Related papers: A distribution-function-valued SPDE and its applic…
In this article we study the differentiability of solutions of parabolic semilinear stochastic evolution equations (SEEs) with respect to their initial values. We prove that if the nonlinear drift coefficients and the nonlinear diffusion…
We provide a general framework for the stability of solutions to stochastic partial differential equations with respect to perturbations of the drift. More precisely, we consider stochastic partial differential equations with drift given as…
In this paper a martingale problem for super-Brownian motion with interactive branching is derived. The uniqueness of the solution to the martingale problem is obtained by using the pathwise uniqueness of the solution to a corresponding…
We consider parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a $Q$-Wiener process with a small noise based on high frequency spatio-temporal data. We…
Our first result is a stochastic sewing lemma with quantitative estimates for mild incremental processes, with which we study SPDEs driven by fractional Brownian motions in a random environment. We obtain uniform $L^p$-bounds. Our second…
In this paper we present a new method for the construction of strong solutions of SDE's with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H < 1/2. Furthermore, we prove…
We develop a new approach for solving stochastic quantum master equations with mixed initial states. First, we obtain that the solution of the jump-diffusion stochastic master equation is represented by a mixture of pure states satisfying a…
We consider the solution of $\partial_t u=\partial_x^2 u+\partial_x\partial_t B,\,(x,t)\in R\times(0,\infty)$, subject to $u(x,0)=0,\,x\in R$, where $B$ is a Brownian sheet. We show that $u$ also satisfies $\partial_x^2 u…
E. Schroedinger proposed the equation to find the statistical property of a quantum particle on a finite time interval. It is called "Schroedinger's functional equation". Given probability distributions of a particle at initial and terminal…
We introduce a novel paradigm for learning non-parametric drift and diffusion functions for stochastic differential equation (SDE). The proposed model learns to simulate path distributions that match observations with non-uniform time…
In this paper we study the randomized non-autonomous complete linear differential equation. The diffusion coefficient and the source term in the differential equation are assumed to be stochastic processes and the initial condition is…
In the first part of the paper we develop the sensitivity analysis for the nonlinear McKean-Vlasov diffusions stressing precise estimates of growth of solutions and their derivatives with respect to the initial data, under rather general…
We study existence and uniqueness of a variational solution in terms of stochastic variational inequalities (SVI) to stochastic nonlinear diffusion equations with a highly singular diffusivity term and multiplicative Stratonovich…
The objective of this work is to prove, in a first step, the existence and the uniqueness of a solution of the following multivalued deterministic differential equation: $dx(t)+\partial ^-\varphi (x(t))(dt)\ni dm(t),\ t>0$, $x(0)=x_0$,…
We consider reaction-diffusion equations that are stochastically forced by a small multiplicative noise term. We show that spectrally stable traveling wave solutions to the deterministic system retain their orbital stability if the…
We present a framework for solving time-dependent partial differential equations (PDEs) in the spirit of the random feature method. The numerical solution is constructed using a space-time partition of unity and random feature functions.…
We consider a class of stochastic reaction-diffusion equations also having a stochastic perturbation on the boundary and we show that when the diffusion rate is much larger than the rate of reaction, it is possible to replace the SPDE by a…
This paper deals with the process $X = (X_t)_{t\in [0,T]}$ defined by the stochastic differential equation (SDE) $dX_t = (a(X_t) + b(Y_t))dt +\sigma(X_t)dW_1(t)$, where $W_1$ is a Brownian motion and $Y$ is an exogenous process. The first…
In this paper, we study a two-species model in the form of a coupled system of nonlinear stochastic differential equations (SDEs) that arises from a variety of applications such as aggregation of biological cells and pedestrian movements.…
The problem of approximating the covariance operator of the mild solution to a linear stochastic partial differential equation is considered. An integral equation involving the semigroup of the mild solution is derived and a general error…