Related papers: Exit Boundaries of Multidimensional SDEs

We study multidimensional generalized backward stochastic differential equations (GBSDEs) within a general filtration that supports a Brownian motion under weak assumptions on the associated data. We establish the existence and uniqueness…

We establish the moderate deviation principle for the solutions of a class of stochastic partial differential equations with non-Lipschitz continuous coefficients. As an application, we derive the moderate deviation principle for two…

In this paper, we study the existence and uniqueness of solutions to the fully coupled nonlinear forward-backward stochastic differential equations driven by G-Brownian motion. Assuming that the diffusion coefficient $\sigma$ is uniformly…

In this paper, we establish the strong well-posedness of SDEs with merely integrable time-dependent drifts driven by fractional Brownian motions with Hurst parameter H<1/2. Our result holds over the entire subcritical regime and can be…

We study stochastic differential equations(SDEs) with a small perturbation parameter. Under the dissipative condition on the drift coefficient and the local Lipschitz condition on the drift and diffusion coefficients we prove the existence…

In this note, we study the viability of a bounded open domain in $\mathbb{R}% ^{n}$ for a process driven by a path-dependent stochastic differential equation with Lipschitz data. We extend an invariant result of Cannarsa, Da. Prato and…

We consider the one-dimensional nonlinear Schr\"odinger equation with Dirichlet boundary conditions in the fully resonant case (absence of the zero-mass term). We investigate conservation of small amplitude periodic-solutions for a large…

We propose and analyse boundary-preserving schemes for the strong approximations of some scalar SDEs with non-globally Lipschitz drift and diffusion coefficients whose state-space is bounded. The schemes consists of a Lamperti transform…

We prove that the collection $\mathcal M_{-\infty}$ of backward bounded solutions for a semilinear evolution equation is the graph of an upper hemicontinuous set-valued function from the low Fourier modes to the higher Fourier modes, which…

We extend the taming techniques for explicit Euler approximations of stochastic differential equations (SDEs) driven by L\'evy noise with super-linearly growing drift coefficients. Strong convergence results are presented for the case of…

In this paper, we prove the validity of an averaging principle for multi-valued stochastic differential equations (MSDEs) driven by G-Brownian motion with non-Lipschitz coefficients. The convergence theorem between the solution of the…

In this article, a class of second order differential equations on [0,1], driven by a general H\"older continuous function and with multiplicative noise, is considered. We first show how to solve this equation in a pathwise manner, thanks…

We study strong approximation of $d$-dimensional stochastic differential equations (SDEs) with a discontinuous drift coefficient driven by a $d$-dimensional Brownian motion $W$. More precisely, we essentially assume that the drift…

In this paper, we are interested in solving multidimensional backward stochastic differential equations (BSDEs) with a new kind of non-Lipschitz coefficients. We establish an existence and uniqueness result of solutions in $L^p\ (p>1)$,…

We present the stochastic Schroedinger equation for the dynamics of a quantum particle coupled to a high temperature environment and apply it the dynamics of a driven, damped, nonlinear quantum oscillator. Apart from an initial slip on the…

For general nonlinear Klein-Gordon equations with dissipation we show that any finite energy radial solution either blows up in finite time or asymptotically approaches a stationary solution in $H^1\times L^2$. In particular, any global…

We consider two related linear PDE's perturbed by a fractional Brownian motion. We allow the drift to be discontinuous, in which case the corresponding deterministic equation is ill-posed. However, the noise will be shown to have a…

In this paper, we establish a large deviation principle for the solutions to the stochastic heat equations with logarithmic nonlinearity driven by Brownian motion, which is neither locally Lipschitz nor locally monotone. Nonlinear versions…

In this paper, we deal with one dimensional backward doubly stochastic differential equations (BDSDEs) where the coefficient is left Lipschitz in y (may be discontinuous) and uniformly continuous in z. We obtain a generalized comparison…

Boundaries occur naturally in kinetic equations and boundary effects are crucial for dynamics of dilute gases governed by the Boltzmann equation. We develop a mathematical theory to study the time decay and continuity of Boltzmann solutions…