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The paper is devoted to a stochastic optimal control problem for a two scale, infinite dimensional, stochastic system. The state of the system consists of slow and fast component and its evolution is driven by both continuous Wiener noises…
This paper provides an extended case study of the cutoff phenomenon for a prototypical class of nonlinear Langevin systems with a single stable state perturbed by an additive pure jump L\'evy noise of small amplitude $\varepsilon>0$, where…
In this paper we study zero-noise limits of $\alpha -$stable noise perturbed ODE's which are driven by an irregular vector field $A$ with asymptotics $% A(x)\sim \overline{a}(\frac{x}{\left\vert x\right\vert })\left\vert x\right\vert…
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
In the past decade, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that has discontinuities in space has begun. In the majority of these results it is assumed that the drift…
This paper deals with a version of the two-timing method which describes various `slow' effects caused by externally imposed `fast' oscillations. Such small oscillations are often called \emph{vibrations} and the research area can be…
Discrete differential equations appear most prominently in planar map and lattice path enumeration. In this work we consider discrete differential equations with an additional parameter $x$, where the order of the equation is $1$ for $x=0$…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
The aim of the present paper is to investigate the behavior of the spectrum of the Neumann Laplacian in domains with little holes excised from the interior. More precisely, we consider the eigenvalues of the Laplacian with homogeneous…
We consider parameter estimation of stochastic differential equations driven by a Wiener process and a compound Poisson process as small noises. The goal is to give a threshold-type quasi-likelihood estimator and show its consistency and…
We study the problem of parameter estimation using maximum likelihood for fast/slow systems of stochastic differential equations. Our aim is to shed light on the problem of model/data mismatch at small scales. We consider two classes of…
We consider a system of stochastic interacting particles in $\mathbb{R}^d$ and we describe large deviations asymptotics in a joint mean-field and small-noise limit. Precisely, a large deviations principle (LDP) is established for the…
We establish the large deviation principle for the slow variables in slow-fast dynamical system driven by both Brownian noises and L\'evy noises. The fast variables evolve at much faster time scale than the slow variables, but they are…
We generalize the notion of pathwise viscosity solutions, put forward by Lions and Souganidis to study fully nonlinear stochastic partial differential equations, to equations set on a sub-domain with Neumann boundary conditions. Under a…
In this paper, we build tests for the presence of residual noise in a model where the market microstructure noise is a known parametric function of some variables from the limit order book. The tests compare two distinct quasi-maximum…
In this paper, we study the motion by mean curvature of curves in the plane perturbed by scale-dependent noise. We first introduce a so-called scale-dependent noise from the physics background to the curve shortening flow. To be more…
We consider an elliptic-parabolic free boundary problem that models the fluid flow through a partially saturated porous medium. The free boundary arises as the interface separating the saturated and unsaturated regions. Our main goal is to…
In this paper, we consider a stochastic model of incompressible non-Newtonian fluids of second grade on a bounded domain of $\mathbb{R}^2$ with multiplicative noise. We first show that the solutions to the stochastic equations of second…
In this work, we investigate positive recurrent L\'evy diffusions driven by appropriately scaled Brownian motion and $\alpha$-stable process (with $1<\alpha<2$) in the small noise regime. Supposing that in the vanishing noise limit, our…
In this paper, under a one-sided Lipschitz condition on the drift coefficient we adopt (via contraction principle) a exponential approximation argument to investigate large deviations for neutral stochastic functional differential…