Related papers: Diffusion limit for a stochastic kinetic problem
We consider a generalization of classical results of Freidlin and Wentzell to the case of time dependent dissipative drifts. We show the convergence of diffusions with multiplicative noise in the zero limit of a diffusivity parameter to the…
We consider stochastic non-linear diffusion equations with a highly singular diffusivity term and multiplicative gradient-type noise. We study existence and uniqueness of non-negative variational solutions in terms of stochastic variational…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
In this paper we study model reduction of linear and bilinear quadratic stochastic control problems with parameter uncertainties. Specifically, we consider slow-fast systems with unknown diffusion coefficient and study the convergence of…
Motivated by stochastic convection-diffusion problems we derive a posteriori error estimates for non-stationary non-linear convection-diffusion equations acting as a deterministic paradigm. The problem considered here neither fits into the…
We study the limiting behaviour of the empirical measure of a system of diffusions interacting through their ranks when the number of diffusions tends to infinity. We prove that the limiting dynamics is given by a McKean-Vlasov evolution…
We investigate coupled stochastic differential equations governing N non-negative continuous random variables that satisfy a conservation principle. In various fields a conservation law requires that a set of fluctuating variables be…
We study the notion of stochastic stability with respect to diffusive perturbations for flows with smooth invariant measures. We investigate the question fully for non-singular flows on the circle. We also show that volume-preserving flows…
We consider the problem of the Bayesian inference of drift and diffusion coefficient functions in a stochastic differential equation given discrete observations of a realisation of its solution. We give conditions for the well-posedness and…
A change of variables is introduced to reduce certain nonlinear stochastic evolution equations with multiplicative noise to the corresponding deterministic equation. The result is then used to investigate a stochastic porous medium…
We consider an evolution equation with the regularized fractional derivative of an order $\alpha \in (0,1)$ with respect to the time variable, and a uniformly elliptic operator with variable coefficients acting in the spatial variables.…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
We study the persistence and propagation (or blocking) phenomena for a species in periodically hostile environments. The problem is described by a reaction-diffusion equation with zero Dirichlet boundary condition. We first derive the…
In this paper, we study stochastic homogenization of a coupled diffusion-reaction system. The diffusion-reaction system is coupled to stochastic differential equations, which govern the changes in the media properties. Though homogenization…
We consider a Poisson equation in $\mathbb R^d$ for the elliptic operator corresponding to an ergodic diffusion process. Optimal regularity and smoothness with respect to the parameter are obtained under mild conditions on the coefficients.…
We consider the singular limit of a bistable reaction diffusion equation in the case when the velocity of the traveling wave solution depends on the space variable and converges to a discontinuous function. We show that the family of…
In this paper, we combine deterministic splitting methods with a polynomial chaos expansion method for solving stochastic parabolic evolution problems. The stochastic differential equation is reduced to a system of deterministic equations…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
The diffusion of finite-size hard-core interacting particles in two- or three-dimensional confined domains is considered in the limit that the confinement dimensions become comparable to the particle's dimensions. The result is a nonlinear…
One of the central challenges in kinetic theory is the derivation of macroscopic evolution equations--describing, for example, the dynamics of an electron gas--from the underlying fundamental microscopic laws of classical or quantum…