Related papers: Backward It{\^o}-Ventzell and stochastic interpola…
We present here a new stochastic modelling in the constitution of fluid flow reduced-order models. This framework introduces a spatially inhomogeneous random field to represent the unresolved small-scale velocity component. Such a…
We consider the inverse problem of reconstructing the posterior measure over the trajec- tories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive…
The Fokker-Planck equation needs to be modified when the diffusion parameters are not constant, in order to match it with the backward equation. It even becomes simpler, and the integration of the underlying stochastic differential equation…
We consider the problem of steering a linear stochastic system between two end-point degenerate Gaussian distributions in finite time. This accounts for those situations in which some but not all of the state entries are uncertain at the…
We study diffusion processes and stochastic flows which are time-changed random perturbations of a deterministic flow on a manifold. Using non-symmetric Dirichlet forms and their convergence in a sense close to the Mosco-convergence, we…
We prove It{\^o}'s formula for the flow of measures associated with an It{\^o} process having a bounded drift and a uniformly elliptic and bounded diffusion matrix, and for functions in an appropriate Sobolev-type space. This formula is the…
We propose to study a new type of Backward stochastic differential equations driven by a family of It\^o's processes. We prove existence and uniqueness of the solution, and investigate stability and comparison theorem.
The aim of this paper is to develop a sequence of discrete approximations to a one-dimensional It\^o diffusion that almost surely converges to a weak solution of the given stochastic differential equation. Under suitable conditions, the…
The dissipation phenomena of relative entropy from an It\^o--Langevin dynamical system is a classic topic from stochastic analysis. Relying on the time-reversal of diffusions, a novel trajectorial approach investigates the pathwise behavior…
We give a comprehensive account of an analytic approach to spectral flow along paths of self-adjoint Breuer-Fredholm operators in a type $I_{\infty}$ or $II_\infty$ von Neumann algebra ${\mathcal N}$. The framework is that of {\it odd…
Turbulent suspensions of heavy particles in incompressible flows have gained much attention in recent years. A large amount of work focused on the impact that the inertia and the dissipative dynamics of the particles have on their dynamical…
We study the design of interpolation schedules in flow and diffusion-based generative models from both statistical and numerical perspectives. Within the stochastic interpolants framework, we first show that scalar interpolation schedules…
In this paper we obtain an It\^o differential representation for a class of singular stochastic Volterra integral equations. As an application, we investigate the rate of convergence in the small time central limit theorem for the solution.
We prove the solvability of It\^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in $L_{d+1}(\mathbb{R}^{d+1})$. Actually, the powers of summability of the drift in $x$ and $t$ could be different.…
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
The applicability of stochastic differential equations to thermodynamics is considered and a new form, different from the classical Ito and Stratonovich forms, is introduced. It is shown that the new presentation is more appropriate for the…
Inverse problems involve making inference about unknown parameters of a physical process using observational data. This paper investigates an important class of inverse problems -- the estimation of the initial condition of a…
In this paper we investigate classical solution of a semi-linear system of backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process. By proving an It\^{o}-Wentzell formula for jump…
In this article, we investigate both forward and backward problems for coupled systems of time-fractional diffusion equations, encompassing scenarios of strong coupling. For the forward problem, we establish the well-posedness of the…
It\^{o} processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship between two such It\^{o} processes. We are interested in the…