Related papers: Density for solutions to stochastic differential e…

We study one-dimensional stochastic integral equations with non-smooth dispersion coefficients, and with drift components that are not restricted to be absolutely continuous with respect to Lebesgue measure. In the spirit of Lamperti, Doss…

We study the smoothness of the density of a semilinear heat equation with multiplicative spacetime white noise. Using Malliavin calculus, we reduce the problem to a question of negative moments of solutions of a linear heat equation with…

In this work, by using the Malliavin calculus, under H\"ormander's condition, we prove the existence of distributional densities for the solutions of stochastic differential equations driven by degenerate subordinated Brownian motions.…

We derive quantitative criteria for the existence of density for stochastic line integrals and iterated line integrals along solutions of hypoelliptic differential equations driven by fractional Brownian motion. As an application, we also…

It is well known that Malliavin calculus can be applied to a stochastic differential equation with Lipschitz continuous coefficients in order to clarify the existence and the smoothness of the solution. In this paper, we apply Malliavin…

In this paper, we provide conditions which ensure that stochastic Lipschitz BSDEs admit Malliavin differentiable solutions. We investigate the problem of existence of densities for the first components of solutions to general path-dependent…

In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector field and a Wiener process. The results obtained in this paper…

In this paper, we study the existence and smoothness of a density function to the solution of a Mckean-Vlasov equation with the aid of Malliavin calculus. We first show the existence of the density function under assumptions that the…

Due to recent developments of Malliavin calculus for rough differential equations, it is now known that, under natural assumptions, the law of a unique solution at a fixed time has a smooth density function. Therefore, it is quite natural…

In this article we study the existence and uniqueness of solutions of stochastic continuity equation with irregular coefficients.

We consider non-parametric Bayesian estimation of the drift coefficient of a one-dimensional stochastic differential equation from discrete-time observations on the solution of this equation. Under suitable regularity conditions that are…

We consider stochastic differential equations (SDEs) driven by a fractional Brownian motion with a drift coefficient that is allowed to be arbitrarily close to criticality in a scaling sense. We develop a comprehensive solution theory that…

We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…

We consider the setting of multiscale overdamped Langevin stochastic differential equations, and study the problem of learning the drift function of the homogenized dynamics from continuous-time observations of the multiscale system. We…

We analyze multi-dimensional mean-field stochastic differential equations where the drift depends on the law in form of a Lebesgue integral with respect to the pushforward measure of the solution. We show existence and uniqueness of…

Boundary differentiability is shown for solutions of nondivergence elliptic equations with unbounded drift

This paper focuses on investigating the density convergence of a fully discrete finite difference method when applied to numerically solve the stochastic Cahn--Hilliard equation driven by multiplicative space-time white noises. The main…

We consider a large market model of defaultable assets in which the asset price processes are modelled as Heston-type stochastic volatility models with default upon hitting a lower boundary. We assume that both the asset prices and their…

We study the smoothness of the solution of the directed chain stochastic differential equations, where each process is affected by its neighborhood process in an infinite directed chain graph, introduced by Detering et al. (2020). Because…

By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation…