Related papers: Infinite-dimensional stochastic differential equat…
A stochastic dynamics $({\bf X}(t))_{t\ge0}$ of a classical continuous system is a stochastic process which takes values in the space $\Gamma$ of all locally finite subsets (configurations) in $\Bbb R$ and which has a Gibbs measure $\mu$ as…
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…
A system of Brownian hard balls is regarded as a reflecting Brownian motion in the configuration space and can be represented by a solution to a Skorohod-type equation. In this article, we consider the case that there are an infinite number…
We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic…
We consider stochastic differential equations (SDEs) driven by a fractional Brownian motion with a drift coefficient that is allowed to be arbitrarily close to criticality in a scaling sense. We develop a comprehensive solution theory that…
Uniform large deviation principles for positive functionals of all equivalent types of infinite dimensional Brownian motions acting together with a Poisson random measure are established. The core of our approach is a variational…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
Dyson's model on interacting Brownian particles is a stochastic dynamics consisting of an infinite amount of particles moving in $ \R $ with a logarithmic pair interaction potential. For this model we will prove that each pair of particles…
In this paper we consider an interacting particle system modeled as a system of $N$ stochastic differential equations driven by Brownian motions with a drift term including a confining potential acting on each particle, and an interaction…
The solutions of parabolic and hyperbolic stochastic partial differential equations (SPDEs) driven by an infinite dimensional Brownian motion, which is a martingale, are in general not semi-martingales any more and therefore do not satisfy…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
In this paper, we study well-posedness of random periodic solutions of stochastic differential equations (SDEs) of McKean-Vlasov type driven by a two-sided Brownian motion, where the random periodic behaviour is characterised by the…
We give a new estimate on Stieltjes integrals of H\"older continuous functions and use it to prove an existence-uniqueness theorem for solutions of ordinary differential equations with H\"older continuous forcing. We construct stochastic…
In this paper we study the existence and uniqueness of the strong solution of following d dimensional stochastic differential equation (SDE) driven by Brownian motion: dX(t)=b(t,X(t))dt+a(t,X(t))dB(t), X(0)= x, where B is a d-dimensional…
By using a change of scale and space, we study a class of stochastic differential equations (SDEs) whose solutions are drift--perturbed and exhibit behaviour analogous to standard Brownian motion including to the Law of the Iterated…
We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H>1/2 and a…
The aim is to prove the well-posedness of infinite horizon backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with quadratic generators. To this end, we provide a full construction of explicit solutions to…
This article focuses on a system of sticky Brownian motions, also known as Howitt-Warren martingale problem, and correlated Brownian motions and shows that infinite-dimensional orthogonal polynomials intertwine the dynamics of infinitely…
We review probabilistic approaches to the Gross-Pitaevskii theory describing interacting dilute systems of particles. The main achievement are large deviations principles for the mean occupation measure of a large system of interacting…
We construct the full edge scaling limit of the singular values of Brownian motion on the general linear group $\mathsf{GL}_N(\mathbb{C})$ starting from general conditions. We show that the limiting paths solve an infinite system of SDE…