Related papers: Forward-Invariance and Wong-Zakai Approximation fo…
The aim of this note is to propose a novel numerical scheme for drift-less one dimensional stochastic differential equations of It\^o's type driven by standard Brownian motion. Our approximation method is equivalent to the well known…
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process lifted to a rough path. Neither adaptedness of initial point and vector fields nor commuting conditions between vector field is…
We study a nonlinear stochastic partial differential equation whose solution is the conditional log-Laplace functional of a superprocess in a random environment. We establish its existence and uniqueness by smoothing out the nonlinear term…
We consider a class of stochastic differential equations driven by a one dimensional Brownian motion and we investigate the rate of convergence for Wong-Zakai-type approximated solutions. We first consider the Stratonovich case, obtained…
We investigate the stochastic modified equation which plays an important role in the stochastic backward error analysis for explaining the mathematical mechanism of a numerical method. The contribution of this paper is threefold. First, we…
Stochastic modelling necessitates an interpretation of noise. In this paper, we describe the loss of deterministically stable behaviour in a fundamental fluid mechanics problem, conditional to whether noise is introduced in the sense of…
In this work, we demonstrate the Wong-Zakai approximation results for two and three dimensional stochastic convective Brinkman-Forchheimer (SCBF) equations forced by Hilbert space valued Wiener noise on bounded domains. Even though the…
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known homogenization or Wong--Zakai diffusion approximation…
In a recent article Lanconelli and Scorolli (2021) extended to the multidimensional case a Wong-Zakai-type approximation for It\^o stochastic differential equations proposed by \Oksendal and Hu (1996). The aim of the current paper is to…
In this paper, we study the Wong-Zakai approximation of the solution to the stochastic differential equation on a domain $D$ in a Euclidean space with normal reflection at the boundary. We prove the $L^p$ convergence of the approximation in…
This work investigates a class of moving boundary problems related to a nonlinear evolution equation featuring an exponential source term. We establish a connection to Stefan-type problems, for different boundary conditions at the fixed…
We examine a Wong-Zakai type approximation of a family of stochastic differential equations driven by a general cadlag semimartingale. For such an approximation, compared with the pointwise convergence result by Kurtz, Pardoux and Protter…
This work deals with the one-dimensional Stefan problem with a general time-dependent boundary condition at the fixed boundary. Stochastic solutions are obtained using discrete random walks, and the results are compared with analytic…
We establish a unconditional and optimal strong convergence rate of Wong--Zakai type approximations in Banach space norm for a parabolic stochastic partial differential equation with monotone drift, including the stochastic Allen--Cahn…
We study linear backward stochastic partial differential equations of parabolic type with special boundary condition that connect the terminal value of the solution with a functional over the entire past solution. Uniqueness, solvability…
We study a Wong-Zakai approximation for the random slow manifold of a slow-fast stochastic dynamical system. We first deduce the existence of the random slow manifold about an approximation system driven by an integrated Ornstein-Uhlenbeck…
Here classes of moving boundary problems of Stefan-type for both an established non-linear evolution equation of cuspon theory and novel reciprocally linked solitonic equations are shown to be solvable via Painleve' II symmetry reduction.
Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied and the equation can be degenerate. Some generalized solutions…
The strong convergence of Wong-Zakai approximations of the solution to the reflecting stochastic differential equations was studied in [2]. We continue the study and prove the strong convergence under weaker assumptions on the domain.
The purpose of this paper is to establish the well-posedness of the stochastic Stefan problem on moving hypersurfaces. Through a specially designed transformation, it turns out we need to solve stochastic partial differential equations on a…