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The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker-Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with…
Existence, uniqueness, and regularity of a strong solution are obtained for stochastic PDEs with a colored noise $F$ and its super-linear diffusion coefficient: $$ du=(a^{ij}u_{x^ix^j}+b^iu_{x^i}+cu)dt+\xi|u|^{1+\lambda}dF, \quad…
Delattre et al. (2013) considered a system of stochastic differential equations (SDEs) in a random effects setup. Under the independent and identical (iid) situation, and assuming normal distribution of the random effects, they established…
The data-driven discovery of interpretable models approximating the underlying dynamics of a physical system has gained attraction in the past decade. Current approaches employ pre-specified functional forms or basis functions and often…
We study averaging for Stochastic Differential Equations (SDEs) and Poisson equations. We succeed in obtaining a uniform in time (UiT) averaging result, with a rate, for fully coupled SDE models with super-linearly growing coefficients.…
We introduce a generalized notion of semilinear elliptic partial differential equations where the corresponding second order partial differential operator $L$ has a generalized drift. We investigate existence and uniqueness of generalized…
We study stochastic differential equations (SDEs) of McKean-Vlasov type with distribution dependent drifts and driven by pure jump L\'{e}vy processes. We prove a uniform in time propagation of chaos result, providing quantitative bounds on…
In order to understand the impact of random influences at physical boundary on the evolution of multiscale systems, a stochastic partial differential equation model under a fast random dynamical boundary condition is investigated. The…
We focus in this paper on the stochastic stabilization problems of PDEs by Levy noise. Sufficient conditions under which the perturbed systems decay exponentially with a general rate function are provided and some examples are constructed…
Marcus stochastic differential equations (SDEs) often are appropriate models for stochastic dynamical systems driven by non-Gaussian Levy processes and have wide applications in engineering and physical sciences. The probability density of…
In this paper we present an $L^p$-theory for the stochastic partial differential equations (SPDEs in abbreciation) driven by L\'e{}vy processes. Existence and uniqueness of solutions in Sobolev spaces are obtained. The coefficients of SPDEs…
We consider the numerical approximation of general semilinear parabolic stochastic partial differential equations (SPDEs) driven by additive space-time noise. In contrast to the standard time stepping methods which uses basic increments of…
Stochastic partial differential equations (SPDEs) are ubiquitous in engineering and computational sciences. The stochasticity arises as a consequence of uncertainty in input parameters, constitutive relations, initial/boundary conditions,…
In this paper, we deal with the problem of estimating the intervention effect in the statistical causal analysis using the structural equation model and the causal diagram. The intervention effect is defined as a causal effect on the…
In this article, we adapt the definition of viscosity solutions to the obstacle problem for fully nonlinear path-dependent PDEs with data uniformly continuous in $(t,\omega)$, and generator Lipschitz continuous in $(y,z,\gamma)$. We prove…
In a recent paper we presented a general perturbation result for generators of $C_0$-semigroups. The aim of the present paper is to replace, in case the unperturbed semigroup is analytic, the various conditions appearing in this result by…
In this paper linear stochastic transport and continuity equations with drift in critical $L^{p}$ spaces are considered. In this situation noise prevents shocks for the transport equation and singularities in the density for the continuity…
We study a class of stochastic integral equations with jumps under non-Lipschitz conditions. We use the method of Euler approximations to obtain the existence of the solution and give some sufficient conditions for the strong uniqueness.
This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use it connection with…
In this article, we study a weighted particle representation for a class of stochastic partial differential equations with Dirichlet boundary conditions. The locations and weights of the particles satisfy an infinite system of stochastic…