Related papers: Locality for singular stochastic PDEs
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
The (strong and weak) well-posedness is proved for singular SDEs depending on the distribution density point-wisely and globally, where the drift satisfies a local integrability condition in time-spatial variables, and is Lipschitz…
A noteworthy property of many parabolic stochastic PDEs is that they locally linearize (Foondun, Khoshnevisan and Mahboubi (2015), Hairer (2013, 2014), Hairer and Pardoux (2015), Khoshnevisan, Swanson, Xiao and Zhang (2013)). We prove that,…
We consider a fully discrete scheme for nonlinear stochastic partial differential equations with non-globally Lipschitz coefficients driven by multiplicative noise in a multi-dimensional setting. Our method uses a polynomial based spectral…
Stochastic differential equations (SDEs) and stochastic partial differential equations (SPDEs) are fundamental for modeling stochastic dynamics across the natural sciences and modern machine learning. Learning their solution operators with…
The aim of this article is to study the asymptotic behaviour for large times of solutions to a certain class of stochastic partial differential equations of parabolic type. In particular, we will prove the backward uniqueness result and the…
This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…
Systems involving Partial Differential Equations (PDEs) have recently become more popular among the machine learning community. However prior methods usually treat infinite dimensional problems in finite dimensions with Reduced Order…
Given a stochastic differential equation (SDE) in $\mathbb{R}^n$ whose solution is constrained to lie in some manifold $M \subset \mathbb{R}^n$, we propose a class of numerical schemes for the SDE whose iterates remain close to $M$ to high…
In this paper, we establish a large deviation principle for a type of stochastic partial differential equations (SPDEs) with locally monotone coefficients driven by L\'evy noise. The weak convergence method plays an important role.
Retarded stochastic differential equations (SDEs) constitute a large collection of systems arising in various real-life applications. Most of the existing results make crucial use of dissipative conditions. Dealing with "pure delay" systems…
We construct a deterministic, Lagrangian many-particle approximation to a class of nonlocal transport PDEs with nonlinear mobility arising in many contexts in biology and social sciences. The approximating particle system is a nonlocal…
We present an algorithm for the numerical solution of systems of fully nonlinear PDEs using stochastic coded branching trees. This approach covers functional nonlinearities involving gradient terms of arbitrary orders, and it requires only…
We survey some of our recent results on existence, uniqueness and regularity of function solutions to parabolic and transport type partial differential equations driven by non-differentiable noises. When applied pathwise to random…
We introduce and analyze a novel class of inverse problems for stochastic dynamics: Given the ergodic invariant measure of a stochastic process governed by a nonlinear stochastic ordinary or partial differential equation (SODE or SPDE), we…
A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an…
We show the existence and uniqueness of a continuous viscosity solution of a system of partial differential equations (PDEs for short) without assuming the usual monotonicity conditions on the driver function as in Hamad\`ene and Morlais's…
There is a rising interest in Spatio-temporal systems described by Partial Differential Equations (PDEs) among the control community. Not only are these systems challenging to control, but the sizing and placement of their actuation is an…
In this paper we investigate two variants of $\alpha$-stable processes, namely tempered stable subordinators and modified tempered stable process as well as their renormalization. We study the weak convergence in the Skorohod space and…
Laplacians associated with domains with singular boundary conditions and are considered together with semigroups on generalized Sobolev spaces, they generate. Applications are given to stochastic PDEs with singular boundary conditions.