Related papers: Rough differential equations with unbounded drift …
In this article we study (possibly degenerate) stochastic differential equations (SDE) with irregular (or discontiuous) coefficients, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere…
In this paper, we consider a stochastic system described by a differential equation admitting a spatially varying random coefficient. The differential equation has been employed to model various static physics systems such as elastic…
We study stochastic optimal control of rough stochastic differential equations (RSDEs). This is in the spirit of the pathwise control problem (Lions--Souganidis 1998, Buckdahn--Ma 2007; also Davis--Burstein 1992), with renewed interest and…
In this paper we prove the strong averaging principle for a slow-fast system of rough differential equations. The slow and the fast component of the system are driven by a rather general random rough path and Brownian rough path,…
We consider a system of partial differential equations describing the steady flow of a compressible heat conducting Newtonian fluid in a three-dimensional channel with inflow and outflow part. We show the existence of a strong solution…
Solving fluid dynamics equations often requires the use of closure relations that account for missing microphysics. For example, when solving equations related to fluid dynamics for systems with a large Reynolds number, sub-grid effects…
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…
Using the method of Krylov's estimates, we prove the existence of weak solutions of stochastic differential equations driven by purely discontinuous Levy processes satisfying an additional assumption. The diffusion coefficient is assumed to…
In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the…
We study the nonequilibrium dynamics of line liquids as realized in the nonlinear motion of flux lines of a superconductor driven by an applied electric current. Our analysis suggests a transition in the dynamics of the lines from a smooth,…
In this paper, we apply rough paths techniques to provide an approximation of the solution of stochastic functional differential equations driven by fractional Brownian motion with Hurst parameter $H>1/2$. Here, the involved stochastic…
The purpose of this paper is to study some properties of solutions to one dimensional as well as multidimensional stochastic differential equations (SDEs in short) with super-linear growth conditions on the coefficients. Taking inspiration…
Via a special transform and by using the techniques of the Malliavin calculus, we analyze the density of the solution to a stochastic differential equation with unbounded drift.
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…
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…
This paper is concerned with the large deviation principle of the non-local fractional stochastic reaction-diffusion equation with a polynomial drift of arbitrary degree driven by multiplicative noise defined on unbounded domains. We first…
The paper is split in two parts: in the first part, we construct the exact likelihood for a discretely observed rough differential equation, driven by a piecewise linear path. In the second part, we use this likelihood in order to construct…
We prove some existence, uniqueness and non-existence results of stochastic strong solutions for a class of stochastic transport equations with a $q$-integrable (in time), bounded and $\alpha$-H\"{o}lder continuous (in space) drift…
We study strong existence and pathwise uniqueness for stochastic differential equations in $\RR^d$ with rough coefficients, and without assuming uniform ellipticity for the diffusion matrix. Our approach relies on direct quantitative…
We present a macro-scale description of quasi-periodically developed flow in channels, which relies on double volume-averaging. We show that quasi-developed macro-scale flow is characterized by velocity modes which decay exponentially in…