Related papers: On Free Stochastic Differential Equations
We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This immediately leads to a formula for the distribution of the…
We study a kind of better recurrence than Kolmogorov's one: periodicity recurrence,which corresponds periodic solutions in distribution for stochastic differential equations. On the basis of technique of upper and lower solutions and…
In this paper, with the help of previously constructed self-similar solutions, a solution of the Cauchy problem for an equation of even order with a fractional Riemann-Liouville derivative of order $1<\alpha<2$ is obtained.
We give a causal interpretation of stochastic differential equations (SDEs) by defining the postintervention SDE resulting from an intervention in an SDE. We show that under Lipschitz conditions, the solution to the postintervention SDE is…
The present article investigates the convergence of a class of space-time discretization schemes for the Cauchy problem for linear parabolic stochastic partial differential equations (SPDEs) defined on the whole space. Sufficient conditions…
The aim of this work is to prove existence and uniqueness of $L^{2}-$solutions of stochastic fractional partial differential equations in one spatial dimension. We prove also the equivalence between several notions of $L^{2}-$solutions. The…
Stochastic differential equations (SDEs), which models uncertain phenomena as the time evolution of random variables, are exploited in various fields of natural and social sciences such as finance. Since SDEs rarely admit analytical…
As is known, the problems for the differential equations with continuously changing order of the derivatives are not considered completely. In this paper we consider the initial and boundary value problems for this type of linear ordinary…
We consider evolution differential equations in Fr\'echet spaces that possess unconditional Schauder basis and construct a version of the majorant functions method to obtain existence theorems for Cauchy problems. Applications to PDE and…
In this paper, we derive sufficient conditions for each component of the solution to a general backward stochastic differential equation to have a density for which upper and lower Gaussian estimates can be obtained.
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
Stochastic partial differential equations (SPDEs) have become a key modelling tool in applications. Yet, there are many classes of SPDEs, where the existence and regularity theory for solutions is not completely developed. Here we…
We consider the Cauchy problem for stochastic fractional evolution equations with Caputo time fractional derivative of order $1<\alpha<2$ and space variable coefficients on an unbounded domain. The space derivatives that appear in the…
Ordinary differential equations of the second order with one constant delay are considered in this paper. An analytical representation of the solution is obtained using the method of steps.
In the analysis of stochastic dynamical systems described by stochastic differential equations (SDEs), it is often of interest to analyse the sensitivity of the expected value of a functional of the solution of the SDE with respect to…
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…
Finite dimensional solutions to a class of stochastic partial differential equations are obtained extending the differential constraints method for deterministic PDE to the stochastic framework. A geometrical reformulation of the stochastic…
This paper is to investigate if the solution of a hybrid stochastic functional differential equation (SFDE) with infinite delay can be approximated by the solution of the corresponding hybrid SFDE with finite delay. A positive result is…
In Rajeev (2013), 'Translation invariant diffusion in the space of tempered distributions', it was shown that there is an one to one correspondence between solutions of a class of finite dimensional SDEs and solutions of a class of SPDEs in…
We study the Stokes phenomenon for the solutions of general homogeneous linear moment partial differential equations with constant coefficients in two complex variables under condition that the Cauchy data are holomorphic on the complex…