Related papers: On stochastic It\^o processes with drift in $L_{d}…
The master equation and, more generally, Markov processes are routinely used as models for stochastic processes. They are often justified on the basis of randomization and coarse-graining assumptions. Here instead, we derive n-th order…
We give a short proof of It\^o's formula for stochastic Hilbert-space valued processes in the setting $V\subset H\subset V^{*}$ based on the possibility to lift the stochastic differentials, which are originally in $V^{*}$, into $H$. Using…
We consider the problem of constructing weak solutions to the It\^{o} and to the Stratonovich stochastic differential equations having critical-order singularities in the drift and critical-order discontinuities in the dispersion matrix.
We prove the existence of solutions for the stochastic differential equation $dX_t=b(t,X_{t-})dZ_t+a(t,X_t)dt, X_0\in\R, t\ge 0,$ with only measurable coefficients $a$ and $b$ satisfying the condition $0<\mu\le |b(t,x)|\le \nu$ and…
We study the problem of parameter estimation for discretely observed stochastic processes driven by additive small L\'{e}vy noises. We do not impose any moment condition on the driving L\'{e}vy process. Under certain regularity conditions…
We prove resolvent estimates for semiclassical operators such as $-h^2 \Delta+V(x)$ in scattering situations. Provided the set of trapped classical trajectories supports a chaotic flow and is sufficiently filamentary, the analytic…
In this paper we construct a stochastic process, more precisely, a (nonlinear) Markov process, which is related to the parabolic $p$-Laplace equation in the same way as Brownian motion is to the classical heat equation given by the (2-)…
For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of the drift parameter is totally different in the stable, unstable, and explosive cases. Notwithstanding of this trichotomy, we investigate…
Using a classical technique introduced by Achi E. Brandt for elliptic equations, we study a general class of nonlocal equations obtained as a superposition of classical and fractional operators in different variables. We obtain that the…
We analyze $p$-Laplace operators with degenerate elliptic coefficients. This investigation includes Gru\v{s}in type $p$-Laplace operators. We describe a \emph{separation phenomenon} in elliptic and parabolic $p$-Laplace type equations,…
This work is concerned with the stability properties of linear stochastic differential equations with random (drift and diffusion) coefficient matrices, and the stability of a corresponding random transition matrix (or exponential…
We give a criterion for exponential dynamical localization in expectation (EDL) for ergodic families of operators acting on $\ell^2(\Z^d)$. As applications, we prove EDL for a class of quasi-periodic long-range operators on $\ell^2(\Z^d)$.
We develop a general construction for nonlinear L\'evy processes with given characteristics. More precisely, given a set $\Theta$ of L\'evy triplets, we construct a sublinear expectation on Skorohod space under which the canonical process…
In this paper we introduce a stochastic integral with respect to the solution X of the fractional heat equation on [0,1], interpreted as a divergence operator. This allows to use the techniques of the Malliavin calculus in order to…
By using absolutely continuous lower bounds of the L\'evy measure, explicit gradient estimates are derived for the semigroup of the corresponding L\'evy process with a linear drift. A derivative formula is presented for the conditional…
We present Lyapunov-type conditions for non-strong ergodicity of Markov processes. Some concrete models are discussed including diffusion processes on Riemannian manifolds and Ornstein-Uhlenbeck processes driven by symmetric $\alpha$-stable…
We study nonlocal elliptic and parabolic equations on $C^{1,\tau}$ open sets in weighted Sobolev spaces, where $\tau\in (0,1)$. The operators we consider are infinitesimal generators of symmetric stable L\'evy processes, whose L\'evy…
A cylindrical Levy process does not enjoy a cylindrical version of the semi-martingale decomposition which results in the need to develop a completely novel approach to stochastic integration. In this work, we introduce a stochastic…
We consider a priori estimates of possibly sign-changing solutions to superlinear parabolic problems and their applications (blow-up rates, energy blow-up, continuity of blow-up time, existence of nontrivial steady states etc). Our…
We study a class of degenerate parabolic and elliptic equations in divergence form in the upper half space $\{x_d>0\}$. The leading coefficients are of the form $x_d^2a_{ij}$, where $a_{ij}$ are bounded, uniformly elliptic, and measurable…