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We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
This paper proposes and analyzes a novel fully discrete finite element scheme with the interpolation operator for stochastic Cahn-Hilliard equations with functional-type noise. The nonlinear term satisfies a one-side Lipschitz condition and…
This study investigates a class of initial-boundary value problems pertaining to the time-fractional mixed sub-diffusion and diffusion-wave equation (SDDWE). To facilitate the development of a numerical method and analysis, the original…
We develop an approach to learn an interpretable semi-parametric model of a latent continuous-time stochastic dynamical system, assuming noisy high-dimensional outputs sampled at uneven times. The dynamics are described by a nonlinear…
In this paper, we consider a class of the Caputo fractional stochastic differential equations of fractional order $\alpha \in (\frac{1}{2},1]$. Our aim is to analyze of the continuous dependence of solutions on the fractional order…
We analyse the effect of intrinsic fluctuations on the properties of bistable stochastic systems with time scale separation operating under1 quasi-steady state conditions. We first formulate a stochastic generalisation of the quasi-steady…
This work considers to numerically solve a subdiffusion equation involving constant time delay $\tau$ and Riemann-Liouville fractional derivative. First, a fully discrete finite element scheme is developed for the considered problem under…
We consider the problem of computing the maximal invariant set of discrete-time linear systems subject to a class of non-convex constraints that admit quadratic relaxations. These non-convex constraints include semialgebraic sets and other…
Using a temporally weighted norm we first establish a result on the global existence and uniqueness of solutions for Caputo fractional stochastic differential equations of order $\alpha\in(\frac{1}{2},1)$ whose coefficients satisfy a…
This paper introduces a generalized fractional Halanay-type coupled inequality, which serves as a robust tool for characterizing the asymptotic stability of diverse time fractional functional differential equations, particularly those…
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…
This paper focuses on time-varying delayed stochastic differential systems with stochastically switching parameters formulated by a unified switching behavior combining a discrete adapted process and a Cox process. Unlike prior studies…
In this paper, we develop fast procedures for solving linear systems arising from discretization of ordinary and partial differential equations with Caputo fractional derivative w.r.t time variable. First, we consider a finite difference…
We study the existence of mild solutions and the approximate controllability for nonautonomous integrodifferential equations with state-dependent delay. We assume the approximate controllability of the linear part, and then we use resolvent…
In this paper, we present new results on finite- and fixed-time convergence for dynamical systems using LaSalle-like invariance principles. In particular, we provide first and second-order non-smooth Lyapunov-like results for finite- and…
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
In this paper, we study the relative controllability of linear difference equations with multiple delays in the state by using a suitable formula for the solutions of such systems in terms of their initial conditions, their control inputs,…
Time-fractional parabolic equations with a Caputo time derivative are considered. For such equations, we explore and further develop the new methodology of the a-posteriori error estimation and adaptive time stepping proposed in [7]. We…