Related papers: Forward and Backward Stochastic Differential Equat…
We study the dynamics of fronts when both inertial effects and external fluctuations are taken into account. Stochastic fluctuations are introduced as multiplicative noise arising from a control parameter of the system. Contrary to the…
This article is the exploration of the viewpoint within which propelled particles in a steady-state are regarded as a system with quenched disorder. The analogy is exact when the rate of the drift orientation vanishes and the linear…
In this paper, we characterize the topological support in Holder norm of the law of the solution to a stochastic wave equation with three-dimensional space variable is proved. This note is a continuation of [9] and [10]. The result is a…
We investigate coupled stochastic differential equations governing N non-negative continuous random variables that satisfy a conservation principle. In various fields a conservation law requires that a set of fluctuating variables be…
In this article, we describe an approach for solving partial differential equations with general boundary conditions imposed on arbitrarily shaped boundaries. A function that has a prescribed value on the domain in which a differential…
We consider the statics and dynamics of a single particle trapped in a one-dimensional harmonic potential, and subjected to a driving noise with memory, that is represented by a resetting stochastic process. The finite memory of this…
The derivation of a Moving Boundary Approximation or of the response of a coherent structure like a front, vortex or pulse to external forces and noise, is generally valid under two conditions: the existence of a separation of time scales…
This work focuses on the numerical approximations of neutral stochastic delay differential equations with their drift and diffusion coefficients growing super-linearly with respect to both delay variables and state variables. Under…
We study the long time statistics of a class of semi--linear damped wave equations with polynomial nonlinearities and perturbed by additive Gaussian noise in dimensions 2 and 3. We find that if sufficiently many directions in the phase…
We consider the mean field Fokker-Planck equation subject to nonlinear no-flux boundary conditions, which necessarily arise when subjecting a system of Brownian particles interacting via a pair potential in a bounded domain. With the…
We investigate the regularity issue for the diffuse reflection boundary problem to the stationary linearized Boltzmann equation for hard sphere potential, cutoff hard potential, or cutoff Maxwellian molecular gases in a strictly convex…
We further study the stochastic model discussed in Ref.[2] in which positive and negative particles diffuse in an asymmetric, CP invariant way on a ring. The positive particles hop clockwise, the negative counter-clockwise and…
We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we…
We present a computational alternative to probabilistic simulations for non-smooth stochastic dynamical systems that are prevalent in engineering mechanics. As examples, we target (1) stochastic elasto-plastic problems, which involve…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
The relativistic Boltzmann equation in bounded domains has been widely used in physics and engineering, for example, Tokamak devices in fusion reactors.In spite of its importance, there has, to the best of our knowledge, been no…
We study stochastic evolution equations describing the dynamics of open quantum systems. First, using resolvent approximations, we obtain a sufficient condition for regularity of solutions to linear stochastic Schroedinger equations driven…
We present a novel general framework to deal with forward and backward components of the electromagnetic field in axially-invariant nonlinear optical systems, which include those having any type of linear or nonlinear transverse…
In order to bring contraction analysis into the very fruitful and topical fields of stochastic and Bayesian systems, we extend here the theory describes in \cite{Lohmiller98} to random differential equations. We propose new definitions of…
An extension of Riewe's fractional Hamiltonian formulation is presented for fractional constrained systems. The conditions of consistency of the set of constraints with equations of motion are investigated. Three examples of fractional…