Related papers: Small time asymptotics for stochastic evolution eq…
The limiting stability of invariant probability measures of time homogeneous transition semigroups for autonomous stochastic systems has been extensively discussed in the literature. In this paper we initially initiate a program to study…
This paper devoted to study of fractional elliptic equations driven a multiplicative noise. By combining the eigenfunction expansion method for symmetry elliptic operators, the variation of constant formula for strong solutions to scalar…
In this paper, we study the precise late-time asymptotic behaviour of small data solutions for the Vlasov-Poisson system in dimension three. First, we show that the spatial density and the force field satisfy asymptotic self-similar…
In this paper, it is proved that, in a dual context, asymptotic expansions of ordinary linear time-differential equations which possess limiting equations to their limiting equations might be obtained by first discretizing them and then…
An inductive procedure is developed to calculate the asymptotic behavior at time zero of a diffusion with polynomial drift and degenerate, additive noise. The procedure gives rise to two different rescalings of the process; namely, a…
We prove a large deviation principle result for solutions of abstract stochastic evolution equations perturbed by small Levy noise. We use general large deviations theorems of Varadhan and Bryc, viscosity solutions of integro-partial…
In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization…
This paper investigates the well-posedness and small-noise asymptotics of a class of stochastic partial differential equations defined on a bounded domain of $\mathbb{R}^d$, where the diffusion coefficient depends nonlinearly and…
We study small noise large deviation asymptotics for stochastic differential equations with a multiplicative noise given as a fractional Brownian motion $B^H$ with Hurst parameter $H>\frac12$. The solutions of the stochastic differential…
We study a class of stochastic evolution equations with a dissipative forcing nonlinearity and additive noise. The noise is assumed to satisfy rather general assumptions about the form of the covariance function; our framework covers…
We present a scaling technique which transforms the evolution problem for a nonlinear wave equation with small initial data to a linear wave equation with a distributional source. The exact solution of the latter uniformly approximates the…
We introduce an explicit, adaptive time-stepping scheme for the simulation of SPDEs with one-sided Lipschitz drift coefficients. Strong convergence rates are proven for the full space-time discretisation with multiplicative trace-class…
We prove a Freidlin-Wentzell large deviation principle for general stochastic evolution equations with small perturbation multiplicative noises. In particular, our general result can be used to deal with a large class of quasi linear…
The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma<1$ is widely studied in mathematical finance. Several works have proposed asymptotic analysis of…
The large-time asymptotics of the density matrix solving a drift-diffusion-Poisson model for the spin-polarized electron transport in semiconductors is proved. The equations are analyzed in a bounded domain with initial and Dirichlet…
In this paper, we consider parameter estimation for stochastic differential equations driven by Wiener processes and compound Poisson processes. We assume unknown parameters corresponding to coefficients of the drift term, diffusion term,…
We prove existence, uniqueness and Lipschitz dependence on the initial datum for mild solutions of stochastic partial differential equations with Lipschitz coefficients driven by Wiener and Poisson noise. Under additional assumptions, we…
The goal of the paper is to analytically examine escape probabilities for dynamical systems driven by symmetric $\alpha$-stable L\'evy motions. Since escape probabilities are solutions of a type of integro-differential equations (i.e.,…
This paper investigates the asymptotic behaviour of solutions of periodic evolution equations. Starting with a general result concerning the quantified asymptotic behaviour of periodic evolution families we go on to consider a special class…
We study two problems. First, we consider the large deviation behavior of empirical measures of certain diffusion processes as, simultaneously, the time horizon becomes large and noise becomes vanishingly small. The law of large numbers…