Related papers: Strong uniqueness for both Dirichlet operators and…
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…
We consider stochastic differential equations on $\mathbb R^d$ with coefficients depending on the path and distribution for the whole history. Under a local integrability condition on the time-spatial singular drift, the well-posedness and…
We prove maximal $L^p$-regularity for the stochastic evolution equation \[\{{aligned} dU(t) + A U(t)\, dt& = F(t,U(t))\,dt + B(t,U(t))\,dW_H(t), \qquad t\in [0,T], U(0) & = u_0, {aligned}.\] under the assumption that $A$ is a sectorial…
We prove pathwise nonuniqueness in the stochastic partial differential equations (SPDEs) for some one-dimensional super-Brownian motions with immigration. In contrast to a closely related case investigated by Mueller, Mytnik and Perkins…
This paper aims to investigate the numerical approximation of a general second order parabolic stochastic partial differential equation(SPDE) driven by multiplicative and additive noise under more relaxed conditions. The SPDE is discretized…
We study pathwise approximation of strong solutions of scalar stochastic differential equations (SDEs) at a single time in the presence of discontinuities of the drift coefficient. Recently, it has been shown by M\"uller-Gronbach and…
We study Langevin dynamics of $N$ particles on $R^d$ interacting through a singular repulsive potential, e.g.~the well-known Lennard-Jones type, and show that the system converges to the unique invariant Gibbs measure exponentially fast in…
We study dissipative dynamics constructed by means of non-commutative Dirichlet forms for various lattice systems with multiparticle interactions associated to CCR algebras. We give a number of explicit examples of such models. Using an…
We consider stochastic PDEs \[dY_t = L(Y_t)\, dt + A(Y_t).\, dB_t, t > 0\] and associated PDEs \[du_t = L u_t\, dt, t > 0\] with regular initial conditions. Here, $L$ and $A$ are certain partial differential operators involving…
The Stochastic Burgers Equation (SBE) is a singular, non-linear Stochastic Partial Differential Equation (SPDE) that describes, on mesoscopic scales, the fluctuations of stochastic driven diffusive systems with a conserved scalar quantity.…
We consider certain random matrix eigenvalue dynamics, akin to Dyson Brownian motion, introduced by Rider and Valko. We show that from every initial condition, including ones involving coinciding coordinates, the dynamics, enhanced with…
Denote by $L_D$ the Sturm-Liouville operator $Ly=-y" +q(x)y$ on the finite interval $[0,\pi]$ with Dirichlet boundary conditions $y(0)=y(\pi)=0$. Let $\{\lambda_k\}_1^\infty$ and $\{\alpha_k\}_1^\infty$ be the sequences of the eigenvalues…
In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $\xi$ which has the structure…
We study equilibrium states of an infinite system of interacting particles in a Euclidean space. The particles bear `unbounded' spins with a given symmetric a priori distribution. The interaction between the particles is pairwise and splits…
The purpose of this paper is to study some properties of solutions to one dimensional as well as multidimensional stochastic differential equations (SDEs in short) with super-linear growth conditions on the coefficients. Taking inspiration…
We show existence of an infinitesimally invariant measure $m$ for a large class of divergence and non-divergence form elliptic second order partial differential operators with locally Sobolev regular diffusion coefficient and drift of some…
The theory of measurements continuous in time in quantum mechanics (quantum continual measurements) has been formulated by using the notions of instrument and positive operator valued measure, functional integrals, quantum stochastic…
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…
We give an equivalent condition for the existence of invariant Gibbs measures for sequences of continuous functions on one-sided subshifts and, more generally, for the existence of Gibbs measures. These extend the results of Kim [6] and…
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…