Related papers: Zero noise limits using local times
We study the large deviations principle for locally periodic stochastic differential equations with small noise and fast oscillating coefficients. There are three possible regimes depending on how fast the intensity of the noise goes to…
In this paper, we study averaging principle for a class of McKean-Vlasov stochastic differential equations (SDEs) that contain multiplicative fractional noise with Hurst parameter $H > $ 1/2 and highly oscillatory drift coefficient. Here…
Understanding the behavior of stochastic gradient methods is a central problem in modern machine learning. Recent work has highlighted diagonal linear networks as a simplified yet expressive setting for analyzing the optimization and…
We study statistical properties of a family of maps acting in the space of integer valued sequences, which model dynamics of simple deterministic traffic flows. We obtain asymptotic (as time goes to infinity) properties of trajectories of…
To obtain strong convergence rates of numerical schemes, an overwhelming majority of existing works impose a global monotonicity condition on coefficients of SDEs. Nevertheless, there are still many SDEs from applications that do not have…
We introduce stochastic normalizing flows, an extension of continuous normalizing flows for maximum likelihood estimation and variational inference (VI) using stochastic differential equations (SDEs). Using the theory of rough paths, the…
Motivated by problems from statistical analysis for discretely sampled SPDEs, first we derive central limit theorems for higher order finite differences applied to stochastic process with arbitrary finitely regular paths. These results are…
Inspired by the study of edge statistics of random band matrices, we investigate random walks on large $d$-dimensional periodic lattices, whose transition matrices are determined by discretized density functions. Under certain moment…
This paper aims to investigate the numerical approximation of a general second order parabolic stochastic partial differential equation(SPDE) driven by multiplicative and additive noise. Our main interest is on such SPDEs where the…
This paper addresses the optimal covariance steering problem for stochastic discrete-time linear systems subject to probabilistic state and control constraints. A method is presented for efficiently attaining the exact solution of the…
We study a class of discrete-time random walks in $\mathbb{R}^d$ whose conditional drift decays polynomially in time and grows polynomially with the distance from the origin to the current position. This class is related to several models…
We generalize Lyons' rough paths theory in order to give a pathwise meaning to some nonlinear infinite-dimensional evolution equation associated to an analytic semigroup and driven by an irregular noise. As an illustration, we discuss a…
We explore an asymptotic behavior of densities of sums of independent random variables that are convoluted with a small continuous noise.
We consider delay differential equations (DDE) that are on the verge of an instability, i.e. the characteristic equation for the linearized equation has one root as zero and all other roots have negative real parts. In presence of small…
Based on a compactness criterion for random fields in Wiener-Sobolev spaces, in this paper, we prove the unique strong solvability of time-inhomogeneous stochastic differential equations with drift coefficients in critical Lebesgue spaces,…
In this article, we have analyzed the full discretization of the Stochastic semilinear Schr\"{o}dinger equation in a bounded convex polygonal domain driven by multiplicative Wiener noise. We use the finite element method for spatial…
A dynamical system may be defined by a simple transition law - such as a map or a vector field. The objective of most learning techniques is to reconstruct this dynamic transition law. This is a major shortcoming, as most dynamic properties…
This paper deals with a version of the two-timing method which describes various `slow' effects caused by externally imposed `fast' oscillations. Such small oscillations are often called \emph{vibrations} and the research area can be…
We study in this paper the EM scheme for a family of well-posed critical SDEs with the drift $-x\log(1+|x|)$ and $\alpha$-stable noises. Specifically, we find that when the SDE is driven by a rotationally symmetric $\alpha$-stable processes…
The times of Brownian local minima, maxima and their union are three distinct examples of local, stationary, dense, random countable sets associated with classical Wiener noise. Being local means, roughly, determined by the local behavior…