Related papers: Stochastic differential equations for models of no…
We study stochastic convolutions providing by fundamental solutions of a class of integrodifferential equations which interpolate the heat and the wave equations. We give sufficient condition for the existence of function--valued…
We consider a stochastic functional delay differential equation, namely an equation whose evolution depends on its past history as well as on its present state, driven by a pure diffusive component plus a pure jump Poisson compensated…
We present a computational alternative to probabilistic simulations for non-smooth stochastic dynamical systems that are prevalent in engineering mechanics. As examples, we target (1) stochastic elasto-plastic problems, which involve…
We propose a new solvable class of multidimensional quantum harmonic oscillators for a linear diffusive particle and a quadratic energy absorbing well associated with a semi-definite positive matrix force. Under natural and easily checked…
In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional It\^o (or path-dependent) calculus, the relationship between the systems and related path-dependent…
We develop fully noncommutative Feynman-Kac formulae by employing quantum stochastic processes. To this end we establish some theory for perturbing quantum stochastic flows on von Neumann algebras by multiplier cocycles. Multiplier cocycles…
We propose a piecewise deterministic Markovian jump process in Hilbert space such that the covariance matrix of this stochastic process solves the thermodynamic quantum master equation. The proposed stochastic process is particularly simple…
We aim to provide a Feynman-Kac type representation for Hamilton-Jacobi-Bellman equation, in terms of forward backward stochastic differential equation (FBSDE) with a simulatable forward process. For this purpose, we introduce a class of…
In this paper we discuss a family of models of particle and energy diffusion on a one-dimensional lattice, related to those studied previously in [Sasamoto-Wadati], [Barraquand-Corwin] and [Povolotsky] in the context of KPZ universality…
We consider the Koopman operator semigroup $(K^t)_{t\ge 0}$ associated with stochastic differential equations of the form $dX_t = AX_t\,dt + B\,dW_t$ with constant matrices $A$ and $B$ and Brownian motion $W_t$. We prove that the…
This paper is interested in semilinear stochastic equations having unbounded nonlinear perturbations in the deterministic part and/or in the random part. Moreover, the linear part of these equations is governed by a not necessarily analytic…
We establish a version of the Feynman-Kac formula for the multidimensional stochastic heat equation with a multiplicative fractional Brownian sheet. We use the techniques of Malliavin calculus to prove that the process defined by the…
This work presents a probabilistic scheme for solving semilinear nonlocal diffusion equations with volume constraints and integrable kernels. The nonlocal model of interest is defined by a time-dependent semilinear partial…
We introduce a new family of numerical algorithms for approximating solutions of general high-dimensional semilinear parabolic partial differential equations at single space-time points. The algorithm is obtained through a delicate…
We extend the unified kernel framework for transport equations and Koopman eigenfunctions, developed in previous work by the authors for deterministic systems, to stochastic differential equations (SDEs). In the deterministic setting, three…
Probabilistic solutions of the so called Schr\"{o}dinger boundary data problem provide for a unique Markovian interpolation between any two strictly positive probability densities designed to form the input-output statistics data for the…
In the framework of stochastic functional differential equations (SFDE's) and the corresponding calculus developed in the recent years by F. Yan and S. Mohammed, we provide a series of representation formulae for a variety of highly…
We study a 12-parameter stochastic process involving particles with two-site interaction and hard-core repulsion on a $d$-dimensional lattice. In this model, which includes the asymmetric exclusion process, contact processes and other…
We provide two applications of an elementary (yet seemingly unknown) probabilistic representation of matrix ordered exponentials, which generalizes the Feynman-Kac formula in finite dimensions and the change of measure formula between two…
Here it is shown that the unitary dynamics of a quantum object may be obtained as the conditional expectation of a counting process of object-clock interactions. Such a stochastic process arises from the quantization of the clock, and this…