Related papers: An Approximation Scheme for Reflected Stochastic D…
We give an extension of L\^e's stochastic sewing lemma [Electron. J. Probab. 25: 1 - 55, 2020]. The stochastic sewing lemma proves convergence in $L_m$ of Riemann type sums $\sum _{[s,t] \in \pi } A_{s,t}$ for an adapted two-parameter…
In this paper we consider the following stochastic partial differential equation (SPDE) in the whole space: $du (t, x) = [a^{i j} (t, x) D_{i j} u(t, x) + f(u, t, x)]\, dt + \sum_{k = 1}^m g^k (u(t, x)) dw^k (t).$ We prove the convergence…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
We extend the Ito -to- Stratonovich analysis or quantum stochastic differential equations, introduced by Gardiner and Collett for emission (creation), absorption (annihilation) processes, to include scattering (conservation) processes.…
In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the corresponding ''normal''…
A discrete system of coupled waves (with nonanalytic dispersion relation) is derived in the context of the spectral transform theory for the Ablowitz Ladik spectral problem (discrete version of the Zakharov-Shabat system). This 3-wave…
We examine a fractional version of the discrete Nonlinear Schr\"{o}dinger (dnls) equation, where the usual discrete laplacian is replaced by a fractional discrete laplacian. This leads to the replacement of the usual nearest-neighbor…
Take a multidimensional normally or obliquely reflected diffusion in a smooth domain. Approximate it by solutions of stochastic differential equations without reflection using the penalty method. That is, we approximate the reflection term…
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property. The main results are established (i) in a Markovian…
In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter…
In this article we investigate the solution of the steady-state fractional diffusion equation on a bounded domain in $\real^{1}$. From an analysis of the underlying model problem, we postulate that the fractional diffusion operator in the…
In this work, we introduce a new difference equation which is discrete analogue of Diffusion differential equation and analyze some essential spectral properties, Diffusion difference operator is self-adjoint, eigenvalues of this problem…
We consider a system of stochastic differential equations driven by a standard n-dimensional Brownian motion where the drift coefficient satisfies a Novikov-type condition while the diffusion coefficient is the identity matrix. We define a…
The solution of a (stochastic) differential equation (SDE) can be locally approximated by a stochastic expansion, a linear combination of iterated integrals. Quantities of interest, like moments, can then be approximated with the expansion.…
We study existence and uniqueness of distributional solutions to the stochastic partial differential equation $dX - ( \nu \Delta X + \Delta \psi (X) ) dt = \sum_{i=1}^N \langle b_i, \nabla X \rangle \circ d\beta_i$ in $]0,T[ \times…
In this work, we introduce a new Skorokhod problem with two reflecting barriers when the trajectories of the driven process and the barriers are right and left limited. We show that this problem has an explicit unique solution in a…
We prove existence and uniqueness of the solution for a class of mixed fractional stochastic differential equations with discontinuous drift driven by both standard and fractional Brownian motion. Additionally, we establish a generalized…
We investigate the unique stationary measure of a positive recurrent reflecting Brownian motion in the upper half-plane, where the direction of reflection is constant on each half-axis. The Laplace transform of the stationary distribution…
The generalized Dickman distribution ${\cal D}_\theta$ with parameter $\theta>0$ is the unique solution to the distributional equality $W=_d W^*$, where \begin{eqnarray} W^*=_d U^{1/\theta}(W+1) \qquad (1) \end{eqnarray} with $W$…
In this paper, we consider a class of reflected stochastic differential equations for which the constraint is not on the paths of the solution but on its law. We establish a small noise large deviation principle, a large deviation for short…