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

We propose to study a new type of Backward stochastic differential equations driven by a family of It\^o's processes. We prove existence and uniqueness of the solution, and investigate stability and comparison theorem.

This paper studies the weak and strong solutions to the stochastic differential equation $ dX(t)=-\frac12 \dot W(X(t))dt+d\mathcal{B}(t)$, where $(\mathcal{B}(t), t\ge 0)$ is a standard Brownian motion and $W(x)$ is a two sided Brownian…

For time-homogeneous stochastic differential equations (SDEs) it is enough to know that the coefficients are Lipschitz to conclude existence and uniqueness of a solution, as well as the existence of a strongly convergent numerical method…

We study existence and uniqueness for one-dimensional generalized stochastic differential equations with singular coefficients, including distributional drift and degenerate, possibly discontinuous, diffusion coefficients. Such…

We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…

This paper studies diffusion processes constrained to the positive orthant under infinitesimal changes in the drift. Our first main result states that any constrained function and its (left) drift-derivative is the unique solution to an…

Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an extension of It\^{o}'s formula for $F(X_t,t)$, where $F(x,t)$ has a locally square-integrable derivative in $x$ that satisfies a mild continuity condition in $t$ and…

Many physical processes depend on the time it takes a diffusing particle to find a target. Though this classical quantity is now well-understood in various scenarios, little is known if the diffusivity depends on the location of the…

This paper explores the reconstruction of drift or diffusion coefficients of a scalar stochastic diffusion processes as it starts from an initial value and reaches, for the first time, a threshold value. We show that the distribution…

We consider the It\^{o} SDE with non-degenerate diffusion coefficient and measurable drift coefficient. Under the condition that the gradient of the diffusion coefficient and the divergences of the diffusion and drift coefficients are…

We present a generalization of Krylov-Rozovskii's result on the existence and uniqueness of solutions to monotone stochastic differential equations. As an application, the stochastic generalized porous media and fast diffusion equations are…

We consider a class of diffusion equations with the Caputo time-fractional derivative $\partial_t^\alpha u=L u$ subject to the homogeneous Dirichlet boundary conditions. Here, we consider a fractional order $0<\alpha < 1$ and a second-order…

One-dimensional stochastic differential equations with additive L\'evy noise are considered. Conditions for existence and uniqueness of a strong solution are obtained. In particular, if the noise is a L\'evy symmetric stable process with…

This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the…

For continuous \gamma, g:[0,1]\to(0,\infty), consider the degenerate stochastic differential equation dX_t=[1-|X_t|^2]^{1/2}\gamma(|X_t|) dB_t-g(|X_t|)X_t dt in the closed unit ball of R^n. We introduce a new idea to show pathwise…

In this paper, we establish a general convergence theorem for solutions of multivariate stochastic differential equations with countably many singular terms expressed as integrals with respect to local times. The processes under…

We prove a contraction in $L^1$ property for the solutions of a nonlinear reaction--diffusion system whose special cases include intercellular transport as well as reversible chemical reactions. Assuming the existence of stationary…

We consider stochastic non-linear diffusion equations with a highly singular diffusivity term and multiplicative gradient-type noise. We study existence and uniqueness of non-negative variational solutions in terms of stochastic variational…

In this paper we prove the stochastic homeomorphism flow property and the strong Feller property for stochastic differential equations with sigular time dependent drifts and Sobolev diffusion coefficients. Moreover, the local well posedness…

In this paper a concentration inequality is proved for the deviation in the ergodic theorem in the case of discrete time observations of diffusion processes. The proof is based on the geometric ergodicity property for diffusion processes.…