Related papers: The rate of convergence of harmonic explorer to SL…

In a recent paper by Kamrani et al. (2024), exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise was discussed, and the convergence order close to the Hurst parameter H was proved.…

We study the estimation of the invariant density of additive fractional stochastic differential equations with Hurst parameter $H \in (0,1)$. We first focus on continuous observations and develop a kernel-based estimator achieving faster…

An approximate solution is presented for simple harmonic motion in the presence of damping by a force which is a general power-law function of the velocity. The approximation is shown to be quite robust, allowing for a simple way to…

In the recent article [Hairer, M., Hutzenthaler, M., Jentzen, A., Loss of regularity for Kolmogorov equations, Ann. Probab. 43 (2015), no. 2, 468--527] it has been shown that there exist stochastic differential equations (SDEs) with…

We consider a value range $\{g(i,T)\}$ of solutions to the chordal Loewner equation with the restriction $|\lambda(t)| \le c$ on the driving function. We use reachable set methods and the Pontryagin maximum principle.

We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed…

We prove the existence of the Green's function for radial SLE(k) for k<8. Unlike the chordal case where an explicit formula for the Green's function is known for all values of k<8, we give an explicit formula only for k=4. For other values…

The Shcramm-Loewner evolution (SLE) is a correlated exploration process, in which for the chordal set up, the tip of the trace evolves in a self-avoiding manner towards the infinity. The resulting curves are named SLE$_{\kappa}$,…

We estimate the rate of convergence, in the so-called large coupling limit, for Schr\"odinger type operators on bounded domains. The Schr\"odinger we deal with have "interaction potentials" supported in a compact inclusion. We show that if…

We use SLE(6) paths to construct a process of continuum nonsimple loops in the plane and prove that this process coincides with the full continuum scaling limit of 2D critical site percolation on the triangular lattice -- that is, the…

This paper proves conjectures originating in the physics literature regarding the intersection exponents of Brownian motion in a half-plane. For instance, suppose that B and B' are two independent planar Brownian motions started from…

We show that the modulus of continuity of the SLE$_4$ uniformizing map is given by $(\log \delta^{-1})^{-1/3+o(1)}$ as $\delta \to 0$. As a consequence of our analysis, we show that the Jones-Smirnov condition for conformal removability…

In this note we consider stochastic differential equations driven by fractional Brownian motions (fBm) with Hurst parameter $H>1/3$. We prove that the corresponding modified Euler scheme and its Malliavin derivatives are integrable,…

In recent years, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that may have discontinuities in space has begun. In many of these results it is assumed that the drift…

We establish a large deviation principle for chordal SLE$_\kappa$ parametrized by capacity, as the parameter $\kappa \to 0+$, in the topology generated by uniform convergence on compact intervals of the positive real line. The rate function…

We define the Schramm-Loewner evolution (SLE) in multiply connected domains for kappa \leq 4 using the Brownian loop measure. We show that in the case of the annulus, this is the same measure obtained recently by Dapeng Zhan. We use the…

This article employs Schramm-Loewner Evolution to obtain intersection exponents for several chordal $SLE_{8/3}$ curves in a wedge. As $SLE_{8/3}$ is believed to describe the continuum limit of self-avoiding walks, these exponents correspond…

In this paper, we will present a strong (or pathwise) approximation of standard Brownian motion by a class of orthogonal polynomials. The coefficients that are obtained from the expansion of Brownian motion in this polynomial basis are…

In this paper we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally H{\"o}lder continuous function of the Brownian motion. We state the rate of the L 2-convergence of the…

The exact joint multifractal distribution for the scaling and winding of the electrostatic potential lines near any conformally invariant scaling curve is derived in two dimensions. Its spectrum f(alpha,lambda) gives the Hausdorff dimension…