Related papers: On singular stochastic differential equations and …
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…
In this work we study regularity properties of solutions to fractional elliptic problems with mixed Dirichlet-Neumann boundary data when dealing with the Spectral Fractional Laplacian.
Similarity solutions play an important role in many fields of science: we consider here similarity in stochastic dynamics. Important issues are not only the existence of stochastic similarity, but also whether a similarity solution is…
A space discrete approximation to a highly nonlinear reaction-diffusion system endowed with a stochastic dynamical boundary condition is analyzed and the convergence of the discrete scheme to the solution to the corresponding continuum…
Introducing certain singularities, we generalize the class of one-dimensional stochastic differential equations with so-called generalized drift. Equations with generalized drift, well-known in the literature, possess a drift that is…
By using the analytic tools of Dirichlet forms, we initiate a study of some non-linear parabolic equations on Sierpinski gasket, motivated by modellings of fluid flows along a fractal (which can be considered as a simplified rough porous…
In this paper, we consider stochastic homogenization of elliptic equations with unbounded and non-uniformly elliptic coefficients. Extending subadditive arguments, we get an estimate for the rate of the convergence of the solution of the…
We consider a stochastic differential equation of the form \[dX_t=\theta a(t,X_t)\,dt+\sigma_1(t,X_t)\sigma_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where $Y$ is some adapted stochastic process. We prove…
We consider a class of abstract quasilinear parabolic problems with lower--order terms exhibiting a prescribed singular structure. We prove well--posedness and Lipschitz continuity of associated semiflows. Moreover, we investigate global…
We consider singular-degenerate, multivalued stochastic fast diffusion equations with multiplicative Lipschitz continuous noise. In particular, this includes the stochastic sign fast diffusion equation arising from the Bak-Tang-Wiesenfeld…
This paper is dedicated to the study of the semilinear fractional diffusion-wave equation. We provide estimates on the families of linear operators related to the problem in the fractional power scale associated with the Laplace operator.…
In this paper, we shall explore the Mosco convergence on regular subspaces of one-dimensional irreducible and strongly local Dirichlet forms. We find that if the characteristic sets of regular subspaces are convergent, then their associated…
Slender-body approximations have been successfully used to explain many phenomena in low-Reynolds number fluid mechanics. These approximations typically use a line of singularity solutions to represent the flow. These singularities can be…
We study the invariance of stochastic differential equations under random diffeomorphisms, and establish the determining equations for random Lie-point symmetries of stochastic differential equations, both in Ito and in Stratonovich form.…
We investigate diffusion-type partial differential equations that are irregular in the sense that they admit weak solutions which are nowhere smooth, even for prescribed smooth data. By reformulating these equations as first-order partial…
In this paper, we establish a result for existence and uniqueness of stochastic differential equations on Riemannian manifolds, for regular inhomogeneous tensor coefficients with stochastic drift, under geometrical hypothesis on the…
In this paper, we show that the minimal solution of a backward stochastic differential equation gives a probabilistic representation of the minimal viscosity solution of an integro-partial differential equation both with a singular terminal…
In this note, we announce new regularity results for some locally integrable distributional solutions to Poisson's equation. This includes, for example, the standard solutions obtained by convolution with the fundamental solution. In…
General stochastic Euler schemes for ordinary differential equations are studied. We give proofs on the consistency, the rate of convergence and the asymptotic normality of these procedures.
We consider diffusion-controlled release of particles from $d$-dimensional radially-symmetric geometries. A quantity commonly used to characterise such diffusive processes is the proportion of particles remaining within the geometry over…