Related papers: Stochastic Delay Differential Equations with Jump …
We study the problem of approximation of solutions of the Skorokhod problem and reflecting stochastic differential equations (SDEs) with jumps by sequences of solutions of equations with penalization terms. Applications to discrete…
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…
We study invariance and monotonicity properties of Kunita-type stochastic differential equations in $\RR^d$ with delay. Our first result provides sufficient conditions for the invariance of closed subsets of $\RR^d$. Then we present a…
We prove existence of invariant measures for the Markovian semigroup generated by the solution to a parabolic semilinear stochastic PDE whose nonlinear drift term satisfies only a kind of symmetry condition on its behavior at infinity, but…
We study the existence and uniqueness of a solution for the multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type): \[ \left\{\begin{array} [c]{r} dX(t)+\partial\varphi\left(X(t)\right)…
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function. To address this, we adopt a game-theoretic framework and…
This paper establishes the well-posedness of stochastic partial differential equations with reflection in an infinite-dimensional ball, within the fully local monotone framework. Our result is very general, including many important models…
This paper investigates a new class of equations called measure functional differential equations with state-dependent delays. We establish the existence and uniqueness of solutions and present a discussion concerning the appropriate phase…
In this paper, a new decay estimate for a class of stochastic evolution equations with weakly dissipative drifts is established, which directly implies the uniqueness of invariant measures for the corresponding transition semigroups.…
In this paper, we prove that there exists a unique strong solution to reflecting stochastic differential equations with merely measurable drift giving an affirmative answer to the longstanding problem. This is done through Zvonkin…
This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…
This paper deals with a consistent estimator of the multifunction involved in a time-discretized Skorokhod reflection problem defined by a stochastic differential equation and a Moreau sweeping process.
In this article, we study stochastic partial differential equations with two reflecting walls, driven by space-time white noise with non-constant diffusion coefficients under periodic boundary conditions. The existence and uniqueness of…
We consider a stochastic partial differential equation (SPDE) model for chemorepulsion, with non-linear sensitivity on the one-dimensional torus. We show that for any suitable initial data there exists a pathwise unique, global solution to…
This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These…
We consider a stochastic electroconvection model describing the nonlinear evolution of a surface charge density in a two-dimensional fluid with additive stochastic forcing. We prove the existence and uniqueness of solutions and we show that…
We consider a stochastic partial differential equation with two logarithmic nonlinearities, with two reflections at 1 and -1 and with a constraint of conservation of the space average. The equation, driven by the derivative in space of a…
Understanding how time delays impact the stability of a delay differential equation is important for modeling many natural and technological systems that experience time delays. Here we introduce a new stability criterion for…
In this paper, we prove the existence and uniqueness of the solution for neutral stochastic differential delay equations with locally monotone coefficients by using numerical approximation. An example is provided to illustrate our theory.
For the stochastic differential equation (SDE) which has piecewise continuous arguments (PCAs), is driven by multiplicative noises and its drift coefficients are dissipative, we show that the solution at integer time is a Markov chain and…