Related papers: Harnack Inequality for Functional SDEs with Bounde…

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…

Efficient continual learning in humans is enabled by a rich set of neurophysiological mechanisms and interactions between multiple memory systems. The brain efficiently encodes information in non-overlapping sparse codes, which facilitates…

In this paper we establish the Harnack inequality for globally positive local solutions to a general class of nonlocal in time subdiffusion equations in one space dimension, which includes time-fractional diffusion equations with time order…

In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness…

This note briefly presents a new method for enlarging the functional space of a "spectral-gap-like" estimate of exponential decay on a semigroup. A particular case of the method was first devised in hal-00076709 for the spatially…

We consider the system of stochastic differential equations dX_t=A(X_{t-}) dZ_t, where Z_t^1, ..., Z^d_t are independent one-dimensional symmetric stable processes of order \alpha, and the matrix-valued function A is bounded, continuous and…

Backward stochastic partial differential equations in bounded and unbounded domains are studied. Existence and regularity results are obtained. Duality relationship with forward SPDEs are established. Representation of functionals of Ito…

This paper focuses on a class of two-time-scale functional stochastic differential equations, where the phase space of the segment processes is infinite-dimensional. It develops ergodicity of the fast component and obtains a strong limit…

We continue our study of the statistical properties of particles in equilibrium obeying Smoluchowski dynamics. We show that the system is governed by a kinetic equation of the memory function form and that the memory function is given by…

Stochastic differential equations provide a rich class of flexible generative models, capable of describing a wide range of spatio-temporal processes. A host of recent work looks to learn data-representing SDEs, using neural networks and…

A class of backward doubly stochastic differential equations (BDSDEs in short) with continuous coefficients is studied. We give the comparison theorems, the existence of the maximal solution and the structure of solutions for BDSDEs with…

In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an…

We prove regularity estimates for functions which are harmonic with respect to certain jump processes. The aim of this article is to extend the method of Bass-Levin[BL02] and Bogdan-Sztonyk[BS05] to more general processes. Furthermore, we…

This paper is to investigate if the solution of a hybrid stochastic functional differential equation (SFDE) with infinite delay can be approximated by the solution of the corresponding hybrid SFDE with finite delay. A positive result is…

We study energy functionals obtained by adding a possibly discontinuous potential to an interaction term modeled upon a Gagliardo-type fractional seminorm. We prove that minimizers of such non-differentiable functionals are locally bounded,…

Dimension-independent Harnack inequalities are derived for a class of subordinate semigroups. In particular, for a diffusion satisfying the Bakry-Emery curvature condition, the subordinate semigroup with power $\alpha$ satisfies a…

We improve the theorem on continuous dependence of solutions of functional differential equations (see J. Hale, Functional differential equations, theorem 5.1), using some new results on continuous convergences. Namely, we prove this…

In this paper we develop via Girsanov's transformation a perturbation argument to investigate weak convergence of Euler-Maruyama (EM) scheme for path-dependent SDEs with H\"older continuous drifts. This approach is available to other…

We find that multifractal scaling is a robust property of a large class of continuous stochastic processes, constructed as exponentials of long-memory processes. The long memory is characterized by a power law kernel with tail exponent…

In this paper we continue the study on intrinsic Harnack inequality for non- homogeneous parabolic equations in non-divergence form initiated by the first author in [1]. We establish a forward-in-time intrinsic Harnack inequality, which in…