Related papers: Denseness of certain smooth L\'evy functionals in …

It is well known that Malliavin calculus can be applied to a stochastic differential equation with Lipschitz continuous coefficients in order to clarify the existence and the smoothness of the solution. In this paper, we apply Malliavin…

In this paper we introduce a new technique to construct unique strong solutions of SDEs with singular coefficients driven by certain Levy processes. Our method which is based on Malliavin calculus does not rely on a pathwise uniqueness…

In this paper we study a class of stochastic partial differential equations in the whole space $\mathbb{R}^{d}$, with arbitrary dimension $d\geq 1$, driven by a Gaussian noise white in time and correlated in space. The differential operator…

Let $X_t$ be any additive process in $\mathbb{R}^d.$ There are finite indices $\delta_i, \beta_i, i=1,2$ and a function $u$, all of which are defined in terms of the characteristics of $X_t$, such that \liminf_{t\to0}u(t)^{-1/\eta}X_t^*=…

We consider a Markov process $X$, which is the solution of a stochastic differential equation driven by a L\'{e}vy process $Z$ and an independent Wiener process $W$. Under some regularity conditions, including non-degeneracy of the…

We investigate the concept of cylindrical Wiener process subordinated to a strictly $\alpha$-stable L\'evy process, with $\alpha\in\left(0,1\right)$, in an infinite dimensional, separable Hilbert space, and consider the related stochastic…

Let $(X_t)_{t \ge 0}$ be solution of a one-dimensional stochastic differential equation. Our aim is to study the convergence rate for the estimation of the invariant density in intermediate regime, assuming that a discrete observation of…

The Hurwitz space is the moduli space of pairs $(X,f)$ where $X$ is a compact Riemann surface and $f$ is a meromorphic function on $X$. We study the Laplace operator $\Delta^{|df|^2}$ of the flat singular Riemannian manifold $(X,|df|^2)$.…

We investigate existence and uniqueness of strong solutions of mean-field stochastic differential equations with irregular drift coefficients. Our direct construction of strong solutions is mainly based on a compactness criterion employing…

We consider a solution to a generic Markovian jump diffusion and show that for positive times the law of the solution process has a smooth density with respect to Lebesgue measure under a uniform version of Hoermander's conditions. Unlike…

We investigate the weak order of convergence for space-time discrete approximations of semilinear parabolic stochastic evolution equations driven by additive square-integrable L\'evy noise. To this end, the Malliavin regularity of the…

The classical ``$H=W$" theorem establishes the identity between two function spaces on an arbitrary nonempty open set in the Euclidean spaces: the space $W$ defined via weak derivatives, and the space $H$ defined as the closure of smooth…

We provide a list of equivalent conditions under which an additive operator acting on a space of smooth functions on a compact real interval is a multiple of the derivation.

In this paper, we extend Walsh's stochastic integral with respect to a Gaussian noise, white in time and with some homogeneous spatial correlation, in order to be able to integrate some random measure-valued processes. This extension turns…

For certain weighted locally convex spaces $X$ and $Y$ of one real variable smooth functions, we characterize the smooth functions $\varphi: \mathbb{R} \to \mathbb{R}$ for which the composition operator $C_\varphi: X \to Y, \, f \mapsto f…

We determine sufficient conditions on the volatility coefficient of Musiela's stochastic partial differential equation driven by an infinite dimensional L{\'e}vy process so that it admits a unique local mild solution in spaces of functions…

Compactness is one of the most versatile tools in the analysis of nonlinear PDEs and systems. Usually, compactness is established by means of some embedding theorem between functional spaces. Such theorems, in turn, rely on appropriate…

We extend the taming techniques developed in \cite{konstantinos2014,sabanis2013} to construct explicit Milstein schemes that numerically approximate L\'evy driven stochastic differential equations with super-linearly growing drift…

We investigate the estimates of the density for the traditional Euler-Maruyama discretization of stochastic differential equations (SDEs) with multiplicative noise. Our estimates focus on two key aspects: (1) the $L^p$-upper bounds for…

The goal of this paper is to derive a formula for the finite dimensional joint characteristic function (the Fourier transform of the finite dimensional distribution) of the coupled process ${(W_{t},L_{t}^{A}):t\in \lbrack 0,\infty)}$, where…