Related papers: Filtering equations for partially observable diffu…

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 prove a result of equivalence in law between a diffusion conditioned with respect to partial observations and an auxiliary process. By partial observations we mean coordinates (or linear transformation) of the process at a…

The filtering equations associated to a partially observed jump diffusion model $(Z_t)_{t\in [0,T]}=(X_t,Y_t)_{t\in [0,T]}$, driven by Wiener processes and Poisson martingale measures are considered. Building on results from two preceding…

We consider compressible fluid flow on an evolving surface with a piecewise Lipschitz-continuous boundary from an energetic point of view. We employ both an energetic variational approach and the first law of thermodynamics to make a…

Under general assumptions on the target distribution $p^\star$, we establish a sharp Lipschitz regularity theory for flow-matching vector fields and diffusion-model scores, with optimal dependence on time and dimension. As applications, we…

We study diffusion processes corresponding to infinite dimensional semilinear stochastic differential equations with local Lipschitz drift term and an arbitrary Lipschitz diffusion coefficient. We prove tightness and the Feller property of…

Let $v:[0,T]\times \R^d \to \R$ be the solution of the parabolic backward equation $ \partial_t v + (1/2) \sum_{i,l} [\sigma \sigma^\perp]_{il} \partial_{x_i \partial_{x_l} v + \sum_{i} b_i \partial_{x_i}v + kv =0$ with terminal condition…

We propose a new statistical observation scheme of diffusion processes named convolutional observation, where it is possible to deal with smoother observation than ordinary diffusion processes by considering convolution of diffusion…

Estimating parameters of a diffusion process given continuous-time observations of the process via maximum likelihood approaches or, online, via stochastic gradient descent or Kalman filter formulations constitutes a well-established…

We prove H\"ormander's type hypoellipticity theorem for stochastic partial differential equations when the coefficients are only measurable with respect to the time variable. The need for such kind of results comes from filtering theory of…

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…

We consider inverse problems for the first and half order time fractional equation. We establish the stability estimates of Lipschitz type in inverse source and inverse coefficient problems by means of the Carleman estimates.

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 relate the $L_p$-variation, $2\le p < \infty$, of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of fractional smoothness. This concept of fractional smoothness…

We consider the problem of inference for nonlinear, multivariate diffusion processes, satisfying It\^o stochastic differential equations (SDEs), using data at discrete times that may be incomplete and subject to measurement error. Our…

We consider the inverse problem of determining the permeability from the pressure in a Darcy model of flow in a porous medium. Mathematically the problem is to find the diffusion coefficient for a linear uniformly elliptic partial…

Score-based diffusion models have demonstrated outstanding empirical performance in machine learning and artificial intelligence, particularly in generating high-quality new samples from complex probability distributions. Improving the…

A semi-Lagrangian method for parabolic problems is proposed, that extends previous work by the authors to achieve a fully conservative, flux-form discretization of linear and nonlinear diffusion equations. A basic consistency and…

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…

We study uniform Lipschitz regularity estimates for elliptic systems in divergence form with continuous coefficients, based on rapidly oscillating periodic coefficients derived from homogenization theory. We extend a result by Avellaneda…