Related papers: One-dimensional Stochastic Differential Equations …
We show that a substantial portion of stochastic calculus can be developed along similar lines to ordinary calculus, with derivative-based concepts driving the development. We define a notion of stopping derivative, which is a form of right…
The set of common numerical and analytical problems is introduced in the form of the generalized multidimensional discrete Poisson equation. It is shown that its solutions with square-summable discrete derivatives are unique up to a…
We study the long-time behaviour of solutions to a class of $d$-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H \in (0,1)$. The drift consists of a dissipative Lipschitz term and a…
We generalize the Hamilton-Jacobi formulation for higher order singular systems and obtain the equations of motion as total differential equations. To do this we first study the constraint structure present in such systems.
A delayed term in a differential equation reflects the fact that information takes significant time to travel from one place to another within a process being studied. Despite de apparent similarity with ordinary differential equations,…
We describe a class of explicit invariant measures for both finite and infinite dimensional Stochastic Differential Equations (SDE) driven by L\'evy noise. We first discuss in details the finite dimensional case with a linear, resp. non…
Generalized symmetry extends the usual notion of symmetry to ones that are of higher-form, acting on subsystems, non-invertible, etc. The concept was originally defined in the field theory context using the idea of topological defects. On…
The expressions of solutions for general $n\times m$ matrix-valued inhomogeneous linear stochastic differential equations are derived. This generalizes a result of Jaschke (2003) for scalar inhomogeneous linear stochastic differential…
In the pathwise stochastic calculus framework, the paper deals with the general study of equations driven by an additive Gaussian noise, with a drift function having an infinite limit at point zero. An ergodic theorem and the convergence of…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
Dynamical systems that are subject to continuous uncertain fluctuations can be modelled using Stochastic Differential Equations (SDEs). Controlling such system results in solving path constrained SDEs. Broadly, these problems fall under the…
We establish the well-posedness of SDE with the additive noise when a singular drift belongs to the critical spaces. We prove that if the drift belongs to the Orlicz-critical space $L^{q,1}([0,T],L^p_x)$ for $p,q\in (1,\infty)$ satisfying…
(Draft 3) A generalized differential operator on the real line is defined by means of a limiting process. These generalized derivatives include, as a special case, the classical derivative and current studies of fractional differential…
As the title ``Generalized regularity and solution concepts for differential equations'' suggests, the main topic of my thesis is the investigation of generalized solution concepts for differential equations, in particular first order…
Numerical solving differential equations with fractional derivatives requires elimination of the singularity which is inherent in the standard definition of fractional derivatives. The method of integration by parts to eliminate this…
We study existence and uniqueness for one-dimensional generalized stochastic differential equations with singular coefficients, including distributional drift and degenerate, possibly discontinuous, diffusion coefficients. Such…
We study stochastic differential equations (SDEs) with multiplicative Stratonovich-type noise of the form $ dX_t = b(X_t) dt + \sigma(X_t)\circ d W_t, X_0=x_0\in\mathbb{R}^d, t\geq0,$ with a possibly singular drift $b\in…
Classical Bianchi-Lie, Backlund and Darboux transformations are considered. Their generalizations for the dynamical systems are discussed. For the transformation being the generalization of the normal shift the special class of dynamical…
We consider discretizations of the Einstein action of general relativity such that the resulting discrete equations of motion form a consistent constrained system. Upon ``spin foam'' quantization of the system, consistency allows a natural…
In this paper, we establish a result for existence and uniqueness of stochastic differential equations on Riemannian manifolds, for regular inhomogeneous tensor coefficients with stochastic drift, under geometrical hypothesis on the…