Related papers: Forward Backward Stochastic Differential Equations…
The growth-fragmentation equation models systems of particles that grow and reproduce as time passes. An important question concerns the asymptotic behaviour of its solutions. Bertoin and Watson ($2018$) developed a probabilistic approach…
In these lecture notes, we address the problem of large-time asymptotic behaviour of the solutions to scalar convection-diffusion equations set in ${R}^N$. The large-time asymptotic behaviour of the solutions to many convection-diffusion…
We study the stochastic fractional diffusive limit of a kinetic equation involving a small parameter and perturbed by a smooth random term. Generalizing the method of perturbed test functions, under an appropriate scaling for the small…
We present a large deviation principle for some stochastic evolution equations with jumps which depend on two small parameters, when the viscosity parameter {\epsilon} tends to zero more quickly than the homogenization's one…
The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In particular, functional large deviation results are stated for small time. Several…
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…
We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton-Jacobi-Bellman type arising typically in stochastic control theory with control both on drift and diffusion coefficients. We prove that, as…
The almost sure rate of exponential-polynomial growth or decay of affine stochastic Volterra and affine stochastic finite-delay equations is investigated. These results are achieved under suitable smallness conditions on the intensities of…
We develop asymptotic approximations that can be applied to sequential estimation and inference problems, adaptive randomized controlled trials, and related settings. In batched adaptive settings where the decision at one stage can affect…
In this paper we study an asymptotic expansion for the distribution of a random motion of a particle driven by a Markov process in diffusion approximation. We show that the singularly perturbed equation of a Markovian random motion can be…
The large deviations principles are established for a class of multidimensional degenerate stochastic differential equations with reflecting boundary conditions. The results include two cases where the initial conditions are adapted and…
Bifurcations of self-similar solutions for reversing interfaces are studied in the slow diffusion equation with strong absorption. The self-similar solutions bifurcate from the time-independent solutions for standing interfaces. We show…
In this paper, we establish the large deviation principle for 3D stochastic primitive equations with small perturbation multiplicative noise. The proof is mainly based on the weak convergence approach.
In this paper we study the asymptotic behaviour of a nonlocal nonlinear parabolic equation governed by a parameter. After giving the existence of unique branch of solutions composed by stable solutions in stationary case, we gives for the…
In some cases, solutions to nonlinear PDEs happen to be asymptotically (for large $x$ and/or $t$) invariant under a group $G$ which is not a symmetry of the equation. After recalling the geometrical meaning of symmetries of differential…
Stochastic partial differential equations driven by Poisson random measures (PRM) have been proposed as models for many different physical systems, where they are viewed as a refinement of a corresponding noiseless partial differential…
We study the long-time behavior of localized solutions to linear or semilinear parabolic equations in the whole space $\mathbb{R}^n$, where $n \ge 2$, assuming that the diffusion matrix depends on the space variable $x$ and has a finite…
When considering fractional diffusion equation as model equation in analyzing anomalous diffusion processes, some important parameters in the model related to orders of the fractional derivatives, are often unknown and difficult to be…
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic…
In this paper we consider the global stability of solutions of an affine stochastic differential equation. The differential equation is a perturbed version of a globally stable linear autonomous equation with unique zero equilibrium where…