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We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when…
Nonlinear diffusion is studied in the presence of multiplicative noise. The nonlinearity can be viewed as a ``wall'' limiting the motion of the diffusing field. A dynamic phase transition occurs when the system ``unbinds'' from the wall.…
In this paper, we investigate the uniform large deviation principle of the fractional stochastic reaction-diffusion equation on the entire space R^n as the noise intensity approaches zero. The nonlinear drift term is dissipative and has a…
This article addresses the solvability of the multi-dimensional divergence-curl problem with a no-slip boundary condition. A solvability criterion is derived as an orthogonality condition of the vorticity function to pseudo-harmonic fields.…
We show that that the stochastic 3D primitive equations with either the physical boundary conditions or Neumann boundary conditions on the top and bottom and Dirichlet boundary condition on the sides driven by multiplicative…
In the present paper, a systematic study is made of quantitative semicontinuity (a.k.a. Lipschitzian) properties of certain multifunctions, which are defined as a solution map associated to a family of parameterized ``split" feasibility…
We study some linear and nonlinear shot noise models where the jumps are drawn from a compound Poisson process with jump sizes following an Erlang-$m$ distribution. We show that the associated Master equation can be written as a spatial…
We consider a perturbed Stokes system with critical divergence-free drift in a bounded Lipschitz domain in $R^2$, with sufficiently small Lipschitz constant L. It extends our previous work in $\Bbb R^n, n\ge 3$, to two-dimensional case. For…
We investigate a McKean-Vlasov stochastic differential equation with an additive common noise and in which the interaction is through the conditional expectation. We show that, in the presence of an additive individual noise, existence and…
The present paper is devoted to study the asymptotic behavior of a sequence of linear elliptic equations with a varying drift term, whose coefficients are just bounded in $L^N(\Omega)$, with $N$ the dimension of the space. It is known that…
One-dimensional stochastic differential equations with additive L\'evy noise are considered. Conditions for existence and uniqueness of a strong solution are obtained. In particular, if the noise is a L\'evy symmetric stable process with…
Pathwise uniqueness for stochastic PDEs with drift in differential form is a main open problem in the recent literature on regularisation by noise. This paper establishes a self-contained theory in the framework of stochastic evolution…
Wave propagation problems have many applications in physics and engineering, and the stochastic effects are important in accurately modeling them due to the uncertainty of the media. This paper considers and analyzes a fully discrete finite…
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solves the equation where the possibly stochastic drift is…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
We study the statistical properties of stochastic evolution equations driven by space-only noise, either additive or multiplicative. While forward problems, such as existence, uniqueness, and regularity of the solution, for such equations…
We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, e.g. a fractional Brownian motion. In the…
We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and negative axis, yet discontinuous at zero. This threshold…
Vector fields that are discontinuous on codimension-one surfaces are known as Filippov systems and can have attracting periodic orbits involving segments that are contained on a discontinuity surface of the vector field. In this paper we…
A bifurcating system subject to multiplicative noise can display on-off intermittency. Using a canonical example, we investigate the extreme sensitivity of the intermittent behavior to the nature of the noise. Through a perturbative…