Related papers: Forward and Backward Stochastic Differential Equat…
To characterize the Neumann problem for nonlinear Fokker-Planck equations, we investigate distribution dependent reflecting SDEs (DDRSDEs) in a domain. We first prove the well-posedness and establish functional inequalities for reflecting…
Only the "anti-Ito" integral yields the correct shift of the mean, by the fact that the elements of its Riemannian sum hold in the order O(dt) rather than only in O(sqrt dt). The corresponding "full" Fokker-Planck equation is particularly…
This work focuses on the mean field stochastic partial differential equations with nonlinear kernels. We first prove the existence and uniqueness of strong and weak solutions for mean field stochastic partial differential equations in the…
We consider a stochastic partial differential equation with reflection at 0 and with the constraint of conservation of the space average. The equation is driven by the derivative in space of a space--time white noise and contains a double…
We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also…
In this paper we introduce a class of forward-backward stochastic differential equations on tensor fields of Riemannian manifolds, which are related to semi-linear parabolic partial differential equations on tensor fields. Moreover, we will…
We consider the Boltzmann equation with external fields in strictly convex domains with diffuse reflection boundary condition. As long as the normal derivative of external fields satisfy some sign condition on the boundary (1.8) we…
We consider a Vlasov-Fokker-Planck equation governing the evolution of the density of interacting and diffusive matter in the space of positions and velocities. We use a probabilistic interpretation to obtain convergence towards equilibrium…
Starting from a many-body classical system governed by a trace-form entropy we derive, in the stochastic quantization picture, a family of non linear and non-Hermitian Schroedinger equations describing, in the mean filed approximation, a…
The aim of this contribution is to study the particle dynamics in a storage ring under the influence of noise. Some simplified stochastic beam dynamics problems are treated by solving the corresponding Fokker-Planck equations numerically.
In this paper, we study the backward problem of determining initial condition for some class of nonlinear parabolic equations in multidimensional domain where data are given under random noise. This problem is ill-posed, i.e., the solution…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
We introduce a discretization/approximation scheme for reflected stochastic partial differential equations driven by space-time white noise through systems of reflecting stochastic differential equations. To establish the convergence of the…
We investigate the approximate dynamics of several differential equations when the solutions are restricted to a sparse subset of a given basis. The restriction is enforced at every time step by simply applying soft thresholding to the…
By using a condition of average trace preservation we derive a general class of non-Markovian Gaussian diffusive unravelings [L. Diosi and L. Ferialdi, Phys. Rev. Lett. \textbf{113}, 200403 (2014)], here valid for arbitrary non-Hermitian…
This paper first makes an attempt to investigate the partial information near optimal control of systems governed by forward-backward stochastic differential equations with observation noise under the assumption of a convex control domain.…
The dynamics of particles moving in a medium defined by its relativistically invariant stochastic properties is investigated. For this aim, the force exerted on the particles by the medium is defined by a stationary random variable as a…
In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward…
The long time dynamics of large particles trapped in two inhomogeneous turbulent shear flows is studied experimentally. Both flows present a common feature, a shear region that separates two colliding circulations, but with different…
We consider a quantization of relativistic wave equations which allows to treat quantum fields together with interacting particles at a finite time. We discuss also a dissipative interaction with the environment. We introduce a stochastic…