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An unsteady problem is considered for a space-fractional diffusion equation in a bounded domain. A first-order evolutionary equation containing a fractional power of an elliptic operator of second order is studied for general boundary…
We introduce a stochastic fractional calculus. As an application, we present a stochastic fractional calculus of variations, which generalizes the fractional calculus of variations to stochastic processes. A stochastic fractional…
We relate the convergence of time-changed processes driven by fractional equations to the convergence of corresponding Dirichlet forms. The fractional equations we dealt with are obtained by considering a general fractional operator in…
Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…
A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for It\^{o} processes. These processes for…
This work deals with the one-dimensional Stefan problem with a general time-dependent boundary condition at the fixed boundary. Stochastic solutions are obtained using discrete random walks, and the results are compared with analytic…
We consider the Cauchy problem for a system of fully nonlinear parabolic equations. In this paper, we shall show the existence of global-in-time solutions to the problem. Our condition to ensure the global existence is specific to the fully…
We reduce the construction of a weak solution of the Cauchy problem for the Navier-Stokes system to the construction of a solution to a stochastic problem. Namely, we construct diffusion processes which allow us to obtain a probabilistic…
In this paper, we propose a stochastic conformal multi-symplectic method for a class of damped stochastic Hamiltonian partial differential equations in order to inherit the intrinsic properties, and apply the numerical method to solve a…
The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker-Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with…
A comprehensive convergence and stability analysis of some probabilistic numerical methods designed to solve Cauchy-type inverse problems is performed in this study. Such inverse problems aim at solving an elliptic partial differential…
Stable computational algorithms for the approximate solution of the Cauchy problem for nonstationary problems are based on implicit time approximations. Computational costs for boundary value problems for systems of coupled multidimensional…
In this paper, we first investigate the global existence of a solution for the stochastic fractional nonlinear Schr\"odinger equation with radially symmetric initial data in a suitable energy space $H^{\alpha}$. We then show that the…
A spectral decomposition method is used to obtain solutions to a class of nonlinear differential equations. We extend this approach to the analysis of the fractional form of these equations and demonstrate the method by applying it to the…
The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the observation path. We introduce a new time discretisation of…
This paper studies the properties of solutions for a double nonlinear time-dependent parabolic equation with variable density, not in divergence form with a source or absorption. The problem is formulated as a partial differential equation…
In this paper we develop a method to solve evolution equations on Gelfand triples with time-fractional derivative based on monotonicity techniques. Applications include deterministic and stochastic quasi-linear partial differential…
We study the Cauchy problem for Schr\"odinger type stochastic partial differential equations with uniformly bounded coefficients on a curved space. We give conditions on the coefficients, on the drift and diffusion terms, on the Cauchy…
This paper focuses on finding an approximate solution of a kind of Fokker-Planck equation with time-dependent perturbations. A formulation of the approximate solution of the equation is constructed, and then the existence of the formulation…
A hierarchical system of equations is introduced to describe dynamics of `sizes' of infinite clusters which coagulate and fragmentate with homogeneous rates of certain form. We prove that this system of equations is solved weakly by…