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Stochastic solutions are obtained for the Maxwell-Vlasov equation in the approximation where magnetic field fluctuations are neglected and the electrostatic potential is used to compute the electric field. This is a reasonable approximation…
Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be…
The construction of stochastic solutions is a powerful method to obtain localized solutions in configuration or Fourier space and for parallel computation with domain decomposition. Here a stochastic solution is obtained for the…
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…
In this paper, we consider an inhomogeneous Doi model which was introduced by W. E and P. Zhang [Meth. Appl. of Anal., 13 (2006), pp. 181 - 198]. We extend their model, which couples a Smoluchowski equation to a Navier-Stokes type equation,…
We consider multiple stochastic integrals with respect to c\`adl\`ag martingales, which approximate a cylindrical Wiener process. We define a chaos expansion, analogous to the case of multiple Wiener stochastic integrals, for these…
We study the asymptotic behavior of the isentropic Navier-Stokes system driven by a multiplicative stochastic forcing in the compressible regime, where the Mach number approaches zero. Our approach is based on the recently developed concept…
Stochastic fractionally dissipative quasi-geostrophic type equation on $R^d$ with a multiplicative Gaussian noise is considered. We prove the existence of a martingale solution. In the 2D sub-critical case we prove also the pathwise…
We propose an algorithm for optimizations in which the gradients contain stochastic noise. This arises, for example, in structural optimizations when computations of forces and stresses rely on methods involving Monte Carlo sampling, such…
It has long been a puzzle how to solve random multiplicative cascade structures analytically. We present an analytical solution found recently in the form of a simple pedagogical example of the general case.
Stochastic representation for interaction of quantum systems is formulated which allows to replace some of them by equivalent but purely commutative random sources. The formalism is applied to two-level systems interacting with Gaussian…
We establish the existence and compactness of global martingale entropy solutions with finite relative-energy for the stochastically forced system of isentropic Euler equations governed by a general pressure law. To achieve these, a…
In this paper we study a mathematical model describing the movement of a colloidal particle in a fixed, bounded three dimensional container filled with a nematic liquid crystal fluid. The motion of the fluid is governed by the Beris-Edwards…
We study the effects of additive and multiplicative noise on the solution landscape of nematic liquid crystals confined to a square domain within the Landau-de Gennes framework, as well as the impact of additive noise on the symmetric…
We investigate the connections between some simple Maier-Saupe lattice models, with a discrete choice of orientations of the microscopic directors, and a recent proposal of a two-tensor formalism to describe the phase diagrams of nematic…
This thesis investigates Merton's portfolio problem under two different rough Heston models, which have a non-Markovian structure. The motivation behind this choice of problem is due to the recent discovery and success of rough volatility…
In this paper, we extend the results of Elliott and Yang \cite{elliott3} and discuss the control of a stochastic process for which the driving noise is provided by a martingale associated with a semi-Markov Chain. An existence and a…
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent convex dynamic procedures in a non dominated setting.…
This paper is devoted to studying the weak convergence for a slow-fast system with jumps modulated by Markovian switching regimes with the martingale method. However, due to the coexistence of fast component and Markovian switching regimes,…
This paper studies some analytical properties of weak solutions of 3D stochastic primitive equations with periodic boundary conditions. The martingale problem associated to this model is shown to have a family of solutions satisfying the…