Related papers: It\^{o} isomorphisms for $L^{p}$-valued Poisson st…

In this paper, we study the existence of random periodic solutions for semilinear stochastic partial differential equations with multiplicative linear noise on a bounded open domain ${\cal O}\subset {\mathbb R}^d$ with smooth boundary. We…

A class of (possibly) degenerate stochastic integro-differential equations of parabolic type is considered, which includes the Zakai equation in nonlinear filtering for jump diffusions. Existence and uniqueness of the solutions are…

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…

Isotonic regression is a nonparametric approach for fitting monotonic models to data that has been widely studied from both theoretical and practical perspectives. However, this approach encounters computational and statistical overfitting…

Additive isotonic regression attempts to determine the relationship between a multi-dimensional observation variable and a response, under the constraint that the estimate is the additive sum of univariate component effects that are…

This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random…

In this article we show that the ordinary stochastic differential equations of K.It\^{o} maybe considered as part of a larger class of second order stochastic PDE's that are quasi linear and have the property of translation invariance. We…

We consider the stochastic incompressible magnetohydrodynamic equations driven by additive jump noises on either the whole space $\mathbb{R}^d$, $d=2,3$ or a smooth bounded domain $D$ in $\mathbb{R}^d$. We establish the local existence and…

This paper introduces a new stochastic process with values in the set Z of integers with sign. The increments of process are Poisson differences and the dynamics has an autoregressive structure. We study the properties of the process and…

This paper studies finite-horizon stochastic linear-quadratic optimal control problems with random coefficients and Poisson jumps, where the weighting matrices may be random and indefinite. Under a uniform convexity condition on the cost…

We prove a local regularity result for distributional solutions of the Poisson's equation with $L^p$ data. We use a very short argument based on Weyl's lemma and Riesz-Fr\'echet representation theorem.

The multiplicative Newton-like method developed by the author et al. is extended to the situation where the dynamics is restricted to the orthogonal group. A general framework is constructed without specifying the cost function. Though the…

In this paper exponential stability of nonlinear fractional order stochastic system with Poisson jumps is studied in finite dimensional space. Existence and uniqueness of solution, stability and exponential stability results are established…

We derive optimal estimates in stochastic homogenization of linear elliptic equations in divergence form in dimensions $d\ge 2$. In previous works we studied the model problem of a discrete elliptic equation on $\mathbb{Z}^d$. Under the…

We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…

In this paper we investigate the validity of first and second order $L^{p}$ estimates for the solutions of the Poisson equation depending on the geometry of the underlying manifold. We first present $L^{p}$ estimates of the gradient under…

In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have some fundamental differences from the well-known…

In this article we consider existence and uniqueness of the solutions to a large class of stochastic partial differential of form $\partial_t u = L_x u + b(t,u)+\sigma(t,u)\dot{W}$, driven by a Gaussian noise $\dot{W}$, white in time and…

We consider a ranking problem where we have noisy observations from a matrix with isotonic columns whose rows have been permuted by some permutation $\pi$ *. This encompasses many models, including crowd-labeling and ranking in tournaments…

The work concerns multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the existence and uniqueness of strong solutions for multivalued McKean-Vlasov stochastic differential equations with non-Lipschitz…