Related papers: Stability equivalence among stochastic differentia…
In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own…
Diffusion models, typically formulated as discretizations of stochastic differential equations (SDEs), have achieved state-of-the-art performance in generative tasks. However, their theoretical analysis often involves complex proofs. In…
Our subject of study is strong approximation of stochastic differential equations (SDEs) with respect to the supremum error criterion, and we seek approximations that are strongly asymptotically optimal in specific classes of…
The stability of stationary solutions of first-order systems of PDE's are considered. They may include some singular geometric terms, leading to discontinuous flux and non-conservative products. Based on several examples in Fluid Mechanics,…
In this paper, the problem of stability in terms of two measures is considered for a class of stochastic partial differential delay equations with switching. Sufficient conditions for stability in terms of two measures are obtained based on…
In this work, a result of exponential stability is obtained for solutions of a compressible flow-structure partial differential equation (PDE) model which has recently appeared in the literature. In particular, a compressible flow PDE and…
We consider stochastic partial differential equations (SPDEs) on the one-dimensional torus, driven by space-time white noise, and with a time-periodic drift term, which vanishes on two stable and one unstable equilibrium branches. Each of…
We present stochastic variants of the exponential time differencing schemes for stiff stochastic differential equations. We derive three explicit schemes that offer better stability compared to Euler-Maruyama and Milstein's method, and…
In this work, we derive a result of exponential stability for a coupled system of partial differential equations (PDEs) which governs a certain fluid-structure interaction. In particular, a three-dimensional Stokes flow interacts across a…
By means of an original approach, called "method of the moving frame", we establish existence, uniqueness and stability results for mild and weak solutions of stochastic partial differential equations (SPDEs) with path dependent…
In this paper, we discuss the numerical approximation of random periodic solutions (r.p.s.) of stochastic differential equations (SDEs) with multiplicative noise. We prove the existence of the random periodic solution as the limit of the…
Stochastic differential equations (SDEs) on Riemannian manifolds have numerous applications in system identification and control. However, geometry-preserving numerical methods for simulating Riemannian SDEs remain relatively…
In this paper we consider multidimensional stochastic differential equations (SDEs) with discontinuous drift and possibly degenerate diffusion coefficient. We prove an existence and uniqueness result for this class of SDEs and we present a…
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in…
This paper proposes an adaptive timestep construction for an Euler-Maruyama approximation of SDEs with a drift which is not globally Lipschitz. It is proved that if the timestep is bounded appropriately, then over a finite time interval the…
We construct a nonstandard finite difference numerical scheme to approximate stochastic differential equations (SDEs) using the idea of weighed step introduced by R.E. Mickens. We prove the strong convergence of our scheme under locally…
In this paper, we propose a class of explicit positivity preserving numerical methods for general stochastic differential equations which have positive solutions. Namely, all the numerical solutions are positive. Under some reasonable…
We establish that uniformly exponentially stable random dynamical systems on the half line have equivalent dynamics through a $C^m-$ conjugacy. This result was obtained for random differential equations as well as for random dynamical…
Conservation laws in the form of elliptic and parabolic partial differential equations (PDEs) are fundamental to the modeling of many problems such as heat transfer and flow in porous media. Many of such PDEs are stochastic due to the…
Motivated by the lack of a suitable constructive framework for analyzing popular stochastic models of Systems Biology, we devise conditions for existence and uniqueness of solutions to certain jump stochastic differential equations (SDEs).…