Related papers: Sharp regularity near an absorbing boundary for so…

We investigate the validity and accuracy of weak-noise (saddle-point or instanton) approximations for piecewise-smooth stochastic differential equations (SDEs), taking as an illustrative example a piecewise-constant SDE, which serves as a…

We present existence, uniqueness, and sharp regularity results of solution to the stochastic partial differential equation (SPDE) \begin{align} \label{abs eqn} du=(a^{ij}(\omega,t)u_{x^ix^j}+f)dt + (\sigma^{ik}(\omega,t)u_{x^i}+g^k)dw^k_t,…

We study multiplicative SDEs perturbed by an additive fractional Brownian motion on another probability space. Provided the Hurst parameter is chosen in a specified regime, we establish existence of probabilistically weak solutions to the…

After a general introduction about the regularization by noise phenomenon in the degenerate setting, the first part of this PhD thesis focuses at establishing the Schauder estimates, a useful analytical tool to prove also the well-posedness…

We unify and extend the semigroup and the PDE approaches to stochastic maximal regularity of time-dependent semilinear parabolic problems with noise given by a cylindrical Brownian motion. We treat random coefficients that are only…

This article offers sharp spatial and temporal mean-square regularity results for a class of semi-linear parabolic stochastic partial differential equations (SPDEs) driven by infinite dimensional fractional Brownian motion with the Hurst…

Let $d\geq 2$. In this paper, we investigate the following stochastic differential equation (SDE) in ${\mathbb R}^d$ driven by Brownian motion $$ {\rm d} X_t=b(t,X_t){\rm d} t+\sqrt{2}{\rm d} W_t, $$ where $b$ belongs to the space ${\mathbb…

In this work, we will show the existence and uniqueness of the solution to the semi linear stochastic differential equations driven by weighted fractional Brownian motion with delay. We also prove smoothness of the density of the solution…

We consider stochastic differential equations of the form $dY_t=V(Y_t)\,dX_t+V_0(Y_t)\,dt$ driven by a multi-dimensional Gaussian process. Under the assumption that the vector fields $V_0$ and $V=(V_1,\ldots,V_d)$ satisfy H\"{o}rmander's…

In this paper we study the existence and uniqueness of the strong solution of following d dimensional stochastic differential equation (SDE) driven by Brownian motion: dX(t)=b(t,X(t))dt+a(t,X(t))dB(t), X(0)= x, where B is a d-dimensional…

We give meaning to linear and semi-linear (possibly degenerate) parabolic partial differential equations with (affine) linear rough path noise and establish stability in a rough path metric. In the case of enhanced Brownian motion (Brownian…

We prove a regularization by noise phenomenon for semilinear SPDEs driven by multiplicative cylindrical Brownian motion and singular diffusion coefficient. The analysis is based on a combination of infinite dimensional generalizations of…

In this paper we study upper bounds for the density of solution of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/3. We show that under some geometric conditions, in the regular case H >…

Recently, it has been shown in [Jentzen, A., M\"uller-Gronbach, T., and Yaroslavtseva, L., Commun. Math. Sci., 14, 2016] that there exists a system of autonomous stochastic differential equations (SDE) on the time interval $[0,T]$ with…

We establish strong uniqueness for a class of degenerate SDEs of weak H{\"o}rmander type under suitable H{\"o}lder regularity conditions for the associated drift term. Our approach relies on the Zvonkin transform which requires to exhibit…

We consider a broad class of semilinear SPDEs with multiplicative noise driven by a finite-dimensional Wiener process. We show that, provided that an infinite-dimensional analogue of H\"ormander's bracket condition holds, the Malliavin…

The free-boundary compressible 1-D Euler equations with moving physical vacuum boundary are a system of hyperbolic conservation laws which are both characteristic and degenerate. The physical vacuum singularity (or rate-of-degeneracy)…

We study the existence of a unique solution to semilinear fractional backward doubly stochastic differential equation driven by a Brownian motion and a fractional Brownian motion with Hurst parameter less than 1/2. Here the stochastic…

We establish weak existence and uniqueness for random field solutions of the one-dimensional SPDE \[ d_tX_t = \frac{1}{2}\Delta X_t +h(X_t)+ \sqrt{X_t}\dot{W}, \quad t\geq 0,\] where $\dot{W}$ is space-time white noise and $h$ is a bounded…

We consider regularity properties of stochastic kinetic equations with multiplicative noise and drift term which belongs to a space of mixed regularity ($L^p$-regularity in the velocity-variable and Sobolev regularity in the…