Related papers: Stochastic resonance in stochastic PDEs
We study parameter estimation for a linear parabolic second-order stochastic partial differential equation (SPDE) in two space dimensions with a small dispersion parameter using high frequency data with respect to time and space. We set two…
This work is devoted to non-linear stochastic Schr\"odinger equations with multiplicative fractional noise, where the stochastic integral is defined following the Riemann-Stieljes approach of Z\"ahle. Under the assumptions that the initial…
In this note we review several situations in which stochastic PDEs exhibit ergodic properties. We begin with the basic dissipative conditions, as stated by Da Prato and Zabczyk in their classical monograph. Then we describe the singular…
We investigate a class of stochastic partial differential equations of reaction-diffusion type defined on graphs, which can be derived as the limit of SPDEs on narrow planar channels. In the first part, we demonstrate that this limit can be…
We obtain a generalisation of the Stroock-Varadhan support theorem for a large class of systems of subcritical singular stochastic PDEs driven by a noise that is either white or approximately self-similar. The main problem that we face is…
In this paper, we first establish well-posedness of McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs) with common noise, possibly with coefficients having super-linear growth in the state variable. Second, we present…
We propose robust methods to identify underlying Partial Differential Equation (PDE) from a given set of noisy time dependent data. We assume that the governing equation is a linear combination of a few linear and nonlinear differential…
The main result of this paper is that there are examples of stochastic partial differential equations [hereforth, SPDEs] of the type $$ \partial_t u=\frac12\Delta u +\sigma(u)\eta \qquad\text{on $(0\,,\infty)\times\mathbb{R}^3$}$$ such that…
In this article, we study the stochastic wave equation on the entire space $\mathbb{R}^d$, driven by a space-time L\'evy white noise with possibly infinite variance (such as the $\alpha$-stable L\'evy noise). In this equation, the noise is…
This paper studies the stability properties of stochastic differential equations subject to persistent noise (including the case of additive noise), which is noise that is present even at the equilibria of the underlying differential…
The current series of papers is concerned with stochastic stability of monotone dynamical systems by identifying the basic dynamical units that can survive in the presence of noise interference. In the first of the series, for the…
We unify and extend the semigroup and the PDE approaches to stochastic maximal regularity of time-dependent semilinear parabolic problems with noise given by a cylindrical Brownian motion. We treat random coefficients that are only…
This article proposes and analyzes explicit and easily implementable temporal numerical approximation schemes for additive noise-driven stochastic partial differential equations (SPDEs) with polynomial nonlinearities such as, e.g.,…
The stochastic time-fractional equation $\partial_t \psi -\Delta\partial_t^{1-\alpha} \psi = f + \dot W$ with space-time white noise $\dot W$ is discretized in time by a backward-Euler convolution quadrature for which the sharp-order error…
This paper is devoted to the problem of approximating non-linear Stochastic Partial Differential Equations (SPDEs) via interacting particle systems. In particular, we consider the Stochastic McKean-Vlasov equation, which is the…
The characteristic equation for a linear delay differential equation (DDE) has countably infinite roots on the complex plane. This paper considers linear DDEs that are on the verge of instability, i.e. a pair of roots of the characteristic…
We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…
We study stochastic optimal control of rough stochastic differential equations (RSDEs). This is in the spirit of the pathwise control problem (Lions--Souganidis 1998, Buckdahn--Ma 2007; also Davis--Burstein 1992), with renewed interest and…
Mean-field systems have been previously derived for networks of coupled, two-dimensional, integrate-and-fire neurons such as the Izhikevich, adapting exponential (AdEx) and quartic integrate and fire (QIF), among others. Unfortunately, the…
We consider statistics for stochastic evolution equations in Hilbert space with emphasis on stochastic partial differential equations (SPDEs). We observe a solution process under additional measurement errors and want to estimate a real or…