Related papers: Convergence to SPDEs in Stratonovich form
The solutions of parabolic and hyperbolic stochastic partial differential equations (SPDEs) driven by an infinite dimensional Brownian motion, which is a martingale, are in general not semi-martingales any more and therefore do not satisfy…
In this paper we investigate a nonlinear stochastic partial differential equation (spde in short) perturbed by a space-correlated Gaussian noise in arbitrary dimension $d\geq1$, with a non-Lipschitz coefficient noisy term. The equation…
In this paper we study parabolic stochastic partial differential equations defined on arbitrary bounded domain $\cO \subset \bR^d$ allowing Hardy inequality: $$ \int_{\cO}|\rho^{-1}g|^2\,dx\leq C\int_{\cO}|g_x|^2 dx, \quad \forall g\in…
This paper investigates the well-posedness and small-noise asymptotics of a class of stochastic partial differential equations defined on a bounded domain of $\mathbb{R}^d$, where the diffusion coefficient depends nonlinearly and…
We perturb with an additive Gaussian white noise the Hamiltonian system associated to a cubic anharmonic oscillator. The stochastic system is assumed to start from initial conditions that guarantee the existence of a periodic solution for…
Numerical methods for stochastic partial differential equations typically estimate moments of the solution from sampled paths. Instead, we shall directly target the deterministic equations satisfied by the first and second moments, as well…
The aim of this article is to show the global existence of both martingale and pathwise solutions of stochastic equations with a monotone operator, of the Ladyzenskaya-Smagorinsky type, driven by a general Levy noise. The classical approach…
We develop a quantitative theory of stochastic homogenization for linear, uniformly parabolic equations with coefficients depending on space and time. Inspired by recent works in the elliptic setting, our analysis is focused on certain…
This paper is devoted to order-one explicit approximations of random periodic solutions to multiplicative noise driven stochastic differential equations (SDEs) with non-globally Lipschitz coefficients. The existence of the random periodic…
This note deals with existence and uniqueness of (variational) solutions to the following type of stochastic partial differential equations on a Hilbert space H dX(t) = A(t,X(t))dt + B(t,X(t))dW(t) + h(t) dG(t) where A and B are random…
We prove the existence and uniqueness of solution of the obstacle problem for quasilinear Stochastic PDEs with non-homogeneous second order operator. Our method is based on analytical technics coming from the parabolic potential theory. The…
We present a series of recent results on the well-posedness of very singular parabolic stochastic partial differential equations. These equations are such that the question of what it even means to be a solution is highly non-trivial. This…
The present article investigates the convergence of a class of space-time discretization schemes for the Cauchy problem for linear parabolic stochastic partial differential equations (SPDEs) defined on the whole space. Sufficient conditions…
This paper establishes a complete homogenization theory for the one-dimensional parabolic equation with long-range correlated random potential: \[ \partial_t u_\varepsilon(t,x) = \frac{1}{2} \partial_{xx} u_\varepsilon(t,x) +…
This paper deals with the backward Euler method applied to semilinear parabolic stochastic partial differential equations (SPDEs) driven by additive noise. The SPDE is discretized in space by the finite element method and in time by the…
This paper investigates abstract integro-differential hyperbolic equations, focusing on the probabilistic representation of their solutions. Our analysis is based on fractional derivatives and non-local operators, which are powerful tools…
We use the scale of Besov spaces B^\alpha_{\tau,\tau}(O), \alpha>0, 1/\tau=\alpha/d+1/p, p fixed, to study the spatial regularity of the solutions of linear parabolic stochastic partial differential equations on bounded Lipschitz domains…
This article studies some numerical approximations of the homogenized matrix for stochastic linear elliptic partial differential equations in divergence form. We focus on the case when the underlying random field is a small perturbation of…
We study an expansion method for high-dimensional parabolic PDEs which constructs accurate approximate solutions by decomposition into solutions to lower-dimensional PDEs, and which is particularly effective if there are a low number of…
Backward stochastic partial differential equations of parabolic type with variable coefficients are considered in the whole Euclidean space. Improved existence and uniqueness results are given in the Sobolev space $H^n$ ($=W^n_2$) under…