Related papers: Weak Convergence Approach for Parabolic Equations …
We consider a classical finite horizon optimal control problem for continuous-time pure jump Markov processes described by means of a rate transition measure depending on a control parameter and controlled by a feedback law. For this class…
In this work, we investigate the existence and properties of Gaussian-like densities for weak solutions of multidimensional stochastic differential equations driven by a mixture of completely correlated fractional Brownian motions. We…
We obtain the first results on convergence rates in the Prokhorov metric for the weak invariance principle (functional central limit theorem) for deterministic dynamical systems. Our results hold for uniformly expanding/hyperbolic (Axiom A)…
We investigate the density large deviation function for a multidimensional conservation law in the vanishing viscosity limit, when the probability concentrates on weak solutions of a hyperbolic conservation law conservation law. When the…
We investigate expansive solutions of the $N$-body problem in $\mathbb{R}^d$ ($d\ge2$) driven by homogeneous Newtonian potentials of degree $-\alpha$. We establish the existence of half-entire expansive motions with prescribed initial…
This article addresses the weak convergence of numerical methods for Brownian dynamics. Typical analyses of numerical methods for stochastic differential equations focus on properties such as the weak order which estimates the asymptotic…
The density of states for a particle moving in a random potential with a Gaussian correlator is calculated exactly using the functional integral technique. It is achieved by expressing the functional degrees of freedom in terms of the…
This paper deals with the homogenization problem of one-dimensional pseudo-elliptic equations with a rapidly varying random potential. The main purpose is to characterize the homogenization error (random fluctuations), i.e., the difference…
We consider the median of n independent Brownian motions, and show that this process, when properly scaled, converges weakly to a centered Gaussian process. The chief difficulty is establishing tightness, which is proved through direct…
Consider the approximation of stochastic Allen-Cahn-type equations (i.e. $1+1$-dimensional space-time white noise-driven stochastic PDEs with polynomial nonlinearities $F$ such that $F(\pm \infty)=\mp \infty$) by a fully discrete space-time…
In this paper, we prove that the Kac stochastic particle system converges to the weak solution of the spatially homogeneous Boltzmann equation for hard potentials and hard spheres. We give, under the initial data with finite exponential…
We study the weak convergence (in the high-frequency limit) of the frequency components associated with Gaussian-subordinated, spherical and isotropic random fields. In particular, we provide conditions for asymptotic Gaussianity and we…
We consider the perturbation of parabolic operators of the form $\partial_t+P(x,D)$ by large-amplitude highly oscillatory spatially dependent potentials modeled as Gaussian random fields. The amplitude of the potential is chosen so that the…
In this paper we prove a rate of convergence for the continuous time filtering solution of a multiple timescale correlated nonlinear system to a lower dimensional filtering equation in the limit of large timescale separation. Correlation is…
We prove the convergence of $ \nN $-particle systems of Brownian particles with logarithmic interaction potentials onto a system described by the infinite-dimensional stochastic differential equation (ISDE). % For this proof we present two…
We study large deviation properties of systems of weakly interacting particles modeled by It\^{o} stochastic differential equations (SDEs). It is known under certain conditions that the corresponding sequence of empirical measures…
The complete physical understanding of the optimization of the thermodynamic work still is an important open problem in stochastic thermodynamics. We address this issue using the Hamiltonian approach of linear response theory in finite time…
This article is devoted to the analysis of the weak rates of convergence of schemes introduced by the authors in a recent work, for the temporal discretization of the stochastic Allen-Cahn equation driven by space-time white noise. The…
The long-time/large-scale, small-friction asymptotic for the one dimensional Langevin equation with a periodic potential is studied in this paper. It is shown that the Freidlin-Wentzell and central limit theorem (homogenization) limits…
In this paper we provide sufficient conditions for sequences of stochastic processes of the form $\int_{[0,t]} f_n(u) \theta_n(u) du$, to weakly converge, in the space of continuous functions over a closed interval, to integrals with…