Related papers: SPDEs in divergence form with VMO coefficients and…
For solutions of a certain class of SPDEs in divergence form we present some estimates of their $L_{p}$-norms and the $L_{p}$-norms of their first-order derivatives. The main novelty is that the low-order coefficients are supposed to belong…
Wave propagation problems have many applications in physics and engineering, and the stochastic effects are important in accurately modeling them due to the uncertainty of the media. This paper considers and analyzes a fully discrete finite…
We present a novel approach of discretizing variable coefficient diffusion operators in the context of meshfree generalized finite difference methods. Our ansatz uses properties of derived operators and combines the discrete Laplace…
In this paper, we are interested in the propagation of convexity by the strong solution to a one-dimensional Brownian stochastic differential equation with coefficients Lipschitz in the spatial variable uniformly in the time variable and in…
In this paper we consider the filtering of a class of partially observed piecewise deterministic Markov processes (PDMPs). In particular, we assume that an ordinary differential equation (ODE) drives the deterministic element and can only…
Under the uniform H\"{o}rmander's hypothesis we study smoothness and exponential bounds of the density of the law of the solution of a stochastic differential equation (SDE) with locally Lipschitz drift that satisfy a monotonicity…
We study a class of partial differential equations in divergence form that admit highly irregular Lipschitz weak solutions. By reformulating these divergence-form equations as a first-order partial differential relation and adapting the…
In this paper, we introduce a new method of sampling from transition densities of diffusion processes including those unknown in closed forms by solving a partial differential equation satisfied by the quotient of transition densities. We…
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
We establish necessary and sufficient conditions for stochastic invariance of closed subsets in Hilbert spaces for solutions to infinite-dimensional stochastic differential equations (SDEs) under mild assumptions on the coefficients. Our…
Langevin diffusion is a commonly used tool for sampling from a given distribution. In this work, we establish that when the target density $p^*$ is such that $\log p^*$ is $L$ smooth and $m$ strongly convex, discrete Langevin diffusion…
We prove boundedness results for integral operators of fractional type and their higher order commutators between weighted spaces, including $L^p$-$L^q$, $L^p$-$BMO$ and $L^p$-Lipschitz estimates. The kernels of such operators satisfy…
We provide examples of initial data which saturate the enhanced diffusion rates proved for general shear flows which are H\"{o}lder regular or Lipschitz continuous with critical points, and for regular circular flows, establishing the…
Numerical solutions of stationary diffusion equations on the unit sphere with isotropic lognormal diffusion coefficients are considered. H\"older regularity in $L^p$ sense for isotropic Gaussian random fields is obtained and related to the…
This article investigates the weak approximation towards the invariant measure of semi-linear stochastic differential equations (SDEs) under non-globally Lipschitz coefficients. For this purpose, we propose a linear-theta-projected Euler…
In this article, we consider elliptic diffusion problems on random domains with non-smooth diffusion coefficients. We start by illustrating the problems that arise from a non-smooth diffusion coefficient by recapitulating the corresponding…
This work considers a nonlinear inverse source problem in a coupled diffusion equation from the terminal observation. Theoretically, under some conditions on problem data, we build the uniqueness theorem for this inverse problem and show…
For time-homogeneous stochastic differential equations (SDEs) it is enough to know that the coefficients are Lipschitz to conclude existence and uniqueness of a solution, as well as the existence of a strongly convergent numerical method…
We consider the problem of making nonparametric inference in a class of multi-dimensional diffusions in divergence form, from low-frequency data. Statistical analysis in this setting is notoriously challenging due to the intractability of…
In this paper, a quantitative measure of partial observability is defined for PDEs. The quantity is proved to be consistent if the PDE is approximated using well-posed approximation schemes. A first order approximation of an unobservability…