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Sticky diffusion models a Markovian particle experiencing reflection and temporary adhesion phenomena at the boundary. Numerous numerical schemes exist for approximating stopped or reflected stochastic differential equations (SDEs), but…
We introduce the concept of stochastic measure-valued solutions to the complete Euler system describing the motion of a compressible inviscid fluid subject to stochastic forcing, where the nonlinear terms are described by defect measures.…
The paper is dedicated to studying the problem of existence and uniqueness of solutions as well as existence of and exponential convergence to invariant measures for McKean-Vlasov stochastic differential equations with Markovian switching.…
A stochastic algorithm is proposed, finding some elements from the set of intrinsic $p$-mean(s) associated to a probability measure $\nu$ on a compact Riemannian manifold and to $p\in[1,\infty)$. It is fed sequentially with independent…
Using proof-theoretic methods in the style of proof mining, we give novel computationally effective limit theorems for the convergence of the Cesaro-means of certain sequences of random variables. These results are intimately related to…
This paper is devoted to proving the strong averaging principle for slow-fast stochastic partial differential equations with locally monotone coefficients, where the slow component is a stochastic partial differential equations with locally…
This paper deals with the space-homogenous Landau equation with very soft potentials, including the Coulomb case. This nonlinear equation is of parabolic type with diffusion matrix given by the convolution product of the solution with the…
The purpose of this paper is to study the existence of (weak) periodic solutions for nonlocal fractional equations with periodic boundary conditions. These equations have a variational structure and, by applying a critical point result…
In order to characterize the fluctuation between the ergodic limit and the time-averaging estimator of a full discretization in a quantitative way, we establish a central limit theorem for the full discretization of the parabolic stochastic…
We study linear backward stochastic partial differential equations of parabolic type with special boundary conditions in time. The standard Cauchy condition at the terminal time is replaced by a condition that holds almost surely and mixes…
Let $\eta_t$ be a Poisson point process with intensity measure $t\mu$, $t>0$, over a Borel space $\mathbb{X}$, where $\mu$ is a fixed measure. Another point process $\xi_t$ on the real line is constructed by applying a symmetric function…
We survey and refine recent results on weak and strong well-posedness of stochastic differential equations with singular drift satisfying some minimal assumptions.
The large time behaviour of nonnegative solutions to a quasilinear degenerate diffusion equation with a source term depending solely on the gradient is investigated. After a suitable rescaling of time, convergence to a unique profile is…
We consider the long time limit theorems for the solutions of a discrete wave equation with a weak stochastic forcing. The multiplicative noise conserves the energy and the momentum. We obtain a time-inhomogeneous Ornstein-Uhlenbeck…
We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Local limit theorems for transition densities are proved. The observation time [0,T] may be fixed or lim n T = 0, where nh = T and h is a mesh…
We develop a method to prove almost global stability of stochastic differential equations in the sense that almost every initial point (with respect to the Lebesgue measure) is asymptotically attracted to the origin with unit probability.…
Concerning Numerical Stochastic Perturbation Theory, we discuss the convergence of the stochastic process (idea of the proof, features of the limit distribution, rate of convergence to equilibrium). Then we also discuss the expected…
We study the limit of a kinetic evolution equation involving a small parameter and perturbed by a smooth random term which also involves the small parameter. Generalizing the classical method of perturbed test functions, we show the…
We consider a system of diffusing particles on the real line in a quadratic external potential and with repulsive electrostatic interaction. The empirical measure process is known to converge weakly to a deterministic measure-valued process…
A new method for numerical solving of boundary problem for ordinary differential equations with slowly varying coefficients which is aimed at better representation of solutions in the regions of their rapid oscillations or exponential…