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We prove that the solution of certain linear stochastic differential equations in Hilbert spaces, namely those with bounded operators as well as the conservative stochastic Schr\"odinger equations, can be obtained - along the lines of the…
This paper deals with the problem of efficient sampling from a stochastic differential equation, given the drift function and the diffusion matrix. The proposed approach leverages a recent model for probabilities \cite{rudi2021psd} (the…
The stochastic Cahn-Hilliard equation driven by a fractional Brownian sheet provides a more accurate model for correlated space-time random perturbations. This study delves into two key aspects: first, it rigorously examines the regularity…
We study one-dimensional stochastic differential equations of form $dX_t = \sigma(X_t)dY_t$, where $Y$ is a suitable H\"older continuous driver such as the fractional Brownian motion $B^H$ with $H>\frac12$. The innovative aspect of the…
In this paper, we present a numerical technique for performing Lie advection of arbitrary differential forms. Leveraging advances in high-resolution finite volume methods for scalar hyperbolic conservation laws, we first discretize the…
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
Explicit numerical finite difference schemes for partial differential equations are well known to be easy to implement but they are particularly problematic for solving equations whose solutions admit shocks, blowups and discontinuities.…
Unlike many deterministic PDEs, stochastic equations are not amenable to the classical variational theory of Euler-Lagrange. In this paper, we show how self-dual variational calculus leads to solutions of various stochastic partial…
A supersymmetric method for the construction of so-called conditionally exactly solvable quantum systems is reviewed and extended to classical stochastic dynamical systems characterized by a Fokker-Planck equation with drift. A class of…
Strong solutions of p-dimensional stochastic differential equations that can be represented locally in explicit simulation form are considered. The following three-way equivalence is established: 1) There exists such a representation from…
We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…
Stochastic quantization in physics has been considered to provide a path integral representation of a probability distribution for Ito processes. It has been indicated that the stochastic quantization can involve a potential term, if the…
We propose a new approach for solving systems of conservation laws that admit a variational formulation of the time-discretized form, and encompasses the p-system or the system of elastodynamics. The approach consists of using constrained…
A computationally efficient high-order solver is developed to compute the wall distances by solving the relevant partial differential equations, namely: Eikonal, Hamilton-Jacobi (HJ) and Poisson equations. In contrast to the upwind schemes…
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…
In this paper we obtain an It\^o differential representation for a class of singular stochastic Volterra integral equations. As an application, we investigate the rate of convergence in the small time central limit theorem for the solution.
The existence of strong solutions and pathwise uniqueness are established for one-dimensional stochastic Volterra equations with locally H{\"o}lder continuous diffusion coefficients and sufficiently regular kernels. Moreover, we study the…
The paper has two major themes. The first part of the paper establishes certain general results for infinite-dimensional optimization problems on Hilbert spaces. These results cover the classical representer theorem and many of its variants…
We show that discrete schemes developed for lattice hydrodynamics provide an elegant and physically transparent way of deriving Laplacians with isotropic discretisation error. Isotropy is guaranteed whenever the Laplacian weights follow…
This survey revisits classical results in vector calculus and analysis by exploring a generalised perspective on the exterior derivative, interpreting it as a measure of "infinitesimal flux". This viewpoint leads to a higher-dimensional…