Related papers: One-dimensional Stochastic Differential Equations …
In this note, we shall consider the existence of invariant measures for a class of infinite dimensional stochastic functional differential equations with delay whose driving semigroup is eventually norm continuous. The results obtained are…
We study the notions of differentiating and non-differentiating sigma-fields in the general framework of (possibly drifted) Gaussian processes, and characterize their invariance properties under equivalent changes of probability measure. As…
In the present paper, classical tools of convex analysis are used to study the solution set to a certain class of set-inclusive generalized equations. A condition for the solution existence and global error bounds is established, in the…
A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an…
The technique of stochastic solutions, previously used for deterministic equations, is here proposed as a solution method for partial differential equations driven by distribution-valued noises.
We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
This paper is a survey of the generalized Hamiltonian gradient flow (GHGF) framework for Hamilton-Jacobi equations, with an emphasis on the propagation of singularities and its connections to weak KAM theory, optimal transport and mean…
In this paper linear stochastic transport and continuity equations with drift in critical $L^{p}$ spaces are considered. In this situation noise prevents shocks for the transport equation and singularities in the density for the continuity…
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…
One-dimensional stochastic differential equations with additive L\'evy noise are considered. Conditions for existence and uniqueness of a strong solution are obtained. In particular, if the noise is a L\'evy symmetric stable process with…
In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector field and a Wiener process. The results obtained in this paper…
In this article, we mainly study stochastic viscosity solutions for a class of semilinear stochastic integral-partial differential equations (SIPDEs). We investigate a new class of generalized backward doubly stochastic differential…
Domain generalization (DG) is the problem of generalizing from several distributions (or domains), for which labeled training data are available, to a new test domain for which no labeled data is available. For the prevailing benchmark…
We consider a one-dimensional Stochastic Differential Equation with reflection where we allow the drift to be merely bounded and measurable. It is already known that such equations have a unique strong solution. Recently, it has been shown…
Discrete multiplicative turbulent cascades are described using a formalism involving infinitely divisible random measures. This permits to consider the continuous limit of a cascade developed on a continuum of scales, and to provide the…
This note is concerned with an important for modelling question of existence of solutions of stochastic partial differential equations as proper stochastic processes, rather than processes in the generalized sense. We consider a first order…
A generalization of exterior calculus is considered by allowing the partial derivatives in the exterior derivative to assume fractional orders. That is, a fractional exterior derivative is defined. This is found to generate new vector…
Stochastic differential equations are ubiquitous modelling tools in physics and the sciences. In most modelling scenarios, random fluctuations driving dynamics or motion have some non-trivial temporal correlation structure, which renders…
Timeseries generated from a dynamical source can often be modeled as sample paths of a stochastic differential equation (SDE). The timeseries thus reflects the motion of a particle which flows along the direction provided by a drift /…