Related papers: G-expectations in infinite dimensional spaces and …
We study fully nonlinear second-order (forward) stochastic partial differential equations (SPDEs). They can also be viewed as forward path-dependent PDEs (PPDEs) and will be treated as rough PDEs (RPDEs) under a unified framework. We…
Macroscopic models for spatially extended systems under random influences are often described by stochastic partial differential equations (SPDEs). Some techniques for understanding solutions of such equations, such as estimating…
We present a computational framework for estimating the uncertainty in the numerical solution of linearized infinite-dimensional statistical inverse problems. We adopt the Bayesian inference formulation: given observational data and their…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDEs given as a sup--envelope function. This is done through a dynamic programming principle derived from Denis, Hu, Peng (2010). The…
We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose instantaneous covariance is given by a pure-jump stochastic…
We study certain infinite-dimensional probability measures in connection with frame analysis. Earlier work on frame-measures has so far focused on the case of finite-dimensional frames. We point out that there are good reasons for a sharp…
We consider quasi-variational inequalities (QVIs) with general non-local drivers and related systems of reflected backward stochastic differential equations (BSDEs) in a Brownian filtration. We show existence and uniqueness of viscosity…
Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of viscosity solution, featured by absence of B-continuity, is…
After a short review of recent progresses in 2D Euler equations with random initial conditions and noise, some of the recent results are improved by exploiting a priori estimates on the associated infinite dimensional Fokker-Planck…
In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion (GSDEs) with integral-Lipschitz conditions on their coefficients.
We prove homogenization for viscous Hamilton-Jacobi equations with a Hamiltonian of the form $G(p)+V(x,\omega)$ for a wide class of stationary ergodic random media in one space dimension. The momentum part $G(p)$ of the Hamiltonian is a…
Generalized hydrodynamics (GHD) was proposed recently as a formulation of hydrodynamics for integrable systems, taking into account infinitely-many conservation laws. In this note we further develop the theory in various directions. By…
Based on the classical probability, the stability criteria for stochastic differential delay equations (SDDEs) where their coefficients are either linear or nonlinear but bounded by linear functions have been investigated intensively.…
We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…
We solve infinite-dimensional stochastic differential equations (ISDEs) describing an infinite number of Brownian particles interacting via two-dimensional Coulomb potentials. The equilibrium states of the associated unlabeled stochastic…
We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…
In this note, we present two general classes of integral inequalities motivated by their applications to infinite dimensional systems. The inequalities possess general structures in terms of weight functions and lower quadratic bounds. Many…
In this paper, we consider the Dirichlet problem of three-dimensional inhomogeneous incompressible micropolar equations with density-dependent viscosity. Under the assumption that the coefficients are power functions of the density, we…
We study the homogenization of first-order Hamilton-Jacobi equations on an infinite-dimensional Hilbert space, motivated by systems of infinitely many indistinguishable particles on the torus. A central difficulty is that the analysis takes…
This paper provides results on local and global existence for a class of solutions to the Euler equations for an incompressible, inviscid fluid. By considering a class of solutions which exhibits a characteristic growth at infinity we…