Related papers: Strong Uniqueness of Singular Stochastic Delay Equ…

We prove existence and uniqueness of strong solutions, as well as continuous dependence on the initial datum, for a class of fully nonlinear second-order stochastic PDEs with drift in divergence form. Due to rather general assumptions on…

Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…

A procedure is described for defining a generalized solution for stochastic differential equations using the Cameron-Martin version of the Wiener Chaos expansion. Existence and uniqueness of this Wiener Chaos solution is established for…

We study stochastic differential equations (SDEs) with multiplicative Stratonovich-type noise of the form $ dX_t = b(X_t) dt + \sigma(X_t)\circ d W_t, X_0=x_0\in\mathbb{R}^d, t\geq0,$ with a possibly singular drift $b\in…

We study a class of stochastic evolution equations in a Banach space $E$ driven by cylindrical Wiener process. Three different concept of solutions: generalised strong, weak and mild are defined and the conditions under which they are…

General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada-Watanabe type. The results are applied to stochastic equations driven by…

In this addendum we provide an existence and uniqueness result for mild solutions to semilinear stochastic partial differential equations driven by Wiener processes and Poisson random measures in the framework of the semigroup approach with…

In this paper, we establish the strong well-posedness of SDEs with merely integrable time-dependent drifts driven by fractional Brownian motions with Hurst parameter H<1/2. Our result holds over the entire subcritical regime and can be…

In this article we extend the framework of rough paths to processes of variable H\"older exponent or variable order paths. We show how a class of multiple discrete delay differential equations driven by signals of variable order are…

Using the coupling method introduced in \cite{Geiss:Ylinen:21}, we investigate regularity properties of stochastic differential equations, where we consider the Lipschitz case in $\R^d$ and allow for H\"older continuity of the diffusion…

We study functional stochastic differential equations with a locally unbounded, functional drift focusing on well-posedness, stability and the strong Feller property. Following the non-functional case, we only consider integrability…

Consider stochastic differential equations (SDEs) in $\Rd$: $dX_t=dW_t+b(t,X_t)\d t$, where $W$ is a Brownian motion, $b(\cdot, \cdot)$ is a measurable vector field. It is known that if $|b|^2(\cdot, \cdot)=|b|^2(\cdot)$ belongs to the Kato…

A Milstein-type method is proposed for some highly non-linear non-autonomous time-changed stochastic differential equations (SDEs). The spatial variables in the coefficients of the time-changed SDEs satisfy the super-linear growth condition…

We establish the existence and uniqueness of solutions to stochastic 2D Navier-Stokes equations in a time-dependent domain driven by Brownian motion. A martingale solution is constructed through domain transformation and appropriate…

The classical result by It\^o on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only measurable and bounded. These generalizations are…

We consider versions of Malliavin calculus on path spaces of compact manifolds with diffusion measures, defining Gross-Sobolev spaces of differentiable functions and proving their intertwining with solution maps, I, of certain stochastic…

We consider the problem of constructing weak solutions to the It\^{o} and to the Stratonovich stochastic differential equations having critical-order singularities in the drift and critical-order discontinuities in the dispersion matrix.

A theory of differential equations driven by a non-differentiable path has recently been developed by Lyons. We develop an alternative approach to this theory, using (modified Euler approximations), and investigate its applicability to…

We explore Ito stochastic differential equations where the drift term possibly depends on the infinite past. Assuming the existence of a Lyapunov function, we prove the existence of a stationary solution assuming only minimal continuity of…

The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a $\gamma$-H\"older continuous process with $\gamma>1/2$ (e.g. a fractional Brownian motion with Hurst parameter greater than…