Related papers: Cooling down stochastic differential equations: al…

This paper establishes a bivariate Hardy-Sobolev inequality. Let $\Omega \subset \mathbb{R}^N$ ($N \geq 3$) be an open domain, $s \in (0,2)$, $\alpha > 1$, $\beta > 1$ with $\alpha + \beta = 2^*(s)$, and $\kappa \in \mathbb{R}$. For any…

This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These…

We derive a robust error estimate for a recently proposed numerical method for $\alpha$-dissipative solutions of the Hunter-Saxton equation, where $\alpha \in [0, 1]$. In particular, if the following two conditions hold: i) there exist a…

Based on a class of moderately interacting particle systems, we establish a quantitative approximation for density-dependent McKean-Vlasov SDEs and the corresponding nonlinear, nonlocal PDEs. The SDE is driven by both Brownian motion and…

We obtain the unique weak and strong solvability for time inhomogeneous stochastic differential equations with the drift in subcritical Lebesgue--H\"{o}lder spaces $L^p([0,T];{\mathcal C}_b^{\beta}({\mathbb R}^d;{\mathbb R}^d))$ and driven…

In the present paper we study the convergence of the solution of the two dimensional (2-D) stochastic Leray-$\alpha$ model to the solution of the 2-D stochastic Navier-Stokes equations. We are mainly interested in the rate of convergence,…

We consider the density $X_t(x)$ of the critical $(\alpha,\beta)$-superprocess in $R^d$ with $\alpha\in (0,2)$ and $\beta<\frac \alpha d$. A recent result from PDE implies a dichotomy for the density: for fixed $x$, $X_t(x)>0$ a.s. on…

The aim of this paper is to obtain convergence in mean in the uniform topology of piecewise linear approximations of Stochastic Differential Equations (SDEs) with $C^1$ drift and $C^2$ diffusion coefficients with uniformly bounded…

Given $\alpha$ in some set $\Sigma$ of total (Haar) measure in ${\bf T}={\bf R}/{\bf Z}$, and $A\in C^{\infty}({\bf T},SL(2,{\bf R}))$ which is homotopic to the identity, we prove that if the fibered rotation number of the skew-product…

We study the strong rate of convergence of the Euler--Maruyama scheme for a multidimensional stochastic differential equation (SDE) $$ dX_t = b(X_t) \, dt + dL_t, $$ with irregular $\beta$-H\"older drift, $\beta > 0$, driven by a L\'evy…

We establish new general sufficient conditions for the existence of an invariant measure for stochastic functional differential equations and for exponential or subexponential convergence to the equilibrium. The obtained conditions extend…

In our paper [Bernoulli 26(2), 2020, 1381-1409], we found all strong Markov solutions that spend zero time at $0$ of the Stratonovich stochastic differential equation $d X=|X|^{\alpha}\circ dB$, $\alpha\in (0,1)$. These solutions have the…

Let $\alpha$ and $\beta$ be two Furstenberg transformations on 2-torus associated with irrational numbers $\theta_1,$ $\theta_2,$ integers $d_1, d_2$ and Lipschitz functions $f_1$ and $f_2.$ We show that $\alpha$ and $\beta$ are…

We present the first mathematical analysis of stochastic density functional theory (DFT) in the context of the Hartree approximation. We motivate our analysis via the notion of nearly-optimal or $\tilde{O}(n)$ scaling with respect to the…

Let $d\in\mathbb N$ and $f$ be a function in the Orlicz class $L(\log^+L)^{d-1}$ defined on the unit cube $[0,1]^d$ in $\mathbb{R}^d$. Given partitions $\Delta_1,\ldots,$ $\Delta_d$ of $[0,1]$, we first prove that the orthogonal projection…

This paper is devoted to the convergence analysis of stochastic approximation algorithms of the form $\theta\_{n+1} = \theta\_n + \gamma\_{n+1} H\_{\theta\_n}(X\_{n+1})$ where $\{\theta\_nn, n \geq 0\}$ is a $R^d$-valued sequence,…

Let $M$ be a compact Riemannian manifold. A {\em self-interacting diffusion} on $M$ is a stochastic process solution to $$dX_t = dW_t(X_t) - \frac{1}{t}(\int_0^t \nabla V_{X_s}(X_t)ds)dt$$ where $\{W_t\}$ is a Brownian vector field on $M$…

Let $(\xi,\eta)$ be a bivariate L\'evy process such that the integral $\int\_0^\infty e^{-\xi\_{t-}} d\eta\_t$ converges almost surely. We characterise, in terms of their \LL measures, those L\'evy processes for which (the distribution of)…

Suppose $(f,\mathcal{X},\nu)$ is a measure preserving dynamical system and $\phi:\mathcal{X}\to\mathbb{R}$ is an observable with some degree of regularity. We investigate the maximum process $M_n:=\max\{X_1,\ldots,X_n\}$, where…

In 2002, Fatiha Alabau, Piermarco Cannarsa and Vilmos Komornik investigated the extent of asymptotic stability of the null solution for weakly coupled partially damped equations of the second order in time. The main point is that the…