Related papers: Brownian motion with general drift

This paper is concerned with the stochastic Hamilton-Jacobi-Bellman equation with controlled leading coefficients, which is a type of fully nonlinear backward stochastic partial differential equation (BSPDE for short). In order to formulate…

We consider one-dimensional stochastic differential equations with generalized drift which involve the local time $L^X$ of the solution process: X_t = X_0 + \int_0^t b(X_s) dB_s + \int_\mathbb{R} L^X(t,y) \nu(dy), where b is a measurable…

The paper is concerned with the existence and uniqueness of a strong solution to a two-dimensional backward stochastic Navier-Stokes equation with nonlinear forcing, driven by a Brownian motion. We use the spectral approximation and the…

We study the convergence to the multiple Wiener-It\^{o} integral from processes with absolutely continuous paths. More precisely, consider a family of processes, with paths in the Cameron-Martin space, that converges weakly to a standard…

We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability…

We consider a mixed stochastic differential equation $d{X_t}=a(t,X_t)d{t}+b(t,X_t) d{W_t}+c(t,X_t)d{B^H_t}$ driven by independent multidimensional Wiener process and fractional Brownian motion. Under Hormander type conditions we show that…

In this paper we prove the existence and uniqueness of weak solutions to the Dirichlet problem for an elliptic equation with a drift $b$ satisfying $\operatorname{div} b\le 0$ in $\Omega$. We assume $b$ belongs to some weak Morrey class…

In this work, we investigate the existence and properties of Gaussian-like densities for weak solutions of multidimensional stochastic differential equations driven by a mixture of completely correlated fractional Brownian motions. We…

Consider the stochastic heat equation \begin{equation*} \partial_t u_t(x)=\frac12 \partial^2_{xx}u_t(x) +b(u_t(x))+\dot{W}_{t}(x),\quad t\in(0,T],\, x\in D, \end{equation*} where $b$ is a generalized function, $D$ is either $[0,1]$ or…

Consider the following McKean-Vlasov SDE: $$ d X_t=\sqrt{2}d W_t+\int_{{\mathbb R}^d}K(t,X_t-y)\mu_{X_t}(dy)d t,\ \ X_0=x, $$ where $\mu_{X_t}$ stands for the distribution of $X_t$ and $K(t,x): {\mathbb R}_+\times{\mathbb R}^d\to{\mathbb…

A result of A.M. Davie [Int. Math. Res. Not. 2007] states that a multidimensional stochastic equation $dX_t = b(t, X_t)\,dt + dW_t$, $X_0=x$, driven by a Wiener process $W= (W_t)$ with a coefficient $b$ which is only bounded and measurable…

In this article, we study the stochastic aggregation-diffusion equation with a singular drift represented by a monotone radial kernel. We demonstrate the existence and uniqueness of a diffusion process that acts as a weak solution to our…

We investigate the well-posedness of stochastic differential equations driven by fractional Brownian motion, focusing on the long-range dependent case $H \in (\frac{1}{2}, 1)$. While existing results on regularization by such noise…

Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…

We will consider the following stochastic differential equation (SDE): \begin{equation} X_t=X_0+\int_0^tb(X_s,\theta_0)ds+\sigma B_t,~~~t\in(0,T], \end{equation} where $\{B_t\}_{t\ge 0}$ is a fractional Brownian motion with Hurst index…

A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations by general one step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second…

In this work we consider the SDE \begin{equation} \text{d} X_t = b (t, X_t) \text{d} t + \sqrt{2} \text{d} B_t, \label{mainSDE} \end{equation} in dimension $d \geqslant 2$, where $B$ is a Brownian motion and $b : \mathbb{R}_+ \rightarrow…

In this paper, we consider the stochastic %equations of incompressible non-Newtonian fluids driven by a cylindrical Wiener process $W$ with shear rate dependent on viscosity in a bounded Lipschitz domain $D\in \mathbb{R}^n$ during the time…

We prove existence of weak solutions (in the probabilistic sense) for a general class of stochastic semilinear wave equations on bounded domains of $R^d$ driven by a possibly discontinuous square integrable martingale.

We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H>1/2 and a…