Related papers: Drift-diffusion equations on domains in $\mathbb{R…

We consider the problem of finding commuting self-adjoint extensions of the partial derivatives {(1/i)(\partial/\partial x_j):j=1,...,d} with domain C_c^\infty(\Omega) where the self-adjointness is defined relative to L^2(\Omega), and…

We are interested in the time discretization of stochastic differential equations with additive d-dimensional Brownian noise and L q -- L $\rho$ drift coefficient when the condition d $\rho$ + 2 q < 1, under which Krylov and R{\"o}ckner…

Let $\Omega$ be a domain in $\Ri^d$ with boundary $\Gamma$${\!,}$ $d_\Gamma$ the Euclidean distance to the boundary and $H=-\divv(C\,\nabla)$ an elliptic operator with $C=(\,c_{kl}\,)>0$ where $c_{kl}=c_{lk}$ are real, bounded, Lipschitz…

In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in…

This paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can…

In this work, we introduce a new method to prove the existence and uniqueness of a variational solution to the stochastic nonlinear diffusion equation $dX(t)={\rm div} [\frac{\nabla X(t)}{|\nabla X(t)|}]dt+X(t)dW(t) in…

We consider the two-dimensional advection-diffusion equation on a bounded domain subject to either Dirichlet or von Neumann boundary conditions and study both time-independent and time-periodic cases involving Liouville integrable…

We prove existence and uniqueness of strong solutions to a large class of autonomous stochastic differential equations on an open domain, where the drift exhibits a singular behaviour at the boundary. The main result involves a drift…

We analyze a reaction coefficient identification problem for the spectral fractional powers of a symmetric, coercive, linear, elliptic, second-order operator in a bounded domain $\Omega$. We realize fractional diffusion as the…

This paper is concerned with the large deviation principle of the non-local fractional stochastic reaction-diffusion equation with a polynomial drift of arbitrary degree driven by multiplicative noise defined on unbounded domains. We first…

We consider a Poisson equation in $\mathbb R^d$ for the elliptic operator corresponding to an ergodic diffusion process. Optimal regularity and smoothness with respect to the parameter are obtained under mild conditions on the coefficients.…

We study the transport property of diffusion in a finite translationally invariant quantum subsystem described by a tight-binding Hamiltonian with a single energy band and interacting with its environment by a coupling in terms of…

We provide explicit classical solutions and stochastic analogues for distributed-order space-time fractional diffusion equations on bounded domains with zero exterior boundary conditions. We also show that our results still hold when the…

We prove the solvability of It\^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in $L_{d+1}(\mathbb{R}^{d+1})$. Actually, the powers of summability of the drift in $x$ and $t$ could be different.…

This paper deals with collisionless transport equations in bounded open domains $\Omega \subset \R^{d}$ $(d\geq 2)$ with $\mathcal{C}^{1}$ boundary $\partial \Omega $, orthogonally invariant velocity measure $\bm{m}(\d v)$ with support…

A generalisation of Takens' delay-coordinate embedding theorem to stochastic systems, the Stochastic Embedding Sufficiency Theorem, is an inverse methodology enabling non-parametric recovery of both drift and diffusion fields from scalar…

In this paper we study the strong convergence for the Euler-Maruyama approximation of a class of stochastic differential equations whose both drift and diffusion coefficients are possibly discontinuous.

In this work, we study convection-diffusion equations in the cases of bounded drifts and drifts induced by the gradient of a potential. We define a new notion of solution and prove its existence and uniqueness. Furthermore, we show the…

We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…

The asymptotic analysis of a linear high-field Wigner-BGK equation is developped by a modified Chapman-Enskog procedure. By an expansion of the unknown Wigner function in powers of the Knudsen number $\epsilon$, evolution equations are…