Related papers: Stochastic B-series and order conditions for expon…
We provide of a method to integrate first order non-linear systems of differential equations with variable coefficients. It determines approximate solutions given initial or boundary conditions or even for Sturm-Liouville problems. This…
Stochastic differential equations (SDE) are widely used in modeling stochastic dynamics in literature. However, SDE alone is not enough to determine a unique process. A specified interpretation for stochastic integration is needed.…
The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for L\'evy type stochastic differential equation. In…
In this paper, we establish the Stroock-Varadhan type support theorems for stochastic differential equations (SDEs) under Lyapunov conditions, which significantly improve the existing results in the literature where the coefficients of the…
The rigorous linking of exact stochastic models to mean-field approximations is studied. Starting from the differential equation point of view the stochastic model is identified by its Kolmogorov equations, which is a system of linear ODEs…
In this paper, we study rough path properties of stochastic integrals of It\^{o}'s type and Stratonovich's type with respect to $G$-Brownian motion. The roughness of $G$-Brownian Motion is estimated and then the pathwise Norris lemma in…
High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in Stratonovich form. In the setting of weighted spaces, the necessary analyticity of the split…
In this paper we use a path-integral approach to represent the Lyapunov exponents of both deterministic and stochastic dynamical systems. In both cases the relevant correlation functions are obtained from a (one-dimensional) supersymmetric…
In this paper we develop a stochastic integration theory for processes with values in a quasi-Banach space. The integrator is a cylindrical Brownian motion. The main results give sufficient conditions for stochastic integrability. They are…
A peculiar feature of It\^o's calculus is that it is an integral calculus that gives no explicit derivative with a systematic differentiation theory counterpart, as in elementary calculus. So, can we define a pathwise stochastic derivative…
We prove that the standard conditions that provide unique solvability of a mixed stochastic differential equations also guarantee that its solution possesses finite moments. We also present conditions supplying existence of exponential…
We obtain integral representations of the $n$-th derivatives of the Bessel functions with respect to the order. The numerical evaluation of these expressions is very efficient using a double exponential integration strategy. Also, from the…
The It\^{o} and Stratonovich approaches are two ways to integrate stochastic differential equations. Detailed knowledge of the origin of the stochastic noise is needed to determine which approach suits a particular problem. I discuss this…
We formulate a new class of stochastic partial differential equations (SPDEs), named high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order integral-partial differential operators into both drift and diffusion…
We propose a novel way to study numerical methods for ordinary differential equations in one dimension via the notion of multi-indice. The main idea is to replace rooted trees in Butcher's B-series by multi-indices. The latter were…
We analyze the qualitative properties and the order of convergence of a splitting scheme for a class of nonlinear stochastic Schr\"odinger equations driven by additive It\^o noise. The class of nonlinearities of interest includes nonlocal…
Exponential integrability properties of numerical approximations are a key tool for establishing positive rates of strong and numerically weak convergence for a large class of nonlinear stochastic differential equations. It turns out that…
In this work, we introduce Regularity Structures B-series which are used for describing solutions of singular stochastic partial differential equations (SPDEs). We define composition and substitutions of these B-series and as in the context…
Exponential integrators based on contour integral representations lead to powerful numerical solvers for a variety of ODEs, PDEs, and other time-evolution equations. They are embarrassingly parallelizable and lead to global-in-time…
The Ito and Stratonovich approaches are carried over to quantum stochastic systems. Here the white noise representation is shown to be the most appropriate as here the two approaches appear as Wick and Weyl orderings, respectively. This…