Related papers: A solution selection problem with small symmetric …
We consider asymptotically stable scalar difference equations with unit-norm initial conditions. First, it is shown that the solution may happen to deviate far away from the equilibrium point at finite time instants prior to converging to…
This paper is concerned with developing and analyzing two novel implicit temporal discretization methods for the stochastic semilinear wave equations with multiplicative noise. The proposed methods are natural extensions of well-known…
We study the limit behavior of differential equations with non-Lipschitz coefficients that are perturbed by a small self-similar noise. It is proved that the limiting process is equal to the maximal solution or minimal solution with certain…
In this work we study permanence of hyperbolicity for autonomous differential equations under nonautonomous random/stochastic perturbations. For the linear case, we study robustness and existence of exponential dichotomies for nonautonomous…
We address numerical differentiation under coarse, non-uniform sampling and Gaussian noise. A maximum-likelihood estimator with $L_2$-norm constraint on a higher-order derivative is obtained, yielding spline-based solution. We introduce a…
In this paper we consider the global stability of solutions of an affine stochastic differential equation. The differential equation is a perturbed version of a globally stable linear autonomous equation with unique zero equilibrium where…
The problem of noise-induced escape from a metastable state arises in physics, chemistry, biology, systems engineering, and other areas. The problem is well understood when the underlying dynamics of the system obey detailed balance. When…
A fully discrete approximation of the semi-linear stochastic wave equation driven by multiplicative noise is presented. A standard linear finite element approximation is used in space and a stochastic trigonometric method for the temporal…
The long term aim is to use modern dynamical systems theory to derive discretisations of noisy, dissipative partial differential equations. As a first step we here consider a small domain and apply stochastic centre manifold techniques to…
This chapter considers the computational and statistical aspects of learning linear thresholds in presence of noise. When there is no noise, several algorithms exist that efficiently learn near-optimal linear thresholds using a small amount…
This paper is concerned with effects of noise on the solutions of partial differential equations. We first provide a sufficient condition to ensure the existence of a unique positive solution for a class of stochastic parabolic equations.…
The present article is devoted to well-posedness by noise for the continuity equation. Namely, we consider the continuity equation with non-linear and partially degenerate stochastic perturbations in divergence form. We prove the existence…
A new class of random partial differential equations of parabolic type is considered, where the stochastic term consists of an irregular noisy drift, not necessarily Gaussian, for which a suitable interpretation is provided. After freezing…
Some limit theorems are proven for the linear oscillator with random coefficients. The asymptotic behaviour of the moments is studied in detail. The technique presented in this paper can be applied to general linear systems with noise and…
We consider the exit problem for small white noise perturbation of a smooth dynamical system on the plane in the neighborhood of a hyperbolic critical point. We show that if the distribution of the initial condition has a scaling limit then…
In this paper, a higher-order time-discretization scheme is proposed, where the iterates approximate the solution of the stochastic semilinear wave equation driven by multiplicative noise with general drift and diffusion. We employ a…
We study in this article the existence and uniqueness of solutions to a class of stochastic transport equations with irregular coefficients and unbounded divergence. In the first result we assume the drift is $L^{2}([0,T] \times \R^{d})\cap…
We consider slow-fast systems of differential equations, in which both the slow and fast variables are perturbed by noise. When the deterministic system admits a uniformly asymptotically stable slow manifold, we show that the sample paths…
We consider the one-dimensional partially asymmetric exclusion process with random hopping rates, in which a fraction of particles (or sites) have a preferential jumping direction against the global drift. In this case the accumulated…
The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative terms reducing the stencil of the proposed…