Related papers: On time inhomogeneous stochastic It\^o equations w…

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 prove that the weak solution of a uniformly elliptic stochastic differential equation with locally smooth diffusion coefficient and H\"{o}lder continuous drift has a H\"{o}lder continuous density function. This result complements recent…

We show uniqueness in law for a general class of stochastic differential equations in $\mathbb{R}^d$, $d\ge 2$, with possibly degenerate and/or fully discontinuous locally bounded coefficients among all weak solutions that spend zero time…

Given global Lipschitz continuity and differentiability of high enough order on the coefficients in It\^{o}'s equation, differentiability of associated semigroups, existence of twice differentiable solutions to Kolmogorov equations and weak…

We consider the white-noise driven stochastic heat equation on $[0,\infty)\times[0,1]$ with Lipschitz-continuous drift and diffusion coefficients $b$ and $\sigma$. We derive an inequality for the $L^1([0,1])$-norm of the difference between…

This work studies the instability of stochastic scalar reaction diffusion equations, driven by a multiplicative noise that is white in time and smooth in space, near to zero, which is assumed to be a fixed point for the equation. We prove…

In this paper we are concerned with the stochastic partial differential equations of super-fast diffusion processes describing behavior of plasma dX(t)-{\Delta}ln(X(t)+1)dt=\surd(Q)dW(t), in (0,T)\timesO, where O is a bounded open subset of…

In this work, we study convection-diffusion equations in the cases of bounded drifts and drifts induced by the gradient of a potential. We define a new notion of solution and prove its existence and uniqueness. Furthermore, we show the…

We consider an equation with drift and either critical or supercritical fractional diffusion. Under a regularity assumption for the vector field that is marginally stronger than what is required for Holder continuity of the solutions, we…

We consider the stochastic differential equation $$ dX_t = b(X_t) dt + dL_t,$$ where the drift $b$ is a generalized function and $L$ is a symmetric one dimensional $\alpha$-stable L\'evy processes, $\alpha \in (1, 2)$. We define the notion…

We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…

We explore Ito stochastic differential equations where the drift term possibly depends on the infinite past. Assuming the existence of a Lyapunov function, we prove the existence of a stationary solution assuming only minimal continuity of…

We study the smoothness of the upper and lower value functions of stochastic differential games in the framework of time-homogeneous (possibly degenerate) diffusion processes in a domain, under the assumption that the diffusion, drift and…

A stochastic linear transport equation with multiplicative noise is considered and the question of no-blow-up is investigated. The drift is assumed only integrable to a certain power. Opposite to the deterministic case where smooth initial…

We prove regularity and stochastic homogenization results for certain degenerate elliptic equations in nondivergence form. The equation is required to be strictly elliptic, but the ellipticity may oscillate on the microscopic scale and is…

In this paper, we prove pathwise uniqueness for stochastic systems of McKean-Vlasov type with singular drift, even in the measure argument, and uniformly non-degenerate Lipschitz diffusion matrix. Our proof is based on Zvonkin's…

This paper studies the theoretical underpinnings of machine learning of ergodic It\^o diffusions. The objective is to understand the convergence properties of the invariant statistics when the underlying system of stochastic differential…

In this article we establish regularity properties for solutions of infinite dimensional Kolmogorov equations. We prove that if the nonlinear drift coefficients, the nonlinear diffusion coefficients, and the initial conditions of the…

Inferring a diffusion equation from discretely-observed measurements is a statistical challenge of significant importance in a variety of fields, from single-molecule tracking in biophysical systems to modeling financial instruments.…

We consider It\^o uniformly nondegenerate equations with random coefficients. When the coefficients satisfy some low regularity assumptions with respect to the spatial variables and Malliavin differentiability assumptions on the sample…