean almost periodic
solution to (3.1).
The article is organized as follows: in section 2, we establish basic results for the
notion of p-mean almost periodicity. In particular, we show that a composition result
can be obtained using similar techniques as in the classical setting. In section 3, we
give some sufficient conditions for the existence and uniqueness of a square-mean
almost periodic solution to the class of stochastic differential equations (3.1).

2. p-Mean almost periodic processes

Let ðB, k  kÞ be a Banach space and let ð
, F , PÞ be a probability space. Define Lp ðP; BÞ
for p
1 to be the space of all B-valued random variables V such that

Z
EkVkp ¼ kVkp dP < 1: ð2:1Þ

It is then routine to check that Lp ðP; BÞ is a Banach space when it is equipped with its
natural norm k  kp defined by:

Z 1=p
kVkp :¼ kVkp dP

for each V 2 Lp ðP, BÞ.

This setting requires the following preliminary definitions.
Definition 2.1 A stochastic process X : R ° Lp ðP; BÞ is said to be continuous whenever

lim EkXðtÞ  XðsÞkp ¼ 0:

t!s
 Concept of p-mean almost periodicity for stochastic processes 821

Definition 2.2 A stochastic process X : R ° Lp ðP; BÞ is said to be stochastically

bounded whenever

lim sup PfkXðtÞk > Ng ¼ 0:

N!1 t 2 R

Definition 2.3 A continuous stochastic process X : R ° Lp ðP; BÞ is said to be p-mean

almost periodic if for each " > 0 there exists lð"Þ > 0 such that any interval of length
l(") contains at least a number
for which

sup EkXðt þ
Þ  XðtÞkp < ":

t2R

The number
will be called an "-translation of X.

The collection of all stochastic processes X : R ° Lp ðP; BÞ which are p-mean almost
periodic is then denoted by APðR; Lp ðP; BÞÞ.
The next lemma provides with some properties of p-mean almost periodic processes.
LEMMA 2.4 If X belongs to APðR; Lp ðP; BÞÞ, then
(i) the mapping t ! EkXðtÞkp is uniformly continuous;
(ii) there exists a constant M > 0 such that EkXðtÞkp  M, for each t 2 R;
(iii) X is stochastically bounded.
Proof The proofs of (i) and (ii) follow along the lines as for general almost periodic
functions with values in a Banach space, and hence omitted.
To prove (iii), we combine both Chebychev inequality and (ii) to obtain

1 M
sup PfkXðtÞk > Ng  sup EkXðtÞkp  p ,
t2R Np t 2 R N

and hence
lim sup PfkXðtÞk > Ng ¼ 0: g
N!1 t 2 R

Let CUBðR; Lp ðP; BÞÞ denote the collection of all stochastic processes
X : R ° Lp ðP; BÞ, which are continuous and uniformly bounded. It is then easily to
check that CUBðR; Lp ðP; BÞÞ is a Banach space when it is equipped with the norm:

kXk1 ¼ supðEkXðtÞkp Þ1=p :

t2R

LEMMA 2.5 APðR; Lp ðP; BÞÞ  CUBðR; Lp ðP; BÞÞ is a closed subspace.
In view of the above, the space APðR; Lp ðP; BÞÞ of p-mean almost periodic processes
equipped with the norm k  k1 is a Banach space.
Let ðB1 , k  k1 Þ and ðB2 , k  k2 Þ be Banach spaces and let Lp ðP; B1 Þ and Lp ðP; B2 Þ be
their corresponding Lp-spaces, respectively.
Definition 2.6 A function F : R  Lp ðP; B1 Þ ° Lp ðP; B2 Þ, ðt, YÞ ° Fðt, YÞ, which is
jointly continuous, is said to be p-mean almost periodic in t 2 R uniformly in Y 2 K
822 P. H. Bezandry and T. Diagana

where K  Lp ðP; B1 Þ is a compact if for any " > 0, there exists lð", KÞ > 0 such that any
interval of length lð", KÞ contains at least a number
for which

sup½EkFðt þ
, YÞ  Fðt, YÞkp 1=p < "

t2R

for each stochastic process Y : R ! K.

Here again, the number
will be called an "-translation of F.
THEOREM 2.7 Let F : R  Lp ðP; B1 Þ ° Lp ðP; B2 Þ, ðt, YÞ ° Fðt, Y Þ be a p-mean almost
periodic process in t 2 R uniformly in Y 2 K, where K  Lp ðP; B1 Þ is compact. Suppose
that F is Lipschitzian in the following sense:

EkFðt, YÞ  Fðt, ZÞkp2  M EkY  Zkp1

for all Y, Z 2 Lp ðP; B1 Þ and for each t 2 R, where M > 0. Then for any p-mean almost
periodic process  : R ° Lp ðP; B1 Þ, the stochastic process t ° Fðt, ðtÞÞ is p-mean
almost periodic.

