Related papers: SDDEs limits solutions to sublinear reaction-diffu…

In the recent article [A. Jentzen, B. Kuckuck, T. M\"uller-Gronbach, and L. Yaroslavtseva, arXiv:1904.05963 (2019)] it has been proved that the solutions to every additive noise driven stochastic differential equation (SDE) which has a…

We study a new class of McKean-Vlasov stochastic differential equations (SDEs), possibly with common noise, applying the theory of time-inhomogeneous polynomial processes. The drift and volatility coefficients of these SDEs depend on the…

We consider the quasi-linear stochastic wave and heat equations in $\mathbb{R}^d$ with $d\in \{1,2,3\}$ and $d\geq 1$, respectively, and perturbed by an additive Gaussian noise which is white in time and has a homogeneous spatial…

This paper focuses on stochastic partial differential equations (SPDEs) under two-time-scale formulation. Distinct from the work in the existing literature, the systems are driven by $\alpha$-stable processes with $\alpha \in(1,2)$. In…

We consider a process given as the solution of a one-dimensional stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. H\"older continuity of the Lebesgue density of…

We consider statistics for stochastic evolution equations in Hilbert space with emphasis on stochastic partial differential equations (SPDEs). We observe a solution process under additional measurement errors and want to estimate a real or…

In this paper we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}}) \otimes…

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…

In this paper we prove the local existence and uniqueness of solutions for a class of stochastic fractional partial differential equations driven by multiplicative noise. We also establish that for this class of equations adding linear…

We consider a class of singular perturbations to the stochastic heat equation or semilinear variations thereof. The interesting feature of these perturbations is that, as the small parameter epsilon tends to zero, their solutions converge…

In this paper, we consider stochastic reaction-diffusion equations with super-linear drift on the real line $\mathbb{R}$ driven by space-time white noise. A Freidlin-Wentzell large deviation principle is established by a modified weak…

We present high-order numerical schemes for linear stochastic heat and wave equations with Dirichlet boundary conditions, driven by additive noise. Standard Euler schemes for SPDEs are limited to an order convergence between 1/2 and 1 due…

Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books, we consider a stochastic and non-linear extension of the…

In this paper, we prove existence and uniqueness of energy solutions for nonlinear Schr\"odinger equations with a multiplicative white noise on $R^d$ with $d\le3$. We rely on an exponential trans-form and conserved quantities for existence…

Distribution dependent stochastic differential equations have been a very hot subject with extensive studies. On the other hand, under the $G$-expectation framework, stochastic differential equations driven by $G$-Brownian motion (in short…

Let $X$ be a regular one-dimensional transient diffusion and $L^y$ be its local time at $y$. The stochastic differential equation (SDE) whose solution corresponds to the process $X$ conditioned on $[L^y_{\infty}=a]$ for a given $a\geq 0$ is…

Diffusion models, typically formulated as discretizations of stochastic differential equations (SDEs), have achieved state-of-the-art performance in generative tasks. However, their theoretical analysis often involves complex proofs. In…

We consider a parabolic stochastic partial differential equation (SPDE) on $[0\,,1]$ that is forced with multiplicative space-time white noise with a bounded and Lipschitz diffusion coefficient and a drift coefficient that is locally…

Motivated by the regularization by noise phenomenon for SDEs we prove existence and uniqueness of the flow of solutions for the non-Lipschitz stochastic heat equation $$\frac{\partial u}{\partial t}=\frac12\frac{\partial^2 u}{\partial z^2}…

We study a finite system of diffusions on the half-line, absorbed when they hit zero, with a correlation effect that is controlled by the proportion of the processes that have been absorbed. As the number of processes in the system becomes…