Related papers: One-dimensional Stochastic Differential Equations …
We consider equations of the type: \[\partial_t \omega = \omega R(\omega),\] for general linear operators $R$ in any spatial dimension. We prove that such equations almost always exhibit finite-time singularities for smooth and localized…
The notion of moment differentiation is extended to the set of generalized multisums of formal power series via an appropriate integral representation and accurate estimates of the moment derivatives. The main result is applied to…
This paper focuses on recent works on McKean-Vlasov stochastic differential equations (SDEs) involving singular coefficients. After recalling the classical framework, we review existing recent literature depending on the type of…
In this article we study (possibly degenerate) stochastic differential equations (SDE) with irregular (or discontiuous) coefficients, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere…
We analyze the dynamics of streaming stochastic gradient descent (SGD) in the high-dimensional limit when applied to generalized linear models and multi-index models (e.g. logistic regression, phase retrieval) with general data-covariance.…
Using the adjoint action of the infinitesimal translations (with respect to some (in)dependant variables) on specific finite-dimensional subspaces of the space of generalized symmetries of some system of partial differential equations, we…
In this paper a drift-randomized Milstein method is introduced for the numerical solution of non-autonomous stochastic differential equations with non-differentiable drift coefficient functions. Compared to standard Milstein-type methods we…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
We provide a general framework for the stability of solutions to stochastic partial differential equations with respect to perturbations of the drift. More precisely, we consider stochastic partial differential equations with drift given as…
We show that any second order linear ordinary diffrential equation with constant coefficients (including the damped and undumped harmonic oscillator equation) admits an exact discretization, i.e., there exists a difference equation whose…
A formulation of singular classical theories (determined by degenerate Lagrangians) without constraints is presented. A partial Hamiltonian formalism in the phase space having an initially arbitrary number of momenta (which can be smaller…
A discretization of a continuum theory with constraints or conserved quantities is called mimetic if it mirrors the conserved laws or constraints of the continuum theory at the discrete level. Such discretizations have been found useful in…
The Dirichlet problem for a class of stochastic partial differential equations is studied in Sobolev spaces. The existence and uniqueness result is proved under certain compatibility conditions that ensure the finiteness of…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
Given a differential equation with infinite-dimensional symmetry pseudo-group it is shown, using an example, that it is generally not possible to construct enough joint invariants to form an invariant numerical scheme of the equation. To…
In the article we discuss the notion of the generalized invariant manifold introduced in our previous study. In the literature the method of the differential constraints is well known as a tool for constructing particular solutions for the…
We prove global well-posedness for a class of dissipative semilinear stochastic evolution equations with singular drift and multiplicative Wiener noise. In particular, the nonlinear term in the drift is the superposition operator associated…
We present a series of recent results on the well-posedness of very singular parabolic stochastic partial differential equations. These equations are such that the question of what it even means to be a solution is highly non-trivial. This…
Partial differential equations with discrete (concentrated) state-dependent delays in the space of continuous functions are investigated. In general, the corresponding initial value problem is not well posed, so we find an additional…
We examine a Wong-Zakai type approximation of a family of stochastic differential equations driven by a general cadlag semimartingale. For such an approximation, compared with the pointwise convergence result by Kurtz, Pardoux and Protter…