3. Application to semilinear stochastic equations

Let ðH, k  kÞ be a real separable Hilbert space and let ð
, F , PÞ be a complete probabil-
ity space equipped with a normal filtration fF t : t 2 Rg, that is, a right-continuous,
increasing family of sub -algebras of F .
In this section we make extensive use of the results of the previous section to study
the existence and uniqueness of a square-mean almost periodic solution to the class
of stochastic differential equation

dXðtÞ ¼ AXðtÞdt þ Fðt, XðtÞÞdt þ Gðt, XðtÞÞdWðtÞ, t 2 R, ð3:1Þ

where A : D(A)  L2 ðP; HÞ ° L2 ðP; HÞ is a densely defined closed (possibly unbounded)

linear operator, and F, G : R  L2 ðP; HÞ ° L2 ðP; HÞ are jointly continuous functions.
Throughout the rest of this section, we require the following assumptions:
(H0) The operator A : DðAÞ  L2 ðP; HÞ ° L2 ðP; HÞ is the infinitesimal generator of
a uniformly exponentially stable semigroup ðTðtÞÞt
0 defined on L2 ðP; HÞ such
that there exist constant M > 0,  > 0 with

kTðtÞk  Met , t
0:

(H1) The function F : R  L2 ðP; HÞ ! L2 ðP; HÞðt, XÞ ° Fðt, XÞ be a square-mean

almost periodic in t 2 R uniformly in X 2 O (O  L2 ðP; HÞ being a compact
subspace). Moreover, F is Lipschitz in the following sense: there exists K > 0
for which

EkFðt, X Þ  Fðt, YÞk2  K EkX  Yk2

 Concept of p-mean almost periodicity for stochastic processes 823

for all stochastic processes X, Y 2 L2 ðP; HÞ and t 2 R.

(H2) The function G : R  L2 ðP; HÞ ! L2 ðP; HÞðt, XÞ ° Fðt, XÞ be a square-mean
almost periodic in t 2 R uniformly in X 2 O0 (O0  L2 ðP; HÞ being a compact
subspace). Moreover, G is Lipschitz in the following sense: there exists
K0 > 0 for which

EkGðt, XÞ  Gðt, YÞk2  K0 EkX  Yk2

for all stochastic processes X, Y 2 L2 ðP; HÞ and t 2 R.

Definition 3.1 A F t -progressively process fXðtÞgt 2 R is called a mild solution of ð3:1Þ
on R if
Z t Z t
XðtÞ ¼ Tðt  sÞXðsÞ þ Tðt  ÞFð, XðÞÞd þ Tðt  ÞGð, XðÞÞdWðÞ
s s

for all t
s for each s 2 R.

THEOREM 3.2 Under assumptions (H0)–(H1)–(H2), then (3.1) has a unique square-mean
almost period mild solution, which can be explicitly expressed as follows:
Z t Z t
XðtÞ ¼ Tðt  ÞFð, XðÞÞd þ Tðt  ÞGð, XðÞÞdWðÞ for each t 2 R
1 1

whenever
‘
MK M2 K0
 :¼ 2 þ < 1:
2 
Proof First of all, note that
Zt Z t
XðtÞ ¼ Tðt  ÞFð, XðÞÞd þ Tðt  ÞGð, XðÞÞdWðÞ ð3:2Þ
1 1

is well-defined and satisfies

Zt Zt
XðtÞ ¼ Tðt  sÞXðsÞ þ Tðt  ÞFð, XðÞÞd þ Tðt  ÞGð, XðÞÞdWðÞ
s s

for all t
s for each s 2 R, and hence X given by (3.2) is a mild solution to (3.1).
Define
Z t
XðtÞ :¼ Tðt  ÞFð, XðÞÞd,
1

and
‘
Z t
XðtÞ :¼ Tðt  ÞGð, XðÞÞdWðÞ:
1
824 P. H. Bezandry and T. Diagana

Let us show that XðÞ is square-mean almost periodic whenever X is. Indeed, assuming
that X is square-mean almost periodic and using (H1) and Theorem 2.7, one can easily
see that  ° Fð, XðÞÞ is square-mean almost periodic. Therefore, for each " > 0 there
exists lð"Þ > 0 such that any interval of length l(") contains at least
for which
2 "
EkFð þ
, Xð þ
ÞÞ  Fð, XðÞÞk2 <
M2
for each  2 R:
Now
Z t 
 

kðXÞðt þ
Þ  ðXÞðtÞk ¼  Tðt  sÞ½Fðs þ
, Xðs þ
ÞÞ  Fðs, XðsÞÞds
1
Zt
 kTðt  sÞk  kFðs þ
, Xðs þ
ÞÞ  Fðs, XðsÞÞkds
1
Zt
 M2 eðtsÞ kFðs þ
, Xðs þ
ÞÞ  Fðs, XðsÞÞkds,
1

and hence, using Cauchy–Schwarz inequality we can write:

