Related papers: On the submartingale problem for reflected diffusi…
The boundary problem of linear classical optics about the interaction of electromagnetic radiation with a thin dielectric film has been solved under explicit consideration of its discrete structure. The main attention has been paid to the…
In this paper, we consider a class of Mckean-Vlasov stochastic differential equation with oblique reflection over an non-smooth time dependent domain. We establish the existence and uniqueness results of this class, address the propagation…
We compute the first order correction of the effective viscosity for a suspension containing solid particles with arbitrary shapes. We rewrite the computation as an homogenization problem for the Stokes equations in a perforated domain.…
Prolongating our previous paper on the Einstein relation, we study the motion of a particle diffusing in a random reversible environment when subject to a small external forcing. In order to describe the long time behavior of the particle,…
Stochastic variational inequalities provide a unified treatment for stochastic differential equations living in a closed domain with normal reflection and (or) singular repellent drift. When the domain is a polyhedron, we prove that the…
Many physical phenomena occur on domains that grow in time. When the timescales of the phenomena and domain growth are comparable, models must include the dynamics of the domain. A widespread intrinsically slow transport process is…
In this paper, we investigate the well-posedness of the martingale problem associated to non-linear stochastic differential equations (SDEs) in the sense of McKean-Vlasov under mild assumptions on the coefficients as well as classical…
In this paper, we investigate the well-posedness of weak solutions to the time-fractional Fokker-Planck equation. Its dynamics is governed by anomalous diffusion, and we consider the most general case of space-time dependent forces.…
Over the recent past data-driven algorithms for solving stochastic optimal control problems in face of model uncertainty have become an increasingly active area of research. However, for singular controls and underlying diffusion dynamics…
We provide explicit classical solutions and stochastic analogues for distributed-order space-time fractional diffusion equations on bounded domains with zero exterior boundary conditions. We also show that our results still hold when the…
We show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time. Such processes are constructed as limits of a sequence of…
We study the second-order asymptotics around the superdiffusive strong law~\cite{MMW} of a multidimensional driftless diffusion with oblique reflection from the boundary in a generalised parabolic domain. In the unbounded direction we prove…
In this paper, we establish well-posedness of reflected McKean-Vlasov SDEs and their particle approximations in smooth non-convex domains. We prove convergence of the interacting particle system to the corresponding mean-field limit with…
We study the problem of the existence, uniqueness and stability of solutions of reflected stochastic differential equations (SDEs) with a minimality condition depending on the law of the solution (and not on the paths). We require that some…
In this article, we consider diffusion approximations for a general class of stochastic recursions. Such recursions arise as models for population growth, genetics, financial securities, multiplicative time series, numerical schemes and…
In this paper, we investigate stochastic heat equation with sublinear diffusion coefficients. By assuming certain concavity of the diffusion coefficient, we establish non-trivial moment upper bounds and almost sure spatial asymptotic…
We investigate the well-posedness of a class of stochastic second-order in time damped evolution equations in Hilbert spaces, subject to the constraint that the solution lie within the unitary sphere. Then, we focus on a specific example,…
In this paper, we study the Wong-Zakai approximation of the solution to the stochastic differential equation on a domain $D$ in a Euclidean space with normal reflection at the boundary. We prove the $L^p$ convergence of the approximation in…
In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a…
It is shown that in the case of the one-particle one-dimensional scattering problem for a given time-independent potential, for each state of the whole quantum ensemble of identically prepared particles, there is an unique pair of…