Related papers: On Degenerate Linear Stochastic Evolution Equation…
We investigate stochastic parabolic evolution equations with time-dependent random generators and locally Lipschitz continuous drift terms. Using pathwise mild solutions, we construct an infinite-dimensional stationary Ornstein-Uhlenbeck…
Generative diffusion models and many stochastic models in science and engineering naturally live in infinite dimensions before discretisation. To incorporate observed data for statistical and learning tasks, one needs to condition on…
We study distribution dependent stochastic differential equation driven by a continuous process, without any specification on its law, following the approach initiated in [16]. We provide several criteria for existence and uniqueness of…
We consider an SDE in R^m of the type dX(t)=a(X(t))dt+dU(t) with a L\'evy process U and study the problem for the distribution of a solution to be regular in various senses. We do not impose any specific conditions on the L\'evy measure of…
Motivated by Girsanov's nonuniqueness examples for SDEs, we prove nonuniqueness for the parabolic stochastic partial differential equation (SPDE) \[\frac{\partial u}{\partial t}=\frac{\Delta}{2}u(t,x)…
This paper studies the stochastic differential equation (SDE) associated to a two-level quantum system (qubit) subject to Hamiltonian evolution as well as unmonitored and monitored decoherence channels. The latter imply a stochastic…
We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also…
In this article we are concerned with the study of the existence and uniqueness of pathwise mild solutions to evolutions equations driven by a H\"older continuous function with H\"older exponent in $(1/3,1/2)$. Our stochastic integral is a…
This paper is concerned with stochastic differential games (SDGs) defined through fully coupled forward-backward stochastic differential equations (FBSDEs) which are governed by Brownian motion and Poisson random measure. For SDGs, the…
We study a class of stochastic integral equations with jumps under non-Lipschitz conditions. We use the method of Euler approximations to obtain the existence of the solution and give some sufficient conditions for the strong uniqueness.
This paper is devoted to the study of some nonlinear parabolic equations with discontinuous diffusion intensities. Such problems appear naturally in physical and biological models. Our analysis is based on variational techniques and in…
We present a model for the dynamics of a population of bacteria with a continuum of traits, who compete for resources and exchange horizontally (transfer) an otherwise vertically inherited trait with possible mutations. Competition…
In this paper, we study a system of second order integro-partial differential equations with interconnected obstacles with non-local terms, related to an optimal switching problem with the jump-diffusion model. Getting rid of the…
In this paper, we study the existence of solution for stochastic evolution equations with almost sectorial operators and possibly a non dense domain. Such problems cover several types of evolution equations, we are interested here in…
We establish a new version of the stochastic Strichartz estimate for the stochastic convolution driven by jump noise which we apply to the stochastic nonlinear Schr\"{o}dinger equation with nonlinear multiplicative jump noise in the Marcus…
In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness…
We establish the existence and uniqueness for a one-dimensional stochastic differential equation driven by a Brownian motion and a pure jump {\levy} process. It is shown that under fairly general conditions on the coefficients, pathwise…
We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes affine diffusion processes and therefore extends considerably…
In this paper we will develop linear and nonlinear filtering methods for a large class of nonlinear wave equations that arise in applications such as quantum dynamics and laser generation and propagation in a unified framework. We consider…
By extending to the stochastic setting the classical vanishing viscosity approach we prove the existence of suitably weak solutions of a class of nonlinear stochastic evolution equation of rate-independent type. Approximate solutions are…