Related papers: Multidimensional stochastic differential equations…
A scheme is developed for estimating state-dependent drift and diffusion coefficients in a stochastic differential equation from time-series data. The scheme does not require to specify parametric forms for the drift and diffusion…
We consider stochastic differential equation $$ d X_t=b(X_t) dt +d W_t^H, $$ where the drift $b$ is either a measure or an integrable function, and $W^H$ is a $d$-dimensional fractional Brownian motion with Hurst parameter $H\in(0,1)$,…
The well-posedness of nonlocal elliptic equation with singular drift is investigated in Besov-H\"older spaces. As an application, we show the existence and uniqueness for corresponding martingale problem. Moreover, we prove that the one…
This paper develops solutions of fractional Fokker-Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian L\'evy processes, with space-time-dependent drift, diffusion and…
The construction of stochastic solutions for nonlinear partial differential equations is a powerful method to obtain new exact results and to develop efficient numerical algorithms, in particular when domain decomposition techniques are…
A stochastic differential equation with infinite memory is considered. The drift coefficient of the equation is a nonlinear functional of the past history of the solution. Sufficient conditions for existence and uniqueness of stationary…
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 consider a non-linear parabolic partial differential equation (PDE) on $\mathbb R^d$ with a distributional coefficient in the non-linear term. The distribution is an element of a Besov space with negative regularity and the non-linearity…
In this paper, we consider a class of Mckean-Vlasov stochastic differential equation with oblique reflection over an non-smooth time dependent domain. We establish the existence and uniqueness results of this class, address the propagation…
This paper studies McKean-Vlasov stochastic differential equations (MVSDEs) whose drift coefficients grow super-linearly in both state variables and measure arguments, and whose diffusion coefficients exhibit super-linear growth in the…
We introduce a class of adaptive timestepping strategies for stochastic differential equations with non-Lipschitz drift coefficients. These strategies work by controlling potential unbounded growth in solutions of a numerical scheme due to…
We consider a $d$-dimensional SDE with an identity diffusion matrix and a drift vector being a vector function of bounded variation. We give a representation for the derivative of the solution with respect to the initial data.
In this paper we analyze fractional Fokker-Planck equation describing subdiffusion in the general infinitely divisible (ID) setting. We show that in the case of space-time-dependent drift and diffusion and time-dependent jump coefficient,…
The notion of drift refers to the phenomenon that the distribution, which is underlying the observed data, changes over time. Albeit many attempts were made to deal with drift, formal notions of drift are application-dependent and…
We study a one-dimensional McKean-Vlasov stochastic differential equation (SDE) with a drift equal to a product of a distribution depending on the state of the process and a non-linear function depending pointwise on the law density of the…
The distributional form of the Maxwell-Vlasov equations are formulated. Submanifold distributions are analysed and the general submanifold distributional solutions to the Vlasov equations are given. The properties required so that these…
In this paper, we introduce a class of stochastic partial differential equations (SPDEs) with fractional time-derivatives, and study the $L_2$-theory of the equations. This class of SPDEs can be used to describe random effects on transport…
The paper deals with numerical discretizations of separable nonlinear Hamiltonian systems with additive noise. For such problems, the expected value of the total energy, along the exact solution, drifts linearly with time. We present and…
We are interested in the Euler-Maruyama discretization of a stochastic differential equation in dimension $d$ with constant diffusion coefficient and bounded measurable drift coefficient. In the scheme, a randomization of the time variable…
This article deals with time-fractional diffusion equations with time-dependent singular source term. Whenever the order of the time-fractional derivative is either multi-term, distributed or space-dependent, we prove that the system admits…