Related papers: Well-posedness of Multidimensional Diffusion Proce…
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…
We investigate the well-posedness problem related to two models of nonlinear McKean Stochastic Differential Equations with some local interaction in the diffusion term. First, we revisit the case of the McKean-Vlasov dynamics with moderate…
In this paper we study second order stochastic differential equations with measurable and density-distribution dependent coefficients. Through establishing a maximum principle for kinetic Fokker-Planck-Kolmogorov equations with…
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.…
Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for…
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent convex dynamic procedures in a non dominated setting.…
This paper is addressed to the well-posedness of some linear and semilinear backward stochastic differential equations with general filtration, without using the Martingale Representation Theorem. The point of our approach is to introduce a…
We study the well-posedness for initial boundary value problems associated with time fractional diffusion equations with non-homogenous boundary and initial values. We consider both weak and strong solutions for the problems. For weak…
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…
We investigate aspects of semimartingale decompositions, approximation and the martingale representation for multidimensional correlated Markov processes. A new interpretation of the dependence among processes is given using the martingale…
In this paper, we develop a general methodology to prove weak uniqueness for stochastic differential equations with coefficients depending on some path-functionals of the process. As an extension of the technique developed by Bass \&…
We identify the stochastic processes associated with one-sided fractional partial differential equations on a bounded domain with various boundary conditions. This is essential for modelling using spatial fractional derivatives. We show…
We prove the pathwise well-posedness of stochastic porous media and fast diffusion equations driven by nonlinear, conservative noise. As a consequence, the generation of a random dynamical system is obtained. This extends results of the…
The well-posedness and regularity properties of diffusion-aggregation equations, emerging from interacting particle systems, are established on the whole space for bounded interaction force kernels by utilizing a compactness convergence…
A stochastic PDE, describing mesoscopic fluctuations in systems of weakly interacting inertial particles of finite volume, is proposed and analysed in any finite dimension $d\in\mathbb{N}$. It is a regularised and inertial version of the…
We regard the Cauchy problem for a particular Whitham-Boussinesq system modelling surface waves of an inviscid incompressible fluid layer. We are interested in well-posedness at a very low level of regularity. We derive dispersive and…
This work's major intention is the investigation of the well-posedness of certain cross-diffusion equations in the class of bounded functions. More precisely, we show existence, uniqueness and stability of bounded weak solutions under the…
We consider the Fokker--Planck equations with irregular coefficients. Two different cases are treated: in the degenerate case, the coefficients are assumed to be weakly differentiable, while in the non-degenerate case the drift satisfies…
The goal of this paper is to study weak solutions of the Fokker-Planck equation. We first discuss existence and uniqueness of weak solutions in an irregular context, providing a unified treatment of the available literature along with some…
A reaction-diffusion equation with power nonlinearity formulated either on the half-line or on the finite interval with nonzero boundary conditions is shown to be locally well-posed in the sense of Hadamard for data in Sobolev spaces. The…