Related papers: Invariant manifolds with boundary for jump-diffusi…
We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…
We present a criterion for the stochastic completeness of a submanifold in terms of its distance to a hypersurface in the ambient space. This relies in a suitable version of the Hessian comparison theorem. In the sequel we apply a…
We study a sequential estimation problem for an unknown reward in the presence of a random horizon. The reward takes one of two predetermined values which can be inferred from the drift of a Wiener process, which serves as a signal. The…
Several two-boundary problems are solved for a special L\'{e}vy process: the Poisson process with an exponential component. The jumps of this process are controlled by a homogeneous Poisson process, the positive jump size distribution is…
In this paper, we study the stochastic Hamiltonian flow in Wasserstein manifold, the probability density space equipped with $L^2$-Wasserstein metric tensor, via the Wong--Zakai approximation. We begin our investigation by showing that the…
The paper is devoted to the derivation of random unitary matrices whose spectral statistics is the same as statistics of quantum eigenvalues of certain deterministic two-dimensional barrier billiards. These random matrices are extracted…
We consider a randomly forced Ginzburg-Landau equation on an unbounded domain. The forcing is smooth and homogeneous in space and white noise in time. We prove existence and smoothness of solutions, existence of an invariant measure for the…
The aim of this paper is to study, in the infinite dimensional framework, the existence and uniqueness for the solution of the following multivalued generalized backward stochastic differential equation, considered on a random, possibly…
We study the long time statistics of a class of semi--linear damped wave equations with polynomial nonlinearities and perturbed by additive Gaussian noise in dimensions 2 and 3. We find that if sufficiently many directions in the phase…
The extension of bivariate measures of dependence to non-Euclidean spaces is a challenging problem. The non-linear nature of these spaces makes the generalisation of classical measures of linear dependence (such as the covariance) not…
We prove the unique solvability in weighted Sobolev spaces of non-divergence form elliptic and parabolic equations on a half space with the homogeneous Neumann boundary condition. All the leading coefficients are assumed to be only…
This paper deals with Poisson processes on an arbitrary measurable space. Using a direct approach, we derive formulae for moments and cumulants of a vector of multiple Wiener-It\^o integrals with respect to the compensated Poisson process.…
We study invariant random fields of nonlinear multiplicative stochastic heat equations in the weak disorder regime. Under a natural second-moment condition, we show that positive invariant fields are in one-to-one correspondence with…
We integrate in closed implicit form the Navier-Stokes equations for an incompressible fluid and the kinematical dynamo equation, in smooth manifolds and Euclidean space. This integration is carried out by applying Stochastic Differential…
We introduce a technique to merge two biased Brownian motions into a single regular process. The outcome follows a stochastic differential equation with a constant diffusion coefficient and a non-linear drift. The emerging stochastic…
This article surveys recent results aiming at obtaining refined mapping estimates for the X-ray transform on a Riemannian manifold with boundary, which leverage the condition that the boundary be strictly geodesically convex. These…
Irreversible drift-diffusion processes are very common in biochemical reactions. They have a non-equilibrium stationary state (invariant measure) which does not satisfy detailed balance. For the corresponding Fokker-Planck equation on a…
We develop a general framework for establishing non-uniqueness of stationary measures for stochastically forced dynamical systems possessing an almost surely invariant submanifold. Our main abstract result provides sufficient conditions for…
The primitive equations for geophysical flows are studied under the influence of {\em stochastic wind driven boundary conditions} modeled by a cylindrical Wiener process. We adapt an approach by Da Prato and Zabczyk for stochastic boundary…
Ciesielski's isomorphism between the space of alpha-H\"older continuous functions and the space of bounded sequences is used to give an alternative proof of the large deviation principle for Wiener processes with values in Hilbert space.