Related papers: Understanding stochastic differential equations
Random invariant manifolds are geometric objects useful for understanding complex dynamics under stochastic influences. Under a nonuniform hyperbolicity or a nonuniform exponential dichotomy condition, the existence of random pseudo-stable…
In this paper, we introduce and study a stochastic differential variational inequality (SDVI) which consists of a stochastic differential equation and a stochastic variational inequality. We obtain the existence and uniqueness of the…
In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have some fundamental differences from the well-known…
In this work we introduce a theory of stochastic integration with respect to general cylindrical semimartingales defined on a locally convex space $\Phi$. Our construction of the stochastic integral is based on the theory of tensor products…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
There is recent interest in finding a potential formulation for Stochastic Partial Differential Equations (SPDEs). The rationale behind this idea lies in obtaining all the dynamical information of the system under study from one single…
We discuss stochastic representations of advection diffusion equations with variable diffusivity, stochastic integrals of motion and generalized relative entropies.
We study uniqueness for a class of Volterra-type stochastic integral equations. We focus on the case of non-Lipschitz noise coefficients. The connection of these equations to certain degenerate stochastic partial differential equations…
Motivated by the limitations of the traditional definitions of the Riemann-Stieltjes and Darboux-Stieltjes integrals, we introduce a generalized Darboux-Stieltjes integral that is equivalent to an earlier generalization by Ross \cite{Ross}.…
In this paper we introduce a class of forward-backward stochastic differential equations on tensor fields of Riemannian manifolds, which are related to semi-linear parabolic partial differential equations on tensor fields. Moreover, we will…
This essay considers ways that recent uses of computers in mathematics challenge contemporary views on the nature of mathematical understanding. It also puts these challenges in a historical perspective and offers speculation as to a…
The goal of this Section is to formulate some of the basic results on the theory of integral equations and mention some of its applications. The literature of this subject is very large. Proofs are not given due to the space restriction.…
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…
Stochastic line integrals provide a useful tool for quantitatively characterizing irreversibility and detailed balance violation in noise-driven dynamical systems. A particular realization is the stochastic area, recently studied in coupled…
In this article, we characterize continuous stationary fields via generalized Langevin dynamics. This gives natural connections between stationary fields, stationary increment fields, self-similar fields, and generalized Langevin dynamics.…
A nonlinear partial differential equation is a nonlinear relationship between an unknown function and how it changes due to two or more input variables. A numerical method reduces such an equation to arithmetic for quick visualization, but…
This book aims to provide a brief overview of recent advancements in the theory of inverse problems for stochastic partial differential equations. In order to keep the content concise, we will only discuss the inverse problems of two…
This article introduces the splitting method to systems responding to rough paths as external stimuli. The focus is on nonlinear partial differential equations with rough noise but we also cover rough differential equations. Applications to…
We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable…
In this paper we discuss the stability of stochastic differential equations and the interplay between the moment stability of a SDE and the topology of the underlying manifold. Sufficient and necessary conditions are given for the moment…