Related papers: Absolute continuity under flows generated by SDE w…

Inferring a diffusion equation from discretely-observed measurements is a statistical challenge of significant importance in a variety of fields, from single-molecule tracking in biophysical systems to modeling financial instruments.…

Consider a diffusion process X=(X_t), with t in [0,1], observed at discrete times and high frequency, solution of a stochastic differential equation whose drift and diffusion coefficients are assumed to be unknown. In this article, we focus…

We study one-dimensional stochastic differential equations of form $dX_t = \sigma(X_t)dY_t$, where $Y$ is a suitable H\"older continuous driver such as the fractional Brownian motion $B^H$ with $H>\frac12$. The innovative aspect of the…

We consider stochastic differential equations (SDEs) driven by a fractional Brownian motion with a drift coefficient that is allowed to be arbitrarily close to criticality in a scaling sense. We develop a comprehensive solution theory that…

We introduce verifiable criteria for weak posterior consistency of identifiable Bayesian nonparametric inference for jump diffusions with unit diffusion coefficient and uniformly Lipschitz drift and jump coefficients in arbitrary dimension.…

A particle with internal unobserved states diffusing in a force field will generally display effective advection-diffusion. The drift velocity is proportional to the mobility averaged over the internal states, or effective mobility, while…

Let $E$ be the class of finite (resp. probability) measures absolutely continuous with respect to a $\sigma$-finite Radon measure on a Polish space. We present a criterion on the quasi-regularity of Dirichlet forms on $E$ in terms of upper…

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…

We propose new limiting dynamics for stochastic gradient descent in the small learning rate regime called stochastic modified flows. These SDEs are driven by a cylindrical Brownian motion and improve the so-called stochastic modified…

We establish necessary and sufficient conditions for stochastic invariance of closed subsets in Hilbert spaces for solutions to infinite-dimensional stochastic differential equations (SDEs) under mild assumptions on the coefficients. Our…

We establish the large deviation principle for stochastic differential equations with averaging in the case when all coefficients of the fast component depend on the slow one, including diffusion.

Given a smooth compact surface without focal points and of higher genus, it is shown that its geodesic flow is semi-conjugate to a continuous expansive flow with a local product structure such that the semi-conjugation preserves…

An approximate maximum likelihood method of estimation of diffusion parameters $(\vartheta,\sigma)$ based on discrete observations of a diffusion $X$ along fixed time-interval $[0,T]$ and Euler approximation of integrals is analyzed. We…

The celebrated De Giorgi-Nash-Moser theory ensures that solutions to uniformly elliptic or parabolic PDEs are bounded and H\"older continuous, even with merely bounded measurable coefficients. For parabolic SPDEs with transport noise,…

This article studies the dynamics of the strong solution of a SDE driven by a discontinuous L\'evy process taking values in a smooth foliated manifold with compact leaves. It is assumed that it is \textit{foliated} in the sense that its…

The aim of this paper is to derive a new equation (the \emph{acoustic-drift equation} (ADE)) describing the generation of a flow by an acoustic wave. We consider acoustic waves of perfect barotropic gas as the zero-order solution and derive…

We consider an SDE in R^m of the type dX(t)=a(X(t))dt+dU(t) with a L\'evy process U and study the problem for the distribution of a solution to be regular in various senses. We do not impose any specific conditions on the L\'evy measure of…

We consider a multidimensional SDE with a Gaussian noise and a drift vector being a vector function of bounded variation. We prove the existence of generalized derivative of the solution with respect to the initial conditions and represent…

We prove the strong completeness for a class of non-degenerate SDEs, whose coefficients are not necessarily uniformly elliptic nor locally Lipschitz continuous nor bounded. Moreover, for each $t$, the solution flow $F_t$ is weakly…

We study the transport of Gaussian measures under the flow of the 2-dimensional defocusing Schr\"odinger equation $i \partial_t u + \Delta u = |u|^{2k} u$ posed on $\mathbb T^2$. In particular, we show that the Gaussian measures with…