Related papers: Discretizations of Stochastic Evolution Equations …
We study averaging for Stochastic Differential Equations (SDEs) and Poisson equations. We succeed in obtaining a uniform in time (UiT) averaging result, with a rate, for fully coupled SDE models with super-linearly growing coefficients.…
We study the role of the noise in the dynamics of two competing species. We consider generalized Lotka-Volterra equations in the presence of a multiplicative noise, which models the interaction between the species and the environment. The…
"Quantum trajectories" are solutions of stochastic differential equations of non-usual type. Such equations are called "Belavkin" or "Stochastic Schr\"odinger Equations" and describe random phenomena in continuous measurement theory of Open…
We consider the problem of the Bayesian inference of drift and diffusion coefficient functions in a stochastic differential equation given discrete observations of a realisation of its solution. We give conditions for the well-posedness and…
Stochastic Stokes' drift and hypersensitive transport driven by dichotomous noise are theoretically investigated. Explicit mathematical expressions for the asymptotic probability density and drift velocity are derived including the…
We consider stochastic non-linear diffusion equations with a highly singular diffusivity term and multiplicative gradient-type noise. We study existence and uniqueness of non-negative variational solutions in terms of stochastic variational…
In this paper, we study backward doubly stochastic differential equations driven by Brownian motions and Poisson process (BDSDEP in short) with non-Lipschitz coefficients on random time interval. The probabilistic interpretation for the…
In this paper, we study a class of slow-fast stochastic partial differential equations with multiplicative Wiener noise. Under some appropriate conditions, we prove the slow component converges to the solution of the corresponding averaged…
In this paper, we study one-dimensional backward stochastic differential equation with jump under logarithmic growth assumption in the z-variable (|z|\sqrt{|\ln|z|}|) and an L^p terminal value (for a suitable p>2). We show the existence and…
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.
Existence and uniqueness for semilinear stochastic evolution equations with additive noise by means of finite dimensional Galerkin approximations is established and the convergence rate of the Galerkin approximations to the solution of the…
We investigate the profound relation between the equations of biological evolution and quantum mechanics by writing a biologically inspired equation for the stochastic dynamics of an ensemble of particles. Interesting behavior is observed…
We obtain estimates on the first-order Malliavin derivative of mild solutions, evaluated at fixed points in time and space, to a class of parabolic dissipative stochastic PDEs on bounded domain of $\mathbb{R}^d$. In particular, such…
This work investigates a fully discrete mixed finite element method for the stochastic Boussinesq system driven by multiplicative noise. The spatial discretization is performed using a standard mixed finite element method, while the…
In this article we give sufficient and necessary conditions for the existence of a weak and mild solution to stochastic evolution equations with (general) L\'{e}vy noise taking values in the dual of a nuclear space. As part of our approach…
In this paper, we establish the well-posedness and optimal trajectory regularity for the solution of stochastic evolution equations with generalized Lipschitz-type coefficients driven by general multiplicative noises. To ensure the…
The problem of parameter estimation by observations of inhomogeneous Poisson processes is considered. The method of moments estimator is studied and its stochastic expansion is obtained. This stochastic expansion is then used to obtain the…
One- and multi-dimensional stochastic Maxwell equations with additive noise are considered in this paper. It is known that such system can be written in the multi-symplectic structure, and the stochastic energy increases linearly in time.…
We study the dynamics of a class of Hamiltonian systems with dissipation, coupled to noise, in a singular (small mass) limit. We derive the homogenized equation for the position degrees of freedom in the limit, including the presence of a…
We study evolution equations of drift-diffusion type when various parameters are random. Motivated by applications in pedestrian dynamics, we focus on the case when the total mass is, due to boundary or reaction terms, not conserved. After…