Related papers: Density analysis of BSDEs

We consider stochastic differential equations of the form $dY_t=V(Y_t)\,dX_t+V_0(Y_t)\,dt$ driven by a multi-dimensional Gaussian process. Under the assumption that the vector fields $V_0$ and $V=(V_1,\ldots,V_d)$ satisfy H\"{o}rmander's…

In this paper, a quantitative measure of partial observability is defined for PDEs. The quantity is proved to be consistent if the PDE is approximated using well-posed approximation schemes. A first order approximation of an unobservability…

In this paper we solve real-valued rough differential equations (RDEs) reflected on an irregular boundary. The solution $Y$ is constructed as the limit of a sequence $(Y^n)_{n\in\mathbb{N}}$ of solutions to RDEs with unbounded drifts…

In a first step, we establish the existence (and sometimes the uniqueness) of solutions for a large class of quadratic backward stochastic differential equations (QBSDEs) with continuous generator and a merely square integrable terminal…

The Sutherland approximation to the van der Waals forces is applied to the derivation of a self-consistent Vlasov-type field in a liquid filling a half space, bordering vacuum. The ensuing Vlasov equation is then derived, and solved to…

We develop Bayesian models for density regression with emphasis on discrete outcomes. The problem of density regression is approached by considering methods for multivariate density estimation of mixed scale variables, and obtaining…

The present paper is devoted to the study of the well-posedness issue for the density-dependent Euler equations in the whole space. We establish local-in-time results for the Cauchy problem pertaining to data in the Besov spaces embedded in…

We consider the family of stochastic partial differential equations indexed by a parameter $\eps\in(0,1]$, \begin{equation*} Lu^{\eps}(t,x) = \eps\sigma(u^\eps(t,x))\dot{F}(t,x)+b(u^\eps(t,x)), \end{equation*} $(t,x)\in(0,T]\times\Rd$ with…

We prove a comparison result for viscosity solutions of (possibly degenerate) parabolic fully nonlinear path-dependent PDEs. In contrast with the previous result in Ekren, Touzi & Zhang, our conditions are easier to check and allow for the…

We provide sufficient conditions for the existence of viscosity solutions of fractional semilinear elliptic PDEs of index $\alpha \in (1,2)$ with polynomial gradient nonlinearities on $d$-dimensional balls, $d\geq 2$. Our approach uses a…

We look at a measure, $\lambda^\infty$, on the infinite-dimensional space, ${\mathbb R}^\infty$, for which we attempt to put forth an analogue of the Lebesgue density theorem. Although this measure allows us to find partial results, for…

In this paper, we propose a theoretical analysis of the algorithm ISDE, introduced in previous work. From a dataset, ISDE learns a density written as a product of marginal density estimators over a partition of the features. We show that…

We extend Krylov and R\"{o}ckner's result \cite{KR} to the drift coefficients in critical Lebesgue space, and prove the existence and uniqueness of weak solutions for a class of SDEs. To be more precise, let $b: [0,T]\times{\mathbb…

We establish the log-concavity of the volume of central sections of dilations of the cross-polytope (the strong B-inequality for the cross-polytope and Lebesgue measure restricted to an arbitrary subspace).

We consider the Anderson model on the multi-dimensional cubic lattice and prove a positive lower bound on the density of states under certain conditions. For example, if the random variables are independently and identically distributed and…

Point singularities of solutions to the classical Lane-Emden-Serrin equation have a polyhomogeneous asymptotic expansion whose logarithmic corrections are determined by a first order ODE. Surprisingly, we are able to discover such an ODE…

In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimensional case. In these BSDEs, the generator, which is of…

We prove the existence and the Besov regularity of the density of the solution to a general parabolic SPDE which includes the stochastic Burgers equation on an unbounded domain. We use an elementary approach based on the fractional…

The regularity and characterization of solutions to degenerate, quasilinear SPDE is studied. Our results are two-fold: First, we prove regularity results for solutions to certain degenerate, quasilinear SPDE driven by Lipschitz continuous…

We present a formalism to derive the stochastic differential equations (SDEs) for several solid-on-solid growth models. Our formalism begins with a mapping of the microscopic dynamics of growth models onto the particle systems with…