Related papers: Iterated logarithm law for anticipating stochastic…
We study some properties of tau-functions of an isomonodromic deformation leading to the fifth Painlev\'e equation. In particular, here is given an elementary proof of Miwa's formula for the logarithmic differential of a tau-function.
We derive general results on the small deviation behavior for some classes of iterated processes. This allows us, in particular, to calculate the rate of the small deviations for $n$-iterated Brownian motions and, more generally, for the…
It is a classical observation that lacunary function systems exhibit many properties which are typical for systems of independent random variables. However, it had already been observed by Erd\H{o}s and Fortet in the 1950s that probability…
This article proposes a method for forming invariant stochastic differential systems, namely dynamic systems with trajectories belonging to a given smooth manifold. The It\^o or Stratonovich stochastic differential equations with the Wiener…
We prove a stochastic averaging theorem for stochastic differential equations in which the slow and the fast variables interact. The approximate Markov fast motion is a family of Markov process with generator ${\mathcal L}_x$ for which we…
The book is devoted to the strong approximation of iterated stochastic integrals (ISIs) in the context of numerical integration of Ito SDEs and non-commutative semilinear SPDEs with nonlinear multiplicative trace class noise. The monograph…
It is well known that second order linear ordinary differential equations with slowly varying coefficients admit slowly varying phase functions. This observation is the basis of the Liouville-Green method and many other techniques for the…
We consider a class of linear Vlasov partial differential equations driven by Wiener noise. Different types of stochastic perturbations are treated: additive noise, multiplicative It\^o and Stratonovich noise, and transport noise. We…
We consider a stochastic delay differential equation driven by a Holder continuous process and a Wiener process. Under fairly general assumptions on its coefficients, we prove that this equation is uniquely solvable. We also give sufficient…
We study the convergence of a Douglas-Rachford type splitting algorithm for the infinite dimensional stochastic differential equation $$dX+A(t)(X)dt=X\,dW\mbox{ in }(0,T);\ X(0)=x,$$ where $A(t):V\to V'$ is a nonlinear, monotone, coercive…
We present an algorithm which allows to solve analytically linear systems of differential equations which factorize to first order. The solution is given in terms of iterated integrals over an alphabet where its structure is implied by the…
The article is devoted to the developement of the method of expansion and mean-square approximation of iterated Ito stochastic integrals based on generalized multiple Fourier series converging in the sense of norm in the space $L_2([t,…
We consider stochastic differential systems driven by continuous semimartingales and governed by non-commuting vector fields. We prove that the logarithm of the flowmap is an exponential Lie series. This relies on a natural change of basis…
Stochastic differential equations projected onto manifolds occur in physics, chemistry, biology, engineering, nanotechnology and optimization, with interdisciplinary applications. Intrinsic coordinate stochastic equations on the manifold…
In this article we use the variational method developed by Szulkin \cite{szulkin} to prove the existence of a positive solution for the following logarithmic Schr\"{o}dinger equation $$ \left\{ \begin{array}{lc} -{\epsilon}^2\Delta u+…
In this paper, we study the multiple integral $ \displaystyle I= \int_0^1 \int_0^1 \dots \int_0^1 f(x_1+x_2 + \dots +x_n) \, dx_1 \, dx_2 \, \dots \, dx_n$. A general formula of $I$ is presented. As an application, the integral $I$ with…
We prove the sufficient conditions for convergence of a certain iterative process of order 2 for solving nonlinear functional equations, which does not require inverting the derivative. We translate and detail our results for a system of…
Interval-valued computing is a relatively new computing paradigm. It uses finitely many interval segments over the unit interval in a computation as data structure. The satisfiability of Quantified Boolean formulae and other hard problems,…
We consider a perturbed KdV equation: [\dot{u}+u_{xxx} - 6uu_x = \epsilon f(x,u(\cdot)), \quad x\in \mathbb{T}, \quad\int_\mathbb{T} u dx=0.] For any periodic function $u(x)$, let $I(u)=(I_1(u),I_2(u),...)\in\mathbb{R}_+^{\infty}$ be the…
We study the convergence of stochastic fixed point iterations in the consistent case (in the sense of Butnariu and Fl{\aa}m (1995)) in several different settings, under decreasingly restrictive regularity assumptions of the fixed point…