Related papers: Some Distributional Properties of Linear Stochasti…

New types of symmetry for the Rayleigh equation are found. For small Atwood number, an analytic solution is obtained for a smoothly varying density profile. It is shown that a transition layer with a finite width can undergo some kind of…

We show regularity properties of local densities of solutions of stochastic differential equations (SDEs) with the Fourier analytic approach. With this simple method, statements that were previously derived with approaches using Malliavin…

Stochastic differential equations (SDEs) without global Lipschitz drift often demonstrate unusual phenomena. In this paper, we consider the following SDE on $\mathbb R^d$: \begin{align*} \mathrm{d} \mathbf{X}_t=\mathbf{b}(\mathbf{X}_t)…

In this paper, we develop a general methodology to prove weak uniqueness for stochastic differential equations with coefficients depending on some path-functionals of the process. As an extension of the technique developed by Bass \&…

The recently proposed universal relations between the moments of the polydispersity distributions of a phase-separated weakly polydisperse system are analyzed in detail using the numerical results obtained by solving a simple density…

Delattre et al. (2013) considered a system of stochastic differential equations (SDEs) in a random effects setup. Under the independent and identical (iid) situation, and assuming normal distribution of the random effects, they established…

In this paper we establish the strong existence, pathwise uniqueness and a comparison theorem to a stochastic partial differential equation driven by Gaussian colored noise with non-Lipschitz drift, H\"older continuous diffusion…

A class of discrete distributions can be derived from stationary renewal processes. They have the useful property that the mean is a simple function of the model parameters. Thus regressions of the distribution mean on covariates can be…

In this paper we prove a new strong uniqueness result and a weak existence result for possibly {\it degenerate} multidimensional stochastic differential equations with Sobolev diffusion coefficients and rough drifts. In particular, examples…

In this paper we develop an $L_2$-theory for stochastic partial differential equations driven by L\'evy processes. The coefficients of the equations are random functions depending on time and space variables, and no smoothness assumption of…

In this paper we propose a family of multivariate asymmetric distributions over an arbitrary subset of set of real numbers which is defined in terms of the well-known elliptically symmetric distributions. We explore essential properties,…

We give a causal interpretation of stochastic differential equations (SDEs) by defining the postintervention SDE resulting from an intervention in an SDE. We show that under Lipschitz conditions, the solution to the postintervention SDE is…

We consider SDEs with (distributional) drift in negative Besov spaces and random initial condition and investigate them from two different viewpoints. In the first part we set up a martingale problem and show its well-posedness.We then…

By using a change of scale and space, we study a class of stochastic differential equations (SDEs) whose solutions are drift--perturbed and exhibit behaviour analogous to standard Brownian motion including to the Law of the Iterated…

In this paper we show irreducibility and the strong Feller property for transition probabilities of stochastic differential equations with jumps and monotone coefficients. Thus, exponential ergodicity and the spectral gap for the…

For affine stochastic differential equation with uniformly distributed time delay the local asymptotic properties of the likelihood function are studied. Local asymptotic normality, local asymptotic mixed normality, periodic local…

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…

This paper considers linear functional equations on $\mathbb R^d$ with distributed delays defined by matrix-valued measures of bounded variation. More precisely, we are interested in providing conditions to ensure that the exponential…

This paper studies stabilities of stochastic differential equation (SDE) driven by time-changed L\'evy noise in both probability and moment sense. This provides more flexibility in modeling schemes in application areas including physics,…

Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…