Related papers: Long-time behaviour of degenerate diffusions: UFG-…
In this paper we consider diffusion semigroups generated by second order differential operators of degenerate type. The operators that we consider do not, in general, satisfy the Hormander condition and are not hypoelliptic. In particular,…
We study parametric inference for ergodic diffusion processes with a degenerate diffusion matrix. Existing research focuses on a particular class of hypo-elliptic SDEs, with components split into `rough'/`smooth' and noise from rough…
This paper deals with the realisation of affine constraints on nonreversible stochastic differential equations (SDE) by strong confining forces. We prove that the confined dynamics converges pathwise and on bounded time intervals to the…
We study lower and upper bounds for the density of a diffusion process in ${\mathbb{R}}^n$ in a small (but not asymptotic) time, say $\delta$. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate at the…
A time inhomogeneous generalized Mehler semigroup on a real separable Hilbert space ${\mathds{H}}$ is defined through $$ p_{s,t}f(x)=\int_{\mathds{H}} f(U(t,s)x+y)\,\mu_{t,s}(dy), \quad t\geq s, \ x\in{\mathds{H}} $$ for every bounded…
There are few results on mean field game (MFG) systems where the PDEs are either fully nonlinear or have degenerate diffusions. This paper introduces a problem that combines both difficulties. We prove existence and uniqueness for a…
We prove uniqueness in law for possibly degenerate SDEs having a linear part in the drift term. Diffusion coefficients corresponding to non-degenerate directions of the noise are assumed to be continuous. When the diffusion part is constant…
In this article, we solve the problem of the long time behaviour of transition probabilities of time-inhomogeneous Markov processes and give a unified approach to stochastic differential equations (SDEs) with periodic, quasi-periodic,…
In this paper we investigate the long-time behavior of stochastic reaction-diffusion equations of the type $du = (Au + f(u))dt + \sigma(u) dW(t)$, where $A$ is an elliptic operator, $f$ and $\sigma$ are nonlinear maps and $W$ is an infinite…
We study here the effects of a time-dependent second order perturbation to a degenerate Ornstein-Uhlenbeck type operator whose diffusive part can be either local or non-local. More precisely, we establish that some estimates, such as the…
The aim of this article is to construct solutions to second order in time stochastic partial differential equations and to show hypocoercivity of the corresponding transition semigroups. More generally, we analyze non-linear…
The aim of this paper is to study the behavior of the weighted empirical measures of the decreasing step Euler scheme of a one-dimensional diffusion process having multiple invariant measures. This situation can occur when the drift and the…
We develop a unified and easy to use framework to study robust fully discrete numerical methods for nonlinear degenerate diffusion equations $$ \partial_t u-\mathfrak{L}^{\sigma,\mu}[\varphi(u)]=f \quad\quad\text{in}\quad\quad…
Heterogeneous diffusion processes can be well described by an overdamped Langevin equation with space-dependent diffusivity $D(x)$. We investigate the ergodic and non-ergodic behavior of these processes in an arbitrary potential well $U(x)$…
We derive the forward and backward filtering equations for a class of degenerate partially observable diffusions, satisfying the weak H\"ormander condition. Our approach is based on the H\"older theory for degenerate SPDEs that allows to…
In this paper we investigate the long time behavior of a family of diffusion processes with H\"older continuous diffusion terms on a compact set, these process arise naturally in random approximations of an ODE. We will prove that these…
We study the long time behavior of an advection-diffusion equation with a random shear flow which depends on a stationary Ornstein-Uhlenbeck (OU) process in parallel-plate channels enforcing the no-flux boundary conditions. We derive a…
We prove H\"ormander's type hypoellipticity theorem for stochastic partial differential equations when the coefficients are only measurable with respect to the time variable. The need for such kind of results comes from filtering theory of…
In this paper we study the existence of densities for strongly degenerate stochastic differential equations (SDEs) whose coefficients depend on time and are not globally Lipschitz. In these models neither local ellipticity nor the strong…
First essential m-dissipativity of an infinite-dimensional Ornstein-Uhlenbeck operator $N$, perturbed by the gradient of a potential, on a domain $\mathcal{F}C_b^{\infty}$ of finitely based, smooth and bounded functions, is shown. Our…