EkXðt þ
Þ  XðtÞk2

Z t 2
 M2  E eðtsÞ k½Fðs þ
, Xðs þ
ÞÞ  Fðs, XðsÞÞkds
1

Z t 2
2 ððtsÞÞ=2 ððtsÞÞ=2
M E e e k½Fðs þ
, Xðs þ
ÞÞ  Fðs, XðsÞÞkds
1


Z t 
Z t 
2 ðtsÞ ðtsÞ 2
M E e ds e kFðs þ
, Xðs þ
ÞÞ  Fðs, XðsÞÞk ds
1 1

Z t 
Z t 
2 ðtsÞ ðtsÞ 2
M  e ds e EkFðs þ
, Xðs þ
ÞÞ  Fðs, XðsÞÞk ds
1 1

Z t 2
 M2  eðtsÞ ds sup EkFðs þ
, Xðs þ
ÞÞ  Fðs, XðsÞÞk2
1 s2R

Z t 2
< 2 " eðtsÞ ds
1
¼ ":

In view of the above, EkXðt þ
Þ  XðtÞk2 < " for each t 2 R, that is, XðÞ is
square-mean almost periodic.
Similarly, assuming that X is square-mean almost periodic and using (H2) and
Theorem 2.7, one can easily see that  ° Gð, XðÞÞ is square-mean almost periodic.
Therefore, for each " > 0 there exists lð"Þ > 0 such that any interval of length l(")
contains at least
for which

 2 2"
EGð þ
, Xð þ
ÞÞ  Gð, XðÞÞ < 2
M
 Concept of p-mean almost periodicity for stochastic processes 825

for each  2 R: The next step consists of proving the square-mean almost periodicity
of XðÞ. Of course, this is more complicated than the previous case because of
the involvement of the Brownian motion W. To overcome such a difficulty, we make
extensive use of the Ito’s isometry identity and the properties of W ~ defined by
~ ~
WðsÞ :¼ Wðs þ
Þ  Wð
Þ for each s. Note that W is also a Brownian motion and has
the same distribution as W.
Now
Z t
ðXÞðt þ
Þ  ðXÞðtÞ ¼ Tðt  sÞ½Fðs þ
, Xðs þ
ÞÞ  Fðs, XðsÞÞdWðsÞ:
1

Next, make a change of variables s ¼  
to get

Z 2
 t 
EkXðt þ
Þ  XðtÞk ¼ E 

2
Tðt  sÞ½Gðs þ
, Xðs þ
ÞÞ  Gðs, XðsÞÞdWðsÞ
~
 :
1

Thus using Ito isometry identity we obtain:

Z t
EkXðt þ
Þ  XðtÞk2 ¼ EkTðt  sÞ½Gðs þ
, Xðs þ
ÞÞ  Gðs, XðsÞÞk2 ds
1
Zt
 M2 e2ðtsÞ EkGðs þ
, Xðs þ
ÞÞ  Gðs, XðsÞÞkds
1

Z t 
2
M e 2ðtsÞ
ds sup EkGðs þ
, Xðs þ
ÞÞ  Gðs, XðsÞÞk2
1 s2R
< ",

and therefore XðÞ is square-mean almost periodic.

Define
Z t Z t
ðLXÞðtÞ :¼ Tðt  sÞFðs, XðsÞÞds þ Tðt  sÞGðs, XðsÞÞdWðsÞ:
1 1

In view of the above, it is clear that L maps APðR, L2 ðP; HÞÞ into itself. To complete the
proof, it suffices to prove that L has a unique fixed-point.
Clearly,
Z t

kðLXÞðtÞ  ðLYÞðtÞk ¼ 
 Tðt  sÞ½Fðs, XðsÞÞ  Fðs, YðsÞÞds
1
Zt 

þ Tðt  sÞ½Gðs, XðsÞÞ  Gðs, YðsÞÞdWðsÞ

1
Zt
M eðtsÞ kFðs, XðsÞÞ  Fðs, YðsÞÞkds
1
Z t 
 
 Tðt  sÞ½Gðs, XðsÞÞ  Gðs, YðsÞÞdWðsÞ
þ :
1
826 P. H. Bezandry and T. Diagana

Since ða þ bÞ2  2a2 þ 2b2 , we can write

Z t 2
EkðLXÞðtÞ  ðLYÞðtÞk2  2ME eðtsÞ kFðs, XðsÞÞ  Fðs, YðsÞÞkds
1

Z 2
 t 
þ 2E 
 Tðt  sÞ½Gðs, XðsÞÞ  Gðs, YðsÞÞdWðsÞ
 :
1

We first evaluate the first term of the right-hand side as follows:

