Related papers: Infinite-dimensional stochastic differential equat…
We consider statistical tasks in high dimensions whose loss depends on the data only through its projection into a fixed-dimensional subspace spanned by the parameter vectors and certain ground truth vectors. This includes classifying…
We consider a random diffusion dynamics for an infinite system of hard spheres of two different sizes evolving in $\mathbb{R}^d$, its reversible probability measure, and its projection on the subset of the large spheres. The main feature is…
We develop a new randomized iterative algorithm---stochastic dual ascent (SDA)---for finding the projection of a given vector onto the solution space of a linear system. The method is dual in nature: with the dual being a non-strongly…
The systematic approach for the calculations of the non-perturbative contributions to the free energy in the ferromagnetic phase of the random field Ising model is developed. It is demonstrated that such contributions appear due to…
This paper consists in the study of a stochastic differential equation on a metric graph, called an interface SDE $(\hbox{ISDE})$. To each edge of the graph is associated an independent white noise, which drives $(\hbox{ISDE})$ on this…
We consider both discrete and continuous "uncertain horizon" deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes,…
We show existence and uniqueness of a continuous with polynomial growth viscosity solution of a system of second order integral-partial differential equations (IPDEs for short) without assuming the usual monotonicity condition of the…
The stochastic motion in a nonhomogeneous medium with traps is studied and diffusion properties of that system are discussed. The particle is subjected to a stochastic stimulation obeying a general L\'evy stable statistics and experiences…
The asymptotic behavior of a class of stochastic reaction-diffusion-advection equations in the plane is studied. We show that as the divergence-free advection term becomes larger and larger, the solutions of such equations converge to the…
Isostasy explains why observed gravity anomalies are generally much weaker than what is expected from topography alone, and why planetary crusts can support high topography without breaking up. Classical isostasy, however, neglects internal…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs…
We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This immediately leads to a formula for the distribution of the…
A stochastic differential equation with coefficients defined in a scale of Hilbert spaces is considered. The existence, uniqueness and path-continuity of infinite-time solutions is proved by an extension of the Ovsyannikov method. This…
We introduce and compare computational techniques for sharp extreme event probability estimates in stochastic differential equations with small additive Gaussian noise. In particular, we focus on strategies that are scalable, i.e. their…
In this paper, we propose a method for bounding the probability that a stochastic differential equation (SDE) system violates a safety specification over the infinite time horizon. SDEs are mathematical models of stochastic processes that…
Diffusion is the macroscopic manifestation of disordered molecular motion. Mathematically, diffusion equations are partial differential equations describing the fluid-like large-scale dynamics of parcels of molecules. Spatially…
Motivated by the modeling of the spatial structure of the velocity field of three-dimensional turbulent flows, and the phenomenology of cascade phenomena, a linear dynamics has been recently proposed able to generate high velocity gradients…
We consider infinite-dimensional random diffusion dynamics for the Asakura--Oosawa model of interacting hard spheres of two different sizes. We construct a solution to the corresponding SDE with collision local times, analyse its reversible…
This paper (alongside its companion, Part II \cite{BSDEYoung-II}) investigates backward stochastic differential equations (BSDEs) involving a nonlinear Young integral of the form $\int_{t}^{T}g(Y_{r})\eta(dr,X_{r})$, where the driver…
Sticky diffusion models a Markovian particle experiencing reflection and temporary adhesion phenomena at the boundary. Numerous numerical schemes exist for approximating stopped or reflected stochastic differential equations (SDEs), but…