Related papers: Weak Solutions of Stochastic Differential Equation…

In the present paper, we give some examples of stochastic differential equations which have delicateness in the Markov and strong Markov properties, the uniqueness locally in time and globally in time, and initial conditions. Moreover, we…

This paper constructs a solvability theory for a system of stochastic partial differential equations. On account of the Kolmogorov continuity theorem, solutions are looked for in certain H\"older-type classes in which a random field is…

We extend Krylov and R\"{o}ckner's result \cite{KR} to the drift coefficients in critical Lebesgue space, and prove the existence and uniqueness of weak solutions for a class of SDEs. To be more precise, let $b: [0,T]\times{\mathbb…

The aim of the paper is to prove the existence and uniqueness of the $L^{p}$--variational solution, with $p>1,$ of the following multivalued backward stochastic differential equation with $p$--integrable data: \begin{equation*} \left\{…

We investigate the periodic and stationary solutions of distribution-dependent stochastic differential equations. While generally, the semigroups associated with the equations are nonlinear, we show that the methods of weak convergence and…

We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To that end we provide results on the density process between…

In this paper, a weak Local Linearization scheme for Stochastic Differential Equations (SDEs) with multiplicative noise is introduced. First, for a time discretization, the solution of the SDE is locally approximated by the solution of the…

In this paper, we aim to develop a new weak formulation that ensures well-posedness for a broad range of stochastic partial differential equations with pseudo-differential operators whose symbols depend only on time and spatial frequencies.…

In this paper, we prove the unique existence and investigate the $L^{p}$-regularity of solutions to stochastic partial differential equations in Hilbert spaces associated with pseudo-differential operators, driven by Hilbert space-valued…

In this paper we prove the existence of weak solutions for a thermodynamically consistent phase-field model introduced in [26] in two and three dimensions of space. We use a notion of solution inspired by [18], where the pointwise internal…

The stochastic protein kinetic equations can be stiff for certain parameters, which makes their numerical simulation rely on very small time step sizes, resulting in large computational cost and accumulated round-off errors. For such…

In this article we study the Cauchy problem for a new class of parabolic-type pseudodifferential equations with variable coefficients for which the fundamental solutions are transition density functions of Markov processes in the four…

The probabilistic representation of weak solutions to a parabolic boundary value problem is established in the following framework. The boundary value problem consists of a second order parabolic equation defined on a time-varying Lipschitz…

In this article we give sufficient and necessary conditions for the existence of a weak and mild solution to stochastic evolution equations with (general) L\'{e}vy noise taking values in the dual of a nuclear space. As part of our approach…

Analytic smooth solutions of a general, strongly parabolic semi-linear Cauchy problem of $2m$-th order in $\mathbb{R}^N\times (0,T)$ with analytic coefficients (in space and time variables) and analytic initial data (in space variables) are…

The existence of weak solutions is established for stochastic Volterra equations with time-inhomogeneous coefficients allowing for general kernels in the drift and convolutional or bounded kernels in the diffusion term. The presented…

We consider stochastic partial differential equations under minimal assumptions: the coefficients are merely bounded and measurable and satisfy the stochastic parabolicity condition. In particular, the diffusion term is allowed to be…

An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…

Using the concept of stationary statistical solution, which generalizes the notion of invariant measure, it is proved that, in a suitable sense, time averages of almost every Leray-Hopf weak solution of the three-dimensional incompressible…

This book is an introduction to the theory of stochastic partial differential equations (SPDEs), using the random field approach pioneered by J.B. Walsh (1986). It consists of two blocks: the core matter (Chapters 1 to 6) and the appendices…