Related papers: On explicit solutions to Ito diffusions
We consider the linear transport equation with a globally Holder continuous and bounded vector field. While this deterministic PDE may not be well-posed, we prove that a multiplicative stochastic perturbation of Brownian type is enough to…
The work concerns multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the existence and uniqueness of strong solutions for multivalued McKean-Vlasov stochastic differential equations with non-Lipschitz…
In this work, we introduce a new difference equation which is discrete analogue of Diffusion differential equation and analyze some essential spectral properties, Diffusion difference operator is self-adjoint, eigenvalues of this problem…
We discuss the interrelations between symmetry of an Ito stochastic differential equations (or systems thereof) and its integrability, extending in party results by R. Kozlov [J. Phys. A ${\bf 43}$ (2010) \& ${\bf 44}$ (2011)]. Together…
The possibility of different interpretations of the stochastic term (or calculi) in the overdamped Langevin equation for the motion of a particle in an inhomogeneous medium is often referred to as the "Ito--Stratonovich dilemma," although…
We derive It\^o-type change of variable formulas for smooth functionals of irregular paths with non-zero $p-$th variation along a sequence of partitions where $p \geq 1$ is arbitrary, in terms of fractional derivative operators, extending…
In this paper stochastic Volterra equations admitting exponentially bounded resolvents are studied. After obtaining convergence of resolvents, some properties for stochastic convolutions are studied. Our main result provide sufficient…
For the concrete model of Brownian particles dynamics in non-uniform environment, the time interval estimation is constructed, on which phenomenological Fick laws for diffusion phenomenon description can be used. The knowledge of these…
In the present paper initial problems for the semilinear integro-differential diffusion equation and system are considered. The analogue of Duhamel principle for the linear integro-differential diffusion equation is proved. The results on…
The article is devoted to the construction of explicit one-step numerical methods with the strong orders of convergence 2.0, 2,5, and 3.0 for Ito stochastic differential equations with multidimensional non-commutative noise. We consider the…
This work is devoted to establishing the local-in-time well-posedness of strong solutions to the three-dimensional compressible primitive equations of atmospheric dynamics. It is shown that strong solutions exist, unique, and depend…
In this paper we consider multi-dimensional partial differential equations of parabolic type involving divergence form operators that possess a discontinuous coefficient matrix along some smooth interface. The solution of the equation is…
In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point…
In this paper, we propose a dynamically low-dimensional approximation method to solve a class of time-dependent multiscale stochastic diffusion equations. A dynamically bi-orthogonal (DyBO) method was developed to explore low-dimensional…
We are concerned with the three dimensional navier-stokes equations driven by a general multiplicative noise. For every divergence free and mean free initial condition in L2, we establish existence of infinitely many global-in-time…
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 explain how the invariant subspace method can be extended to a scalar and coupled system of time-space fractional partial differential equations. The effectiveness and applicability of the method have been illustrated through time-space…
We propose to study a new type of Backward stochastic differential equations driven by a family of It\^o's processes. We prove existence and uniqueness of the solution, and investigate stability and comparison theorem.
The existence of the unique strong solution for a class of stochastic differential equations with non-Lipschitz coefficients was established recently. In this paper, we shall investigate the dependence with respect to the initial values. We…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…