Related papers: Intrinsic expansions for averaged diffusion proces…
In this paper we study the existence and uniqueness of the strong solution of following d dimensional stochastic differential equation (SDE) driven by Brownian motion: dX(t)=b(t,X(t))dt+a(t,X(t))dB(t), X(0)= x, where B is a d-dimensional…
We investigate properties of Markov quasi-diffusion processes corresponding to elliptic operators $L=a^{ij}D_{ij}+b^{i}D_{i}$, acting on functions on $\mathbb{R}^{d}$, with measurable coefficients, bounded and uniformly elliptic $a$ and…
In this paper we provide an extensive classification of one and two dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying…
Dawson's integral and related functions in mathematical physics that include the complex error function (Faddeeva's integral), Fried-Conte (plasma dispersion) function, (Jackson) function, Fresnel function and Gordeyev's integral are…
The Bessel process with parameter $D>1$ and the Dyson model of interacting Brownian motions with coupling constant $\beta >0$ are extended to the processes in which the drift term and the interaction terms are given by the logarithmic…
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 give a convergence proof for the approximation by sparse collocation of Hilbert-space-valued functions depending on countably many Gaussian random variables. Such functions appear as solutions of elliptic PDEs with lognormal diffusion…
An inductive procedure is developed to calculate the asymptotic behavior at time zero of a diffusion with polynomial drift and degenerate, additive noise. The procedure gives rise to two different rescalings of the process; namely, a…
We develop techniques for determining the exact asymptotic speed of convergence in the multidimensional normal approximation of smooth functions of Gaussian fields. As a by-product, our findings yield exact limits and often give rise to…
In this paper, we investigate propagation phenomena for KPP bulk-surface systems in a cylindrical domain with general section and heterogeneous coefficients. As for the scalar KPP equation, we show that the asymptotic spreading speed of…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
We demonstrate that the use of asymptotic expansion as prior knowledge in the "deep BSDE solver", which is a deep learning method for high dimensional BSDEs proposed by Weinan E, Han & Jentzen (2017), drastically reduces the loss function…
We present a dimension-incremental method for function approximation in bounded orthonormal product bases to learn the solutions of various differential equations. Therefore, we decompose the source function of the differential equation…
Contractive selfadjoint extensions of a Hermitian contraction $B$ in a Hilbert space ${\mathfrak H}$ with an exit in some larger Hilbert space ${\mathfrak H}\oplus{\mathcal H}$ are investigated. This leads to a new geometric approach for…
We introduce the notion of pathwise entropy solutions for a class of degenerate parabolic-hyperbolic equations with non-isotropic nonlinearity and fluxes with rough time dependence and prove their well-posedness. In the case of Brownian…
Modern density functional approximations achieve moderate accuracy at low computational cost for many electronic structure calculations. Some background is given relating the gradient expansion of density functional theory to the WKB…
Using analysis for 2-admissible functions in weighted Sobolev spaces and stochastic calculus for possibly degenerate symmetric elliptic forms, we construct weak solutions to a wide class of stochastic differential equations starting from an…
We study one-dimensional stochastic differential equations of form $dX_t = \sigma(X_t)dY_t$, where $Y$ is a suitable H\"older continuous driver such as the fractional Brownian motion $B^H$ with $H>\frac12$. The innovative aspect of the…
Asymptotic expansions of Green functions and spectral densities associated with partial differential operators are widely applied in quantum field theory and elsewhere. The mathematical properties of these expansions can be clarified and…
In the present article we study strong approximation of solutions of scalar stochastic differential equations (SDEs) with bounded and $\alpha$-H\"older continuous drift coefficient and constant diffusion coefficient at time point $1$.…