Related papers: Coordinate-free Stochastic Differential Equations …
We propose a formal framework based on collective coordinates to reduce infinite-dimensional stochastic partial differential equations (SPDEs) with symmetry to a set of finite-dimensional stochastic differential equations which describe the…
We study a one-dimensional McKean-Vlasov stochastic differential equation (SDE) with a drift equal to a product of a distribution depending on the state of the process and a non-linear function depending pointwise on the law density of the…
This paper focuses on recent works on McKean-Vlasov stochastic differential equations (SDEs) involving singular coefficients. After recalling the classical framework, we review existing recent literature depending on the type of…
Timeseries generated from a dynamical source can often be modeled as sample paths of a stochastic differential equation (SDE). The timeseries thus reflects the motion of a particle which flows along the direction provided by a drift /…
In this paper, we propose a mesh-free numerical method for solving elliptic PDEs on unknown manifolds, identified with randomly sampled point cloud data. The PDE solver is formulated as a spectral method where the test function space is the…
The geodesic flow on a finite discrete q-manifold with or without boundary is defined as as a permutation of its ordered q-simplices. This allows to define geodesic sheets and a notion of sectional curvature.
The global structure of the atmosphere and the oceans is a continuous source of intriguing challenges in geophysical fluid dynamics (GFD). Among these, jets are determinant in the air and water circulation around the Earth. In the last…
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the case of globally Lipschitz continuous coefficients. However, in…
We present a Direct Statistical Simulation (DSS) of jet formation on a \beta-plane, solving for the statistics of a fluid flow via an expansion in cumulants. Here we compare an expansion truncated at second order (CE2) to statistics…
In a natural way, the local diffeomorphisms of a manifold onto itself act on the reference frame bundles of any order and on the bundles associated with them. Due to the transitivity, the invariants by diffeomorphisms of an associated…
We quantize a multidimensional $SDE$ (in the Stratonovich sense) by solving the related system of $ODE$'s in which the $d$-dimensional Brownian motion has been replaced by the components of functional stationary quantizers. We make a…
In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial…
We are interested in the numerical approximation of non-linear stochastic differential equations (SDEs) with solution in a certain domain. Our goal is to construct explicit numerical schemes that preserve that structure. We generalize the…
An interpretation of scale-invariant multiplicity fluctuations inside hadronic jets is presented. It is based on the branching mechanism with the angular ordering of soft partons in sequential branchings. A relationship with fractal…
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…
Stochastic differential equations projected onto manifolds occur in physics, chemistry, biology, engineering, nanotechnology and optimization, with interdisciplinary applications. Intrinsic coordinate stochastic equations on the manifold…
We study hypoelliptic stochastic differential equations (SDEs) and their connection to degenerate-elliptic boundary value problems on bounded or unbounded domains. In particular, we provide probabilistic conditions that guarantee that the…
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or vector fields is assumed. Under a simple condition on the…
For stochastic systems driven by continuous semimartingales an explicit formula for the logarithm of the Ito flow map is given. A similar formula is also obtained for solutions of linear matrix-valued SDEs driven by arbitrary…
Inspired by recent progress in quantum algorithms for ordinary and partial differential equations, we study quantum algorithms for stochastic differential equations (SDEs). Firstly we provide a quantum algorithm that gives a quadratic…