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Existence and uniqueness theorems for quantum stochastic differential equations with nontrivial initial conditions are proved for coefficients with completely bounded columns. Applications are given for the case of finite-dimensional…
This paper is concerned with the decoupling of delayed linear forward-backward stochastic differential equations (D-FBSDEs), which is much more involved than the delay-free case due to the infinite dimension caused by the delay. A new…
In the present paper, we give some examples of stochastic differential equations which have delicateness in the Markov and strong Markov properties, the uniqueness locally in time and globally in time, and initial conditions. Moreover, we…
We develop a well-posedness theory for second order systems in bounded domains where boundary phenomena like glancing and surface waves play an important role. Attempts have previously been made to write a second order system consisting of…
Lie's linearizability criteria for scalar second-order ordinary differential equations had been extended to systems of second-order ordinary differential equations by using geometric methods. These methods not only yield the linearizing…
The paper considers a stochastic differential equation of Duffing type with Markov coefficients. The existence of unpredictable solutions is considered. The unpredictability is a property of bounded functions characterized by unbounded…
In this study, we investigate a mixed problem linked to a second-order parabolic equation, characterized by temporal dependencies and variable~coefficients, and constrained by non-local, non-self-adjoint boundary conditions. By defining…
We study the dynamics of two-dimensional (2D) localized modes in the nonlinear lattice described by the discrete nonlinear Schr\"{o}dinger (DNLS) equation, including a local linear or nonlinear defect. Discrete solitons pinned to the…
We consider stochastic dynamical systems defined by differential equations with a uniform random time delay. The latter equations are shown to be equivalent to deterministic higher-order differential equations: for an $n$-th order equation…
Spatial differentiability of solutions of stochastic differential equations (SDEs) is a classical question in stochastic analysis. The case of coefficients with globally Lipschitz continuous derivatives is well understood in the literature.…
Viewing a two time scale stochastic approximation scheme as a noisy discretization of a singularly perturbed differential equation, we obtain a concentration bound for its iterates that captures its behavior with quantifiable high…
We give necessary and/or sufficient conditions for stochastic stability of second-order linear autonomous systems with parameters, which are perturbed by a random process of the "white noise" type. The Ito's and Stratonovich's forms of…
We consider fractional stochastic heat equations of the form $\frac{\partial u_t(x)}{\partial t} = -(-\Delta)^{\alpha/2} u_t(x)+\lambda \sigma (u_t(x)) \dot F(t,\, x)$. Here $\dot F$ denotes the noise term. Under suitable assumptions, we…
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…
We provide sufficient conditions for the existence of invariant probability measures for generic stochastic differential equations with finite time delay. This is achieved by means of the Krylov-Bogoliubov method. Furthermore, we focus on…
We propose a method to compute an approximation of the moments of a discrete-time stochastic polynomial system. We use the Carleman linearization technique to transform this finite-dimensional polynomial system into an infinite-dimensional…
In this paper, the problem of stability in terms of two measures is considered for a class of stochastic partial differential delay equations with switching. Sufficient conditions for stability in terms of two measures are obtained based on…
Estimation of the degree of stability and the bounds of solutions to non-autonomous nonlinear systems present major concerns in numerous applied problems. Yet, current techniques are frequently yield overconservative conditions which are…
We establish well-posedness and maximal regularity estimates for linear parabolic SPDE in divergence form involving random coefficients that are merely bounded and measurable in the time, space, and probability variables. To reach this…
In the stochastic formulation of chemical kinetics, the stationary moments of the population count of species can be described via a set of linear equations. However, except for some specific cases such as systems with linear reaction…