Related papers: On the multi-dimensional skew Brownian motion
We study the existence of a unique solution to semilinear fractional backward doubly stochastic differential equation driven by a Brownian motion and a fractional Brownian motion with Hurst parameter less than 1/2. Here the stochastic…
This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a…
We consider a differential equation driven by a Brownian motion as well as a rough path. We prove a Girsanov-type result for this equation to construct a weak solution in the probabilistic sense.
We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…
This paper is based on the talk in "Probability Symposium" at Research Institute of Mathematical Sciences (Kyoto University) on 2013/12/18, and gives an announcement of some parts of the results in [1,8,10,11]. We show two instances of…
The aim of these notes is to give an overview of the current results about existence and uniqueness of solutions for the stochastic Euler equation driven by a Brownian noise in a two-dimensional bounded domain.
We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible…
A novel approach to account for hard-body interactions in (overdamped) Brownian dynamics simulations is proposed for systems with non-vanishing force fields. The scheme exploits the analytically known transition probability for a Brownian…
We study exclusion processes on the integer lattice in which particles change their velocities due to stickiness. Specifically, whenever two or more particles occupy adjacent sites, they stick together for an extended period of time, and…
This work is a numerical experiment of stochastic motion of conservative Hamiltonian system or weakly damped Brownian particles. The objective is to prove the existence of path probability and to compute its values. By observing a large…
For a mixed stochastic differential equation involving standard Brownian motion and an almost surely H\"older continuous process $Z$ with H\"older exponent $\gamma>1/2$, we establish a new result on its unique solvability. We also establish…
In this paper, we study a class of stochastic differential equations with additive noise that contains a fractional Brownian motion (fBM) and a Poisson point process of class (QL). The differential equation of this kind is motivated by the…
We investigate the stochastic dynamics of one sedimenting active Brownian particle in three dimensions under the influence of gravity and passive fluctuations in the translational and rotational motion. We present an analytical solution of…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
The invariance properties of Brownian motion are investigated and revisited within a recent Lie symmetry approach to stochastic differential equations. Some notable properties of the process can be recovered by a related integration by…
In this paper, the stability behaviors of stochastic differential equations (SDEs) driven by time-changed Brownian motions are discussed. Based on the generalized Lyapunov method and stochastic analysis, necessary conditions are provided…
We construct and study the weak solution to stochastic differential equation $dX(t)=-b(X(t))dt+\sqrt{2}dW(t)$, $X_0=x$, for every $x \in \mathbb R^d$, $d \geq 3$, with $b$ in the class of weakly form-bounded vector fields, containing, as…
In this paper we show that solutions of stochastic partial differential equations driven by Brownian motion can be approximated by stochastic partial differential equations forced by pure jump noise/random kicks. Applications to stochastic…
Stiff forces, which bind objects together or otherwise confine motion, are found widely in soft-matter systems - colloids with short range attractions, ligand-receptor contacts, particles in optical traps, fibres that resist stretching,…
In this paper we prove a viability result for multidimensional, time dependent, stochastic differential equations driven by fractional Brownian motion with Hurst parameter1/2 < H < 1, using pathwise approach. The sufficient condition is…