Related papers: Infinite-dimensional stochastic differential equat…
We consider the one-dimensional squared Bessel process given by the stochastic differential equation (SDE) \begin{align*} dX_t = 1\,dt + 2\sqrt{X_t}\,dW_t, \quad X_0=x_0, \quad t\in[0,1], \end{align*} and study strong (pathwise)…
In this article we investigate the solvability of infinite-dimensional differential algebraic equations. Such equations often arise as partial differential-algebraic equations (PDAEs). A decomposition of the state-space that leads to an…
In the series of lectures, we will discuss probability laws of random points, curves, and surfaces. Starting from a brief review of the notion of martingales, one-dimensional Brownian motion (BM), and the $D$-dimensional Bessel processes,…
An indefinite stochastic Riccati Equation is a matrix-valued, highly nonlinear backward stochastic differential equation together with an algebraic, matrix positive definiteness constraint. We introduce a new approach to solve a class of…
We establish necessary and sufficient conditions for stochastic invariance of closed subsets in Hilbert spaces for solutions to infinite-dimensional stochastic differential equations (SDEs) under mild assumptions on the coefficients. Our…
We prove tail triviality of determinantal point processes $ \mu $ on continuous spaces. Tail triviality had been proved for such processes only on discrete spaces, and hence we have generalized the result to continuous spaces. To do this,…
We consider a class of differential-algebraic equations (DAEs) with index zero in an infinite dimensional Hilbert space. We define a space of consistent initial values, which lead to classical continuously differential solutions for the…
We study one-dimensional stochastic integral equations with non-smooth dispersion coefficients, and with drift components that are not restricted to be absolutely continuous with respect to Lebesgue measure. In the spirit of Lamperti, Doss…
We study a relativistic scalar field model for self-bound Bose-Einstein condensates (BECs) by analyzing a nonlinear Klein-Gordon equation with cubic and logarithmic interactions. This framework captures essential features of quantum…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
The dynamics of the Einstein-Vlasov equations for a class of cosmological models with four Killing vectors is discussed in the case of massive particles. It is shown that in all models analysed the solutions with massive particles are…
We provide necessary and sufficient conditions for stochastic invariance of finite dimensional submanifolds for solutions of stochastic partial differential equations (SPDEs) in continuously embedded Hilbert spaces with non-smooth…
We introduce a novel class of semilinear nonlocal backward stochastic partial differential equations (BSPDE) on half-spaces driven by an infinite-dimensional c\`adl\`ag martingale. The equations exhibit a degeneracy and have no explicit…
This article deals with the approximation of a stochastic partial differential equation (SPDE) via amplitude equations. We consider an SPDE with a cubic nonlinearity perturbed by a general multiplicative noise that preserves the constant…
We prove the existence of random attractors for a large class of degenerate stochastic partial differential equations (SPDE) perturbed by joint additive Wiener noise and real, linear multiplicative Brownian noise, assuming only the standard…
We theoretically explore quantum correlation properties of a dissipative Bose-Hubbard dimer in presence of a coherent drive. In particular, we focus on the regime where the semiclassical theory predicts a bifurcation with a spontaneous…
Quantum stochastic differential equations have been used to describe the dynamics of an atom interacting with the electromagnetic field via absorption/emission processes. Here, by using the full quantum stochastic Schroedinger equation…
The paper deals with the numerical solution of the nonlinear Ito stochastic differential equations (SDEs) appearing in the unravelling of quantum master equations. We first develop an exponential scheme of weak order 1 for general globally…
We study a stochastic particle system with a logarithmically-singular inter-particle interaction potential which allows for inelastic particle collisions. We relate the squared Bessel process to the evolution of localized clusters of…
We show that the stochastic dynamics of a large class of one-dimensional interacting particle systems may be presented by integrable quantum spin Hamiltonians. Using the Bethe ansatz and similarity transformations this yields new exact…