Related papers: Path Independence of Additive Functionals for SDEs…
The paper concerns classical solution of path-dependent partial differential equations (PPDEs) with coefficients depending on both variables of path and path-valued measure, which are crucial to understanding large-scale mean-field…
In the G-framework, we establish existence of an optimal stochastic relaxed control for stochastic differential equations driven by a G-Brownian motion.
In this paper, the explicit expression of Onsager-Machlup action functional to degenerate stochastic differential equations driven by fractional Brownian motion is derived provided the diffusion coeffcient and reference path satisfy some…
We consider functional differential equations(FDEs) which are perturbations of smooth ordinary differential equations(ODEs). The FDE can involve multiple state-dependent delays or distributed delays (forward or backward). We show that,…
Contrary to widespread perception, there is ever since 1994 a unified, general type independent theory for the existence of solutions for very large classes of nonlinear systems of PDEs. This solution method is based on the Dedekind order…
We obtain well-posedness results for a class of ODE with a singular drift and additive fractional noise, whose right-hand-side involves some bounded variation terms depending on the solution. Examples of such equations are reflected…
We obtain a stochastic differential equation (SDE) satisfied by the first $n$ coordinates of a Brownian motion on the unit sphere in $\mathbb{R}^{n+\ell}$. The SDE has non-Lipschitz coefficients but we are able to provide an analysis of…
The existence of unique solutions is established for rough differential equations (RDEs) with path-dependent coefficients and driven by c\`adl\`ag rough paths. Moreover, it is shown that the associated solution map, also known as…
We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds for discrete observations of such dynamics in stationary…
We study the actions of a Lie group $G$ by birationally extendible automorphisms on a domain $D\subset C^n$. For a large class of such domains defined by polynomial inequalities, all automorphisms are of this type. In the cases 1) $G$ has…
We consider a differential equation driven by a Brownian motion as well as a rough path. We prove a Girsanov-type result for this equation to construct a weak solution in the probabilistic sense.
G-Brownian motion has a very rich and interesting new structure which nontrivially generalizes the classical one. Its quadratic variation process is also a continuous process with independent and stationary increments. We prove a…
In this work, we present an adjoint-based method for discovering the underlying governing partial differential equations (PDEs) given data. The idea is to consider a parameterized PDE in a general form and formulate a PDE-constrained…
In this paper, we first review the penalization method for solving deterministic Skorokhod problems in non-convex domains and establish estimates for problems with $\alpha$-H\"older continuous functions. With the help of these results…
This paper introduces the path derivatives, in the spirit of Dupire's functional It\^o calculus, for the controlled paths in the rough path theory with possibly non-geometric rough paths. The theory allows us to deal with rough integration…
We consider stochastic differential equations (SDEs) driven by Feller processes which are themselves solutions of multivariate Levy driven SDEs. The solutions of these 'iterated SDEs' are shown to be non-Markovian. However, the process…
We present a scheme for producing tunable active dynamics in a self-propelled robotic device. The robot moves using the differential drive mechanism where two wheels can vary their instantaneous velocities independently. These velocities…
Training dynamics during grokking concentrate along a small number of dominant update directions -- the spectral edge -- which reliably distinguishes grokking from non-grokking regimes. We show that standard mechanistic interpretability…
In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional It\^o (or path-dependent) calculus, the relationship between the systems and related path-dependent…
In this article, we introduce a system of stochastic differential equations (SDEs) consisting of time-dependent covariates and consider both fixed and random effects set-ups. We also allow the functional part associated with the drift…