Related papers: Coordinate-free Stochastic Differential Equations …
In this article, we establish integration by parts formulas for the solutions of McKean-Vlasov stochastic differential equations with jumps under elliptic coefficients. The derived formulas accommodate both derivatives with respect to…
Using arithmetic jet spaces, we attach perfectoid spaces to smooth schemes and to $\delta$-morphisms of smooth schemes. We also study perfectoid spaces attached to arithmetic differential equations defined by some of the remarkable…
We formulate a new class of stochastic partial differential equations (SPDEs), named high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order integral-partial differential operators into both drift and diffusion…
Many important features of a field theory, {\it e.g.}, conserved currents, symplectic structures, energy-momentum tensors, {\it etc.}, arise as tensors locally constructed from the fields and their derivatives. Such tensors are naturally…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…
Stochastic differential equations (SDEs) provide a flexible framework for modeling temporal dynamics in partially observed systems. A central task is to calibrate such models from data, which requires inferring latent trajectories and…
Symmetry methods are by now recognized as one of the main tools to attack deterministic differential equations (both ODEs and PDEs); the situation is quite different for what concerns stochastic differential equations: here, symmetry…
This paper contributes to the theory of singularities of meromorphic linear ODEs in traceless $2\times2$ cases, focusing on their deformations and confluences. It is divided into two parts: The first part addresses individual singularities…
The goal of this study is to provide a method for computing the following: Given a network of curves in 3d (satisfying a condition at the intersection points), compute efficiently a smooth surface such that the curves are geodesics on it.…
We study stochastic differential equations (SDEs) with multiplicative Stratonovich-type noise of the form $ dX_t = b(X_t) dt + \sigma(X_t)\circ d W_t, X_0=x_0\in\mathbb{R}^d, t\geq0,$ with a possibly singular drift $b\in…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
We deal with a class of semilinear parabolic PDEs on the space of continuous functions that arise, for example, as Kolmogorov equations associated to the infinite-dimensional lifting of path-dependent SDEs. We investigate existence of…
Multiscale stochastic dynamical systems have been widely adopted to a variety of scientific and engineering problems due to their capability of depicting complex phenomena in many real world applications. This work is devoted to…
Non-relativistic particles that are effectively confined to two dimensions can in general move on curved surfaces, allowing dynamical phenomena beyond what can be described with scalar potentials or even vector gauge fields. Here we…
Partial differential equations (PDEs) with spatially-varying coefficients arise throughout science and engineering, modeling rich heterogeneous material behavior. Yet conventional PDE solvers struggle with the immense complexity found in…
These are course notes on the application of SDEs to options pricing. The author was partially supported by NSF grant DMS-0739195.
The machine learning methods for data-driven identification of partial differential equations (PDEs) are typically defined for a given number of spatial dimensions and a choice of coordinates the data have been collected in. This dependence…
The paper deals with the numerical solution of the nonlinear Ito stochastic differential equations (SDEs) appearing in the unravelling of quantum master equations. We first develop an exponential scheme of weak order 1 for general globally…
Consider a manifold $M$ endowed locally with a pair of complementary distributions $\Delta^H \oplus \Delta^V=TM$ and let $\text{Diff}(\Delta^H, M)$ and $\text{Diff}(\Delta^V, M)$ be the corresponding Lie subgroups generated by vector fields…
Numerical methods for stochastic differential equations with non-globally Lipschitz coefficients are currently studied intensively. This article gives an overview of our work for the case that the drift coefficient is potentially…