Related papers: Absolute continuity for some one-dimensional proce…
Let $X$ be a $n$-dimensional Ornstein-Uhlenbeck process, solution of the S.D.E. $$\d X_t = AX_t \d t + \d B_t$$ where $A$ is a real $n\times n$ matrix and $B$ a L\'evy process without Gaussian part. We show that when $A$ is non-singular,…
In this paper, we are concerned with the three dimensional Euler equations driven by an additive stochastic forcing. First, we construct global H\"{o}lder continuous (stationary) solutions in $C(\mathbb{R};C^{\vartheta})$ space for some…
We study the smoothness of the solution of the directed chain stochastic differential equations, where each process is affected by its neighborhood process in an infinite directed chain graph, introduced by Detering et al. (2020). Because…
An explicit numerical method is developed for a class of non-autonomous time-changed stochastic differential equations, whose coefficients obey H\"older's continuity in terms of the time variables and are allowed to grow super-linearly in…
We investigate the process of eigenvalues of a symmetric matrix-valued process which upper diagonal entries are independent one-dimensional H\"older continuous Gaussian processes of order gamma in (1/2,1). Using the stochastic calculus with…
We consider Malliavin calculus based on the It\^o chaos decomposition of square integrable random variables on the L\'evy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and…
In this article, we study the hyperbolic Anderson model driven by a space-time \emph{colored} Gaussian homogeneous noise with spatial dimension $d=1,2$. Under mild assumptions, we provide $L^p$-estimates of the iterated Malliavin derivative…
The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a $\gamma$-H\"older continuous process with $\gamma>1/2$ (e.g. a fractional Brownian motion with Hurst parameter greater than…
We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a L\'evy process. Our results are valid for a large…
This paper investigates the pathwise uniform convergence in probability of fully discrete finite-element approximations for the two-dimensional stochastic Navier-Stokes equations with multiplicative noise, subject to no-slip boundary…
We consider a discrete time dynamic system described by a difference equation with periodic coefficients and with additive stochastic noise. We investigate the possibility of the periodicity for the solution. In particular, we found…
We devise an abstract, modular scheme to prove continuity of the Lyapunov exponents for a general class of linear cocycles. The main assumption is the availability of appropriate large deviation type (LDT) estimates which are uniform in the…
We prove that self-similar measures on the real line are absolutely continuous for almost all parameters in the super-critical region, in particular confirming a conjecture of S-M. Ngai and Y. Wang. While recently there has been much…
In this paper, a study of random times on filtered probability spaces is undertaken. The main message is that, as long as distributional properties of optional processes up to the random time are involved, there is no loss of generality in…
The paper introduces a new finite element numerical method for the solution of partial differential equations on evolving domains. The approach uses a completely Eulerian description of the domain motion. The physical domain is embedded in…
In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector field and a Wiener process. The results obtained in this paper…
In this paper, we get some convergence rates in total variation distance in approximating discretized paths of L{\'e}vy driven stochastic differential equations, assuming that the driving process is locally stable. The particular case of…
Consider a non-autonomous continuous-time linear system in which the time-dependent matrix determining the dynamics is piecewise constant and takes finitely many values $A_1, \dotsc, A_N$. This paper studies the equality cases between the…
Motivated by the probabilistic representation for solutions of the Navier-Stokes equations, we introduce a novel class of stochastic differential equations that depend on the entire flow of its time marginals. We establish the existence and…
This note is devoted to continuity results of the time derivative of the solution to the one-dimensional parabolic obstacle problem with variable coefficients. It applies to the smooth fit principle in numerical analysis and in financial…