Related papers: Stochastic solution of a nonlinear fractional diff…
In this paper, we first investigate the global existence of a solution for the stochastic fractional nonlinear Schr\"odinger equation with radially symmetric initial data in a suitable energy space $H^{\alpha}$. We then show that the…
In this article we study the fractal Navier-Stokes equations by using stochastic Lagrangian particle path approach in Constantin and Iyer \cite{Co-Iy}. More precisely, a stochastic representation for the fractal Navier-Stokes equations is…
Space-time fractional evolution equations are a powerful tool to model diffusion displaying space-time heterogeneity. We prove existence, uniqueness and stochastic representation of classical solutions for an extension of Caputo evolution…
We prove the existence of a viscosity solution of the following path dependent nonlinear Kolmogorov equation: \[ \begin{cases} \partial_{t}u(t,\phi)+\mathcal{L}u(t,\phi)+f(t,\phi,u(t,\phi),\partial_{x}u(t,\phi)…
In this note, we consider general growth-fragmentation equations from a probabilistic point of view. Using Foster-Lyapunov techniques, we study the recurrence of the associated Markov process depending on the growth and fragmentation rates.…
We study a numerical method to compute probability density functions of solutions of stochastic differential equations. The method is sometimes called the numerical path integration method and has been shown to be fast and accurate in…
We consider the Cauchy problem for stochastic fractional evolution equations with Caputo time fractional derivative of order $1<\alpha<2$ and space variable coefficients on an unbounded domain. The space derivatives that appear in the…
This paper develops solutions of fractional Fokker-Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian L\'evy processes, with space-time-dependent drift, diffusion and…
Some problems in the theory and applications of stochastic processes can be reduced to solving integral equations. While explicit solutions for these equations are often elusive, valuable insights can be gained through their asymptotic…
Using the generalized Kolmogorov-Feller equation with long-range interaction, we obtain kinetic equations with fractional derivatives with respect to coordinates. The method of successive approximations with the averaging with respect to…
The paper considers a stochastic differential equation of Duffing type with Markov coefficients. The existence of unpredictable solutions is considered. The unpredictability is a property of bounded functions characterized by unbounded…
We obtain sufficient conditions for the uniqueness of a probability solution to the stationary Kolmogorov equation with a degenerate diffusion matrix. We employ the method of doubling variables known in stochastic analysis directly to the…
The stochastic theory of non-relativistic quantum mechanics presented here relies heavily upon the theory of stochastic processes, with its definitions, theorems and specific vocabulary as well. Its main hypothesis states indeed that the…
In this paper we study the randomized non-autonomous complete linear differential equation. The diffusion coefficient and the source term in the differential equation are assumed to be stochastic processes and the initial condition is…
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. However, there are both theoretical and empirical reasons to consider similar equations driven by…
Large dimensional least-squares and regularised least-squares problems are expensive to solve. There exist many approximate techniques, some deterministic (like conjugate gradient), some stochastic (like stochastic gradient descent). Among…
A subdiffusion problem in which the diffusion term is related to a stable stochastic process is introduced. Linear models of these systems have been studied in a general way, but non-linear models require a more specific analysis. The model…
Fractional calculus allows one to generalize the linear, one-dimensional, diffusion equation by replacing either the first time derivative or the second space derivative by a derivative of fractional order. The fundamental solutions of…
We study one-dimensional stochastic integral equations with non-smooth dispersion coefficients, and with drift components that are not restricted to be absolutely continuous with respect to Lebesgue measure. In the spirit of Lamperti, Doss…
We study convergence in variation of probability solutions of nonlinear Fokker-Planck-Kolmogorov equations to stationary solutions. We obtain sufficient conditions for the exponential convergence of solutions to the stationary solution in…