Z t 2
E eðtsÞ kFðs, XðsÞÞ  Fðs, YðsÞÞkds
1

Z t 
Z t 
E eðtsÞ ds eðtsÞ kFðs, XðsÞÞ  Fðs, YðsÞÞk2 ds
1 1

Z t 
Z t 
 e ðtsÞ
ds eðtsÞ EkFðs, XðsÞÞ  Fðs, YðsÞÞk2 ds
1 1

Z t 
Z t 
K e ðtsÞ
ds eðtsÞ EkXðsÞÞ  YðsÞÞk2 ds
1 1

Z t 2
K eðtsÞ ds sup EkXðtÞ  YðtÞk2
1 t2R

Z t 2
ðtsÞ
¼K e ds kX  Yk1
1
K
 2  kX  Yk1 :


As to the second term, we use isometry identity and obtain:

Z t 2
 
E  Tðt  sÞ½Gðs, XðsÞÞ  Gðs, YðsÞÞdWðsÞ 

1
Z t 
¼E kTðt  sÞ½Gðs, XðsÞÞ  Gðs, YðsÞÞk2 ds
1
Z t 
E kTðt  sÞk2 kGðs, XðsÞÞ  Gðs, YðsÞÞk2 ds
1
Zt
2
M e2ðtsÞ EkGðs, XðsÞÞ  Gðs, YðsÞÞk2 ds
1

Z t 
2 0
M K  e2ðtsÞ ds sup EkXðsÞÞ  YðsÞÞk2
1 t2R
2 0
M K
  kX  Yk1 :
2
Thus, by combining, it follows that


MK M2 K0
EkðLXÞðtÞ  ðLYÞðtÞk  2 2 þ kX  Yk1 ,
 
 Concept of p-mean almost periodicity for stochastic processes 827

and therefore,


MK M2 K0
kLX  LYk1  2 2 þ kX  Yk1 ¼   kX  Yk1 :
 

Consequently, if  < 1, then (3.1) has a unique fixed-point, which obviously is the
unique square-mean almost periodic solution to (3.1). g

References
[1] Arnold, L. and Tudor, C., 1998, Stationary and almost periodic solutions of almost periodic affine
stochastic differential equations. Stochastics and Stochastic Reports, 64, 177–193.
[2] Corduneanu, C., 1989, Almost Periodic Functions, 2nd Edn (New York: Chelsea).
[3] Da Prato, D. and Tudor, C., 1995, Periodic and almost periodic solutions for semilinear stochastic
evolution equations. Stochastic Analaysis and Applications, 13(1), 13–33.
[4] Dorogovtsev, A.Ya. and Ortega, O.A., 1988, On the existence of periodic solutions of a stochastic
equation in a Hilbert space. Kiivsc´kogo Universitetu Seriya Matematikita Mekhaniki, 30, 21–30.
[5] Kawata, T., 1982, Almost periodic weakly stationary processes. Statistics and Probability: Essays in
Honor of C. R. Rao, pp. 383–396 (Amsterdam-New York: North-Holland).
[6] Luo, J., 2006, Stochastically bounded solutions of a nonlinear stochastic differential equations.
Journal of Computational and Applied Mathematics, 196(1), 87–93.
[7] Slutsky, E., 1938, Sur les fonctions aléatoires presque périodiques et sur la decomposition des functions
aléatoires. Actualite´s Sceintifiques et industrielles, 738, 33–55 (Paris: Herman).
[8] Swift, R.J., 1996, Almost periodic harmonizable processes. Georgian Mathematical Journal, 3(3),
275–292.
[9] Tudor, C., 1992, Almost periodic solutions of affine stochastic evolutions equations. Stochastics and
Stochastic Reports, 38, 251–266.
[10] Udagawa, M., 1952, Asymptotic properties of distributions of some functionals of random variables.
Rep. Statist. Appl. Res. Union Jap. Sci. Eng., 2(2–3), 1–98.