Related papers: Understanding stochastic differential equations
Distributed delay equations have been used to model situations in which there is some sort of delay whose duration is uncertain. However, the interpretation of a distributed delay equation is actually very different from that of a delay…
The goal of this paper is to clarify when the solutions to stochastic partial differential equations stay close to a given subset of the state space for starting points which are close as well. This includes results for deterministic…
Covariant stochastic partial (pseudo-)differential equations are studied in any dimension. In particular a large class of covariant interacting local quantum fields obeying the Morchio-Strocchi system of axioms for indefinite quantum field…
We consider the continuous-time setting of linear time-invariant (LTI) systems in feedback with multiplicative stochastic uncertainties. The objective of the paper is to characterize the conditions of Mean-Square Stability (MSS) using a…
The construction of stochastic solutions for nonlinear partial differential equations is a powerful method to obtain new exact results and to develop efficient numerical algorithms, in particular when domain decomposition techniques are…
The integral with respect to a multidimensional stochastic measure, for which we assume only $\sigma$-additivity in probability, is studied. The continuity and differentiability of its realizations are established.
A new tool for modeling electrochemical kinetics is presented. An extension of the Stochastic Simulation Algorithm framework to electrochemical systems is proposed. The physical justifications and constraints for the derivation of a…
We present a new version of the stochastic sewing lemma, capable of handling multiple discontinuous control functions. This is then used to develop a theory of rough stochastic analysis in a c\`adl\`ag setting. In particular, we define…
An innovative theoretical framework for stochastic dynamics based on a decomposition of a stochastic differential equation (SDE) has been developed with an evident advantage in connecting deterministic and stochastic dynamics, as well as…
We show that a substantial portion of stochastic calculus can be developed along similar lines to ordinary calculus, with derivative-based concepts driving the development. We define a notion of stopping derivative, which is a form of right…
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
Singular stochastic partial differential equations informally refer to the partial differential equations with rough random force that leads to the products in the nonlinear terms becoming ill-defined. Besides the theories of regularity…
Due to their intrinsic link with nonlinear Fokker-Planck equations and many other applications, distribution dependent stochastic differential equations (DDSDEs for short) have been intensively investigated. In this paper we summarize some…
Random invariant manifolds often provide geometric structures for understanding stochastic dynamics. In this paper, a dynamical approximation estimate is derived for a class of stochastic partial differential equations, by showing that the…
In this work we develop a theory of Stieltjes-analytic functions. We first define the Stieltjes monomials and polynomials and we study them exhaustively. Then, we introduce the Stieltjes analytic functions locally, as an infinite series of…
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by…
The concept of Riemann-Stieltjes integral $\int_a^b {f\left( t \right)du\left( t \right)}$; where $f$ is called the integrand, $u$ is called the integrator, plays an important role in Mathematics. The approximation problem of the…
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
Under mild conditions, it is possible to obtain, from almost purely measure-theoretic considerations and without any specific reference to stochastic processes, a change-of-measures result, resembling the usual Radon-Nikod\'ym change of…
It is known in the case of the Stieltjes transform that evaluating the integral by expanding the kernel of transformation followed by term by term integration leads to an infinite series of divergent integrals. Moreover, it is known that…