Related papers: Intrinsic expansions for averaged diffusion proces…

This paper deals with the asymptotic study of the so-called canard solutions, which arise in the study of real singularly perturbed ODEs. Starting near an attracting branch of the "slow curve", those solutions are crossing a turning point…

Geometric Brownian motion is an exemplary stochastic processes obeying multiplicative noise, with widespread applications in several fields, e.g. in finance, in physics and biology. The definition of the process depends crucially on the…

We study a class of degenerate diffusion generators that arise in sequential testing and quickest detection problems with partial information. The observation process is driven by $k$ independent Brownian motions, while the hidden state…

Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an extension of It\^{o}'s formula for $F(X_t,t)$, where $F(x,t)$ has a locally square-integrable derivative in $x$ that satisfies a mild continuity condition in $t$ and…

Recently, it has been shown in [Hairer, M., Hutzenthaler, M., Jentzen, A., Loss of regularity for Kolmogorov equations, Ann. Probab. 43, 2 (2015), 468--527] that there exists a system of stochastic differential equations (SDE) on the time…

We consider elliptic partial differential equations with diffusion coefficients that depend affinely on countably many parameters. We study the summability properties of polynomial expansions of the function mapping parameter values to…

We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an It\^o semimartingale over a shrinking time interval. The spot characteristics of the It\^o semimartingale are allowed to have…

Among all generalized Ornstein-Uhlenbeck processes which sample the same invariant measure and for which the same amount of randomness (a $N$-dimensional Brownian motion) is injected in the system, we prove that the asymptotic rate of…

In this paper, we derive new asymptotic expansions for the solutions of higher order elliptic equations in the presence of small inclusions. As a byproduct, we derive a topological derivative based algorithm for the reconstruction of…

We study the asymptotic properties of an estimator of Hurst parameter of a stochastic differential equation driven by a fractional Brownian motion with $H > 1/2$. Utilizing the theory of asymptotic expansion of Skorohod integrals introduced…

In this article we investigate hypocoercivity of Langevin-type dynamics in nonlinear smooth geometries. The main result stating exponential decay to an equilibrium state with explicitly computable rate of convergence is rooted in an…

We consider stochastic differential equations (SDEs) driven by a fractional Brownian motion with a drift coefficient that is allowed to be arbitrarily close to criticality in a scaling sense. We develop a comprehensive solution theory that…

We demonstrate that stochastic differential equations (SDEs) driven by fractional Brownian motion with Hurst parameter H > 1/2 have similar ergodic properties as SDEs driven by standard Brownian motion. The focus in this article is on…

This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for $I(1)$ linear processes with moderately large cross-sectional dimension. The approach is based on empirical canonical correlations…

In this paper we address again the problem of the connection between multitime Brownian sheet and heat type PDEs. The main results include: the volumetric character of the solutions of the forward (backward) diffusion-like PDEs; the forward…

We give an introduction to discrete functional analysis techniques for stationary and transient diffusion equations. We show how these techniques are used to establish the convergence of various numerical schemes without assuming…

We study asymptotic error distributions associated with standard approximation scheme for one-dimensional stochastic differential equations driven by fractional Brownian motions. This problem was studied by, for instance, Gradinaru-Nourdin…

We establish the well-posedness of stochastic differential equations possessing degenerate diffusions and singular drifts. We prove that SDEs defined on the homogeneous Carnot group, whose hypoelliptic diffusion part is given by the…

Backward stochastic differential equations (BSDEs) appear in numeruous applications. Classical approximation methods suffer from the curse of dimensionality and deep learning-based approximation methods are not known to converge to the BSDE…

We study the dependence of mild solutions to linear stochastic evolution equations on Hilbert space driven by Wiener noise, with drift having linear part of the type $A+\varepsilon G$, on the parameter $\varepsilon$. In particular, we study…