Related papers: On explicit solutions to Ito diffusions
We prove the existence and uniqueness of strong solutions for stochastic differential equations in which the drift coefficient is square integrable in time variable and H\"{o}lder continuous in space variable. Moreover, we prove that the…
If X is a d-dimensional uniformly elliptic diffusion, with initial law nu, we show that F(X) is a Dirichlet process, whenever F satisfies an integrability condition linking its weak derivative to the coefficients of the diffusion and the…
A stochastic representation for the solutions of the Poisson-Vlasov equation is obtained. The representation involves both an exponential and a branching process. The stochastic representation, besides providing an alternative existence…
Construction of splitting-step methods and properties of related non-negativity and boundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a…
In this article, we introduce the notion of stochastic symmetry of a differential equation. It consists in a stochastic flow that acts over a solution of a differential equation and produces another solution of the same equation. In the…
We consider numerical methods for linear parabolic equations in one spatial dimension having piecewise constant diffusion coefficients defined by a one parameter family of interface conditions at the discontinuity. We construct immersed…
The existence and uniqueness of the local strong solution to the three-dimensional compressible viscoelastic fluids near the equilibrium is established. In addition to the uniform estimates on the velocity, some essential uniform estimates…
We consider a stochastic Camassa-Holm equation driven by a one-dimensional Wiener process with a first order differential operator as diffusion coefficient. We prove the existence and uniqueness of local strong solutions of this equation.…
Diffusive representations of fractional derivatives have proven to be useful tools in the construction of fast and memory efficient numerical methods for solving fractional differential equations. A common challenge in many of the known…
We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable…
Space-time fractional evolution equations are a powerful tool to model diffusion displaying space-time heterogeneity. We prove existence, uniqueness and stochastic representation of classical solutions for an extension of Caputo evolution…
A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that…
In this paper, we provide a systematic way of finding explicit solutions for a class of continuous fragmentation equations with growth or decay in the state space and derive explicit solutions in the cases of constant and linear…
The qualitative analysis of the initial value problem P related to a non linear third order parabolic equation typical of diffusive models is discussed. Some basic properties of the the fundamental solution of a related linear operator are…
For given strongly local Dirichlet forms with possibly degenerate symmetric (sub)-elliptic matrix, we show the existence of weak solutions to the stochastic differential equations (associated with the Dirichlet forms) starting from all…
In this article we show that the ordinary stochastic differential equations of K.It\^{o} maybe considered as part of a larger class of second order stochastic PDE's that are quasi linear and have the property of translation invariance. We…
Schroedinger equation with imaginary PT-symmetric potential $V^{}(x) = i\,x^3$ is studied using the numerical discretization methods in both the coordinate and momentum representations. In the former case our results confirm that the model…
We investigate the existence of a robust, i.e., continuous, representation of the conditional distribution in a stochastic filtering model for multidimensional correlated jump-diffusions. Even in the absence of jumps, it is known that in…
This article introduces a certain class of stochastic processes, which we suggest to call mild Ito processes, and a new - somehow mild - Ito type formula for such processes. Examples of mild Ito processes are mild solutions of SPDEs and…
In this paper we study explicit strong solutions for two difference-differential fractional equations, defined via the generator of an immigration-death process, by using spectral methods. Moreover, we give a stochastic representation of…