Related papers: Harnack Inequalities for Stochastic (Functional) D…
The couplings by change of measure are applied to establish log-Harnack inequality(equivalently the entropy-cost estimate) for conditional McKean-Vlasov SDEs and derive the quantitative conditional propagation of chaos in relative entropy…
We prove the intrinsic Harnack's inequality for a general form of a parabolic equation that generalizes both the standard parabolic $p$-Laplace equation and the normalized version arising from stochastic game theory. We prove each result…
We present a general method to construct couplings of stochastic differential equations driven by L\'{e}vy noise in terms of coupling operators. This approach covers both coupling by reflection and refined basic coupling which are often…
We consider linear n-th order stochastic differential equations on [0,1], with linear boundary conditions supported by a finite subset of [0,1]. We study some features of the solution to these problems, and especially its conditional…
Solutions to Laplace's equation are called harmonic functions. Harmonic functions arise in many applications, such as physics and the theory of stochastic processes. Of interest classically are harmonic polynomials, which have a simple…
Parameter estimation for non-stationary stochastic differential equations (SDE) with an arbitrary nonlinear drift, and nonlinear diffusion is accomplished in combination with a non-parametric clustering methodology. Such a model-based…
In the paper we prove several inequalities involving two isotonic linear functionals. We consider inequalities for functions with variable bounds, for Lipschitz and H\" older type functions etc. These results give us an elegant method for…
By using lower bound conditions of the L\'evy measure, derivative formulae and Harnack inequalities are derived for linear stochastic differential equations driven by L\'evy processes. As applications, explicit gradient estimates and heat…
We show that a problem on minimal periods of solutions of Lipschitz functional differential equations is closely related to the unique solvability of the periodic problem for linear functional differential equations. Sharp bounds for…
We consider nonlinear integro-differential equations, like the ones that arise from stochastic control problems with purely jump L\`evy processes. We obtain a nonlocal version of the ABP estimate, Harnack inequality, and interior…
The asymptotic log-Harnack inequality is established for several different models of stochastic differential systems with infinite memory: non-degenerate SDEs, Neutral SDEs, semi-linear SPDEs, and stochastic Hamiltonian systems. As…
Our main goal is to investigate supercritical Hardy-Sobolev type inequalities with a logarithmic term and their corresponding variational problem. We prove the existence of extremal functions for the associated variational problem, despite…
The fundamental importance of functional differential equations has been recognized in many areas of mathematical physics, such as fluid dynamics (Hopf characteristic functional equation), quantum field theory (Schwinger-Dyson equations)…
It is known that solutions to second order uniformly elliptic and parabolic equations, either in divergence or nondivergence (general) form, are H\"{o}lder continuous and satisfy the interior Harnack inequality. We show that even in the…
In this paper, the distribution dependent stochastic differential equation in a separable Hilbert space with a Dini continuous drift is investigated. The existence and uniqueness of weak and strong solutions are obtained. Moreover, some…
In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for…
In this paper, the existence and pathwise uniqueness of strong solutions for jump-type stochastic differential equations are investigated under non-Lipschitz conditions. A sufficient condition is obtained for ensuring the non-confluent…
We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, e.g. a fractional Brownian motion. In the…
We establish a Harnack inequality of fractional Laplace equations without imposing sign condition on the coefficient of zero order term via the Moser's iteration and John-Nirenberg inequality.
We consider a class of second order degenerate kinetic operators $\mathscr{L}$ in the framework of special relativity. We first describe $\mathscr{L}$ as an H\"ormander operator which is invariant with respect to Lorentz transformations.…