Related papers: Order-Preservation for Multidimensional Stochastic…
We discuss maximum likelihood estimation of parameters for models governed by a stochastic differential equation driven by a mixed fractional Brownian motion with random effects.
The purpose of this paper is to establish the first and second order necessary conditions for stochastic optimal controls in infinite dimensions. The control system is governed by a stochastic evolution equation, in which both drift and…
In the paper, we are concerned with degenerate stochastic differential equations with jumps. Firstly, we establish two support theorems for the solutions of the degenerate stochastic equations, under different (sufficient) conditions.…
This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…
We study one-dimensional stochastic differential equations of form $dX_t = \sigma(X_t)dY_t$, where $Y$ is a suitable H\"older continuous driver such as the fractional Brownian motion $B^H$ with $H>\frac12$. The innovative aspect of the…
These notes rigorously construct the stochastic integral of a Hilbert Space valued process driven by a Cylindrical Brownian Motion. We expand upon this stochastic calculus to present an introduction to stochastic differential equations in…
In this paper we study a singular stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter $H>\frac 12$. Under some assumptions on the drift, we show that there is a unique solution, which has…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
This paper extends deterministic notions of Strong Stability Preservation (SSP) to the stochastic setting, enabling nonlinearly stable numerical solutions to stochastic differential equations (SDEs) and stochastic partial differential…
Motivated by the lack of a suitable constructive framework for analyzing popular stochastic models of Systems Biology, we devise conditions for existence and uniqueness of solutions to certain jump stochastic differential equations (SDEs).…
We derive the strong consistency of the least squares estimator for the drift coefficient of a fractional stochastic differential system. The drift coeffcient is one-sided dissipative Lipschitz and the driving noise is additive and…
Our aim in this paper is to establish some strong stability properties of a solution of a stochastic differential equation driven by a fractional Brownian motion for which the pathwise uniqueness holds. The results are obtained using…
The existence and uniqueness are proved for the global positive solution to the system of stochastic differential equations describing a two-species mutualism model disturbed by the white noise, the centered and non-centered Poisson noises.…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
In this article, we study the stability of solutions to 3D stochastic primitive equations driven by fractional noise. Since the fractional Brownian motion is essentially different from Brownian motion, lots of stochastic analysis tools are…
We establish a large deviation principle for the solutions of a class of stochastic partial differential equations with non-Lipschitz continuous coefficients. As an application, the large deviation principle is derived for super-Brownian…
We study systems of Brownian particles on the real line, which interact by splitting the local times of collisions among themselves in an asymmetric manner. We prove the strong existence and uniqueness of such processes and identify them…
We study the persistence probability for processes with stationary increments. Our results apply to a number of examples: sums of stationary correlated random variables whose scaling limit is fractional Brownian motion, random walks in…
We consider two related linear PDE's perturbed by a fractional Brownian motion. We allow the drift to be discontinuous, in which case the corresponding deterministic equation is ill-posed. However, the noise will be shown to have a…
In this paper, we study the convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps, when the coefficients converge in some appropriate sense. Our main tools are the superposition…