Related papers: Large deviations for stochastic differential delay…

In this paper, we establish a small time large deviation principle for the strong solution of 3D stochastic primitive equations driven by multiplicative noise. Both the small noise and the small, but highly nonlinear, unbounded nonlinear…

We establish a large deviation principle for a reflected Poisson driven SDE. Our motivation is to study in a forthcoming paper the problem of exit of such a process from the basin of attraction of a locally stable equilibrium associated…

We present a systematic analysis of stochastic processes conditioned on an empirical measure $Q_T$ defined in a time interval $[0,T]$ for large $T$. We build our analysis starting from a discrete time Markov chain. Results for a continuous…

In this paper, we establish a moderate deviations principle for the Langevin dynamics with strong damping. The weak convergence approach plays an important role in the proof.

This paper develops the large deviations theory for the point process associated with the Euclidean volume of $k$-nearest neighbor balls centered around the points of a homogeneous Poisson or a binomial point processes in the unit cube. Two…

We utilize the weak convergence method to establish the Freidlin--Wentzell large deviations principle (LDP) for stochastic delay differential equations (SDDEs) with super-linearly growing coefficients, which covers a large class of cases…

We consider a stochastic delay differential equation driven by a general Levy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment process is…

We consider $p$ independent Brownian motions in $\R^d$. We assume that $p\geq 2$ and $p(d-2)<d$. Let $\ell_t$ denote the intersection measure of the $p$ paths by time $t$, i.e., the random measure on $\R^d$ that assigns to any measurable…

In this paper, the stability behaviors of stochastic differential equations (SDEs) driven by time-changed Brownian motions are discussed. Based on the generalized Lyapunov method and stochastic analysis, necessary conditions are provided…

In this paper we consider the Euler-Maruyama scheme for a class ofstochastic delay differential equations driven by a fractional Brownian motion with index $H\in(0,1)$. We establish the consistency of the scheme and study the rate of…

In this paper we develop a white noise framework for the study of stochastic partial differential equations driven by a d-parameter (pure jump) Levy white noise. As an example we use this theory to solve the stochastic Poisson equation with…

This work focuses on a slow-fast system perturbed by mixed fractional Brownian motion with Hurst parameter $H\in(1/2,1)$. The integral with respect to fractional Brownian motion is the generalized Riemann-Stieltjes integral and the integral…

Diffusion with stochastic transport is investigated here when the random driving process is a very general Gaussian process, including Fractional Brownian motion. The purpose is the comparison with a deterministic PDE, which in certain…

Through certain appropriate constructions, we establish periodic solutions in distribution for some stochastic differential equations with infinite-dimensional Levy noise. Additionally, we obtain the corresponding periodic measures and…

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…

In this paper we show that solutions of stochastic partial differential equations driven by Brownian motion can be approximated by stochastic partial differential equations forced by pure jump noise/random kicks. Applications to stochastic…

Wright's delay differential equation is one of the prime examples of a fully nonlinear equation without an explicit solution and whose dynamics can be understood by analytic means. In this paper, we introduce stochastic perturbations by…

In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a L\'evy process. We also suppose that the coefficient multiplying the increments of this process is merely Lipschitz…

We prove an large deviation principle for multivalued sdes

We prove strong small deviations results for Brownian motion under independent time-changes satisfying their own asymptotic criteria. We then apply these results to certain stochastic integrals which are elements of second-order homogeneous…