Related papers: A stochastic fixed point equation for weighted min…
We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes affine diffusion processes and therefore extends considerably…
This paper addresses the existence of nonnegative mild solutions for stochastic evolution inclusions through a weak topology approach. Precisely, the study focuses on stochastic evolution inclusions characterized by multivalued…
Given a strictly convex multiobjective optimization problem with objective functions $f_1,\dots,f_N$, let us denote by $x_0$ its solution, obtained as minimum point of the linear scalarized problem, where the objective function is the…
Doubly nonlinear stochastic evolution equations are considered. Upon assuming the additive noise to be rough enough, we prove the existence of probabilistically weak solutions of Friedrichs type and study their uniqueness in law. This…
We consider systems of stochastic differential equations of the form \[ \d X_t^i = \sum_{j=1}^d A_{ij}(X_{t-}) \d Z_t^j\] for $i=1,\dots,d$ with continuous, bounded and non-degenerate coefficients. Here $Z_t^1,\dots,Z_t^d$ are independent…
A stochastic Schr\"odinger equation is presented to describe simultaneous continuous measurement of the position and momentum of a non-relativistic particle. The equation is solved to yield a state localised in position and momentum…
The distribution-dependent stochastic differential equations (DDSDEs) describe stochastic systems whose evolution is determined by both the microcosmic site and the macrocosmic distribution of the particle. The density function associated…
We consider stochastic equations of the form $X_k = \phi_k(X_{k+1}) Z_k$, $k \in \mathbb{N}$, where $X_k$ and $Z_k$ are random variables taking values in a compact group $G_k$, $\phi_k: G_{k+1} \to G_k$ is a continuous homomorphism, and the…
In this paper we address the complexity of solving linear programming problems with a set of differential equations that converge to a fixed point that represents the optimal solution. Assuming a probabilistic model, where the inputs are…
We show via the nonlinear semigroup theory in $L^1(\mathbb{R})$ that the $1$-D dynamic programming equation associated with a stochastic optimal control problem with multiplicative noise has a unique mild solution $\varphi\in…
In this paper, we investigate the stochastic differential equation on $\mathbb{R}^d,d\geq2$: \begin{align*} \dif X_t&=v(t,X_t)\dif t+\sqrt{2} \dif W_t. \end{align*} For any finite collection of initial probability measures…
A stochastic nonlinear partial differential equation is built for two different models exhibiting self-organized criticality, the Bak, Tang, and Wiesenfeld (BTW) sandpile model and the Zhang's model. The dynamic renormalization group (DRG)…
In this work, we investigate the regularized solutions and their finite element solutions to the inverse source problems governed by partial differential equations, and establish the stochastic convergence and optimal finite element…
In this article, we consider the stochastic wave equation in spatial dimension $d=1$, with linear term $\sigma(u)=u$ multiplying the noise. This equation is driven by a Gaussian noise which is white in time and fractional in space with…
We address the problem of finding worst-case nonparametric bounds for T-statistic by considering the extremal problem of maximising the mid-quantile (a special case of 'smoothed quantile' as discussed in \cite{St77} and \cite{W11}) $\tilde…
Existence, uniqueness, and regularity of a strong solution are obtained for stochastic PDEs with a colored noise $F$ and its super-linear diffusion coefficient: $$ du=(a^{ij}u_{x^ix^j}+b^iu_{x^i}+cu)dt+\xi|u|^{1+\lambda}dF, \quad…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
We provide an example of minimum size of a finite semigroup with $\mathcal{J}^{\ast}\neq\mathcal{D}^{\ast}$. We introduce the notion of starred stability and prove that every starred stable semigroup has…
In this work, we introduce a new method to prove the existence and uniqueness of a variational solution to the stochastic nonlinear diffusion equation $dX(t)={\rm div} [\frac{\nabla X(t)}{|\nabla X(t)|}]dt+X(t)dW(t) in…
This work studies the instability of stochastic scalar reaction diffusion equations, driven by a multiplicative noise that is white in time and smooth in space, near to zero, which is assumed to be a fixed point for the equation. We prove…