Related papers: Rate of Convergence of Space Time Approximations f…
In this paper we show that the rate of convergence of Wong-Zakai approximations for stochastic partial differential equations driven by Wiener processes is essentially the same as the rate of convergence of the driving processes W_n…
This paper develops a two-stage stochastic model to investigate evolution of random fields on the unit sphere $\bS^2$ in $\R^3$. The model is defined by a time-fractional stochastic diffusion equation on $\bS^2$ governed by a diffusion…
We consider Tikhonov-type variational regularization of ill-posed linear operator equations in Banach spaces with general convex penalty functionals. Upper bounds for certain error measures expressing the distance between exact and…
We consider a class of stochastic differential equations driven by a one dimensional Brownian motion and we investigate the rate of convergence for Wong-Zakai-type approximated solutions. We first consider the Stratonovich case, obtained…
This paper proposes an adaptive time-stepping mothods for stochastic diffusion systems whose drift and diffusion coefficients are locally Lipschitz continuous and may exhibit polynomial growth. By controlling the growth of both the drift…
The main purpose of this paper is to give a solution to a long-standing unsolved problem in stochastic control theory, i.e., to establish the Pontryagin-type maximum principle for optimal controls of general infinite dimensional nonlinear…
The paper focuses on discrete-type approximations of solutions to non-homogeneous stochastic differential equations (SDEs) involving fractional Brownian motion (fBm). We prove that the rate of convergence for Euler approximations of…
We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a…
This article proposes a new approximation scheme for quadratic-growth BSDEs in a Markovian setting by connecting a series of semi-analytic asymptotic expansions applied to short-time intervals. Although there remains a condition which needs…
We consider stochastic perturbations of PDEs which have special pattern solutions, such as (nonlinear) travelling waves, solitons, and spiral waves. We show orbital stability of these patterns on a timescale which is exponential in the…
In this paper, we prove the well-posedness and op- timal trajectory regularity for the solution of stochastic evolution equations driven by general multiplicative noises in martingale type 2 Banach spaces. The main idea of our method is to…
We consider approximations of the Stefan-type condition by imbalances of volume closely around the inner interface and study convergence of the solutions of the corresponding semilinear stochastic moving boundary problems. After a…
We investigate, in the setting of UMD Banach spaces E, the continuous dependence on the data A, F, G and X_0 of mild solutions of semilinear stochastic evolution equations with multiplicative noise of the form dX(t) = [AX(t) + F(t,X(t))]dt…
A parameter estimation problem for a class of semilinear stochastic evolution equations is considered. Conditions for consistency and asymptotic normality are given in terms of growth and continuity properties of the nonlinear part.…
We present a comprehensive theory of critical spaces for the broad class of quasilinear parabolic evolution equations. The approach is based on maximal $L_p$-regularity in time-weighted function spaces. It is shown that our notion of…
We investigate stochastic parabolic evolution equations with time-dependent random generators and locally Lipschitz continuous drift terms. Using pathwise mild solutions, we construct an infinite-dimensional stationary Ornstein-Uhlenbeck…
We prove a new linearization principle for the nonlinear stability of solutions to semilinear evolution equations of parabolic type. We assume that the set of equilibria forms a finite dimensional manifold of normally stable and normally…
We prove a rate of convergence for the $N$-particle approximation of a second-order partial differential equation in the space of probability measures, like the Master equation or Bellman equation of mean-field control problem under common…
This paper investigates the well-posedness and small-noise asymptotics of a class of stochastic partial differential equations defined on a bounded domain of $\mathbb{R}^d$, where the diffusion coefficient depends nonlinearly and…
We study the estimation of the invariant density of additive fractional stochastic differential equations with Hurst parameter $H \in (0,1)$. We first focus on continuous observations and develop a kernel-based estimator achieving faster…