Related papers: Stochastic Generalized Porous Media Equations with…
We study a linear recursion with random Markov-dependent coefficients. In a "regular variation in, regular variation out" setup we show that its stationary solution has a multivariate regularly varying distribution. This extends results…
For a class of piecewise deterministic Markov processes we introduce a stochastic calculus which is a certain non-Gaussian counterpart to the classical Malliavin calculus. As an application we investigate the regularity of densities of…
We discuss the ergodic properties of quasi-Markovian stochastic differential equations, providing general conditions that ensure existence and uniqueness of a smooth invariant distribution and exponential convergence of the evolution…
We study a generalization of the porous medium equation involving nonlocal terms. More precisely, explicit self-similar solutions with compact support generalizing the Barenblatt solutions are constructed. We also present a formal argument…
Some topological properties of stochastic flow $\varphi_t(x)$ generated by stochastic differential equation in a ${\mathbb R}^d_+$ with normal reflection at the boundary are investigated. Sobolev differentiability in initial condition is…
From the definition of a generalized conformable spatial derivative, an exponential conformable function with three parameters $(a,b,\alpha)$ is proposed for a viscous and an inertial-viscous steady-state Navier-Stokes 1D models, obtaining…
In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for…
Non-Markovian stochastic Langevin-like equations of motion are compared to their corresponding Markovian (local) approximations. The validity of the local approximation for these equations, when contrasted with the fully nonlocal ones, is…
In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) and fixed terminal time with use some new technical aspects of the stochastic calculus related to the reflected…
Periodic measures are the time-periodic counterpart to invariant measures for dynamical systems and can be used to characterise the long-term periodic behaviour of stochastic systems. This paper gives sufficient conditions for the…
It is quite clear from a wide range of experiments that gating phenomena of ion channels is inherently stochastic. It has been discussed using BD simulations in a recent paper that memory effects in ion transport is negligible, unless the…
In a companion paper, equations for partially molten media were derived using two-scale homogenization theory. One advantage of homogenization is that material properties, such as permeability and viscosity, readily emerge. A caveat is that…
We study weighted porous media equations on domains $\Omega\subseteq{\mathbb R}^N$, either with Dirichlet or with Neumann homogeneous boundary conditions when $\Omega\not={\mathbb R}^N$. Existence of weak solutions and uniqueness in a…
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a…
In many applications, the common assumption that a driving noise process affecting a system is independent or Markovian may not be realistic, but the noise process may be assumed to be stationary. To study such problems, this paper…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
The non--static generalized Langevin equation and its corresponding Fokker--Planck equation for the position of a viscous fluid particle were solved in closed form for a time dependent external force. Its solution for a constant external…
We develop two novel stochastic variance-reduction methods to approximate solutions of a class of nonmonotone [generalized] equations. Our algorithms leverage a new combination of ideas from the forward-reflected-backward splitting method…
It is known that Markovian forward-backward stochastic differential equations provide nonlinear Feynman-Kac representation formulae for semilinear parabolic PDEs. We show that non-Markovian forward-backward stochastic differential equations…
The problem of diffusion in a porous medium with a spatially varying porosity is considered. The particular microstructure analyzed comprises a collection of impenetrable spheres, though the methods developed are general. Two different…