Related papers: Backward Nonlinear Smoothing Diffusions
A subdiffusion problem in which the diffusion term is related to a stable stochastic process is introduced. Linear models of these systems have been studied in a general way, but non-linear models require a more specific analysis. The model…
We study linear stochastic partial differential equations of parabolic type with non-local in time or mixed in time boundary conditions. The standard Cauchy condition at the terminal time is replaced by a condition that mixes the random…
This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and constant diffusion coefficients. We apply our method to…
In this paper, we propose a new asymptotic expansion approach for nonlinear filtering based on a small parameter in the system noise. This method expresses the filtering distribution as a power series in the noise level, where the…
We aim at the development and analysis of the numerical schemes for approximately solving the backward diffusion-wave problem, which involves a fractional derivative in time with order $\alpha\in(1,2)$. From terminal observations at two…
In this paper, we study the problem of finding the solution of a multi-dimensional time fractional reactiondiffusion equation with nonlinear source from the final value data. We prove that the present problem is not well-posed. Then…
We study the stochastic diffusive limit of a kinetic radiative transfer equation, which is non-linear, involving a small parameter and perturbed by a smooth random term. Under an appropriate scaling for the small parameter, using a…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
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…
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…
The porous media equation has been proposed as a phenomenological ``non-extensive'' generalization of classical diffusion. Here, we show that a very similar equation can be derived, in a systematic manner, for a classical fluid by assuming…
A space discrete approximation to a highly nonlinear reaction-diffusion system endowed with a stochastic dynamical boundary condition is analyzed and the convergence of the discrete scheme to the solution to the corresponding continuum…
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time…
We consider a class of time-homogeneous diffusion processes on $\mathbb{R}^{n}$ with common invariant measure but varying volatility matrices. In Euclidean space, we show via stochastic control of the diffusion coefficient that the…
In this paper we study the randomized non-autonomous complete linear differential equation. The diffusion coefficient and the source term in the differential equation are assumed to be stochastic processes and the initial condition is…
By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions…
We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…
Using Stokesian dynamics simulations, we examine the flow of a monodisperse, neutrally buoyant, homogeneous suspension of non-Brownian solid spheres in simple shear, starting from a large number of independent hard-sphere distributions and…
We analyze numerically a forward-backward diffusion equation with a cubic-like diffusion function, -emerging in the framework of phase transitions modeling- and its "entropy" formulation determined by considering it as the singular limit of…
We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a skew-symmetric probability distribution, with the level of…