Related papers: Infinite-dimensional stochastic differential equat…
Motivated by the recent contribution \cite{BB17} we study the scaling limit behavior of a class of one-dimensional stochastic differential equations which has a unique attracting point subject to a small additional repulsive perturbation.…
In this paper, we extend the dynamical low-rank approximation method to the space of finite signed measures. Under this framework, we derive stochastic low-rank dynamics for stochastic differential equations (SDEs) coming from classical…
We investigate the profound relation between the equations of biological evolution and quantum mechanics by writing a biologically inspired equation for the stochastic dynamics of an ensemble of particles. Interesting behavior is observed…
The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relation with suitable stochastic ergodic control…
In this work we construct a general class of exactly solvable non-relativistic bi-dimensional quantum systems with position-dependent masses (PDM). These systems are isospectral to a given system with constant mass. The case of a charged…
Likelihood inference for max-stable random fields is in general impossible because their finite-dimensional probability density functions are unknown or cannot be computed efficiently. The weighted composite likelihood approach that…
We investigate a system of Brownian particles weakly bound by attractive parity-symmetric potentials that grow at large distances as $V(x) \sim |x|^\alpha$, with $0 < \alpha < 1$. The probability density function $P(x,t)$ at long times…
In this work, we present a general Milstein-type scheme for McKean-Vlasov stochastic differential equations (SDEs) driven by Brownian motion and Poisson random measure and the associated system of interacting particles where drift,…
Motivated by studies of stochastic systems describing non-equilibrium dynamics of (real-valued) spins of an infinite particle system in $\mathbb{R}^n$ we consider a row-finite system of stochastic differential equations with dissipative…
Numerical methods for stochastic partial differential equations typically estimate moments of the solution from sampled paths. Instead, we shall directly target the deterministic equations satisfied by the first and second moments, as well…
In this work, we present a novel approach for solving stochastic shape optimization problems. Our method is the extension of the classical stochastic gradient method to infinite-dimensional shape manifolds. We prove convergence of the…
We establish a non-explosion result for rough differential equations (RDEs) in which the noise and drift coefficients, together with their derivatives, may grow unboundedly at infinity. In addition, we prove the existence of a global…
We consider random fields that can be represented as integrals of deterministic functions with respect to infinitely divisible random measures and show that these random fields are infinitely divisible.
This dissertation discusses solutions to the nonlinear Klein-Gordon equation with symmetric and asymmetric double-well potentials, focusing on the collapse and collision of bubbles and critical phenomena found therein. A new method is…
We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are merely integrable. Moreover, the generator is assumed to be…
A strong quasi-invariance principle and a finite-dimensional integration by parts formula as in the Bismut approach to Malliavin calculus are obtained through a suitable application of Lie's symmetry theory to autonomous stochastic…
Neural Stochastic Differential Equations (NSDEs) model the drift and diffusion functions of a stochastic process as neural networks. While NSDEs are known to make accurate predictions, their uncertainty quantification properties have been…
The quantum-mechanical problems of a nonrelativistic free particle, a harmonic oscillator and a Coulomb particle on Minkowski plane are discussed. The Schr\"odinger equations for eigenvalues are obtained using the Beltrami-Laplas operator…
We study Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with Lipschitz coefficients, where the Hamiltonian has superquadratic growth with respect to the derivative of the value function, and the final condition…
Stochastic partial differential equations driven by Poisson random measures (PRM) have been proposed as models for many different physical systems, where they are viewed as a refinement of a corresponding noiseless partial differential…