Related papers: Comparison theorem for neutral stochastic function…
A systematic Bayesian framework is developed for physics constrained parameter inference ofstochastic differential equations (SDE) from partial observations. The physical constraints arederived for stochastic climate models but are…
We compare two ways of force terms generating in the model of nonrelativistic particle moving in the presence of constant field force $\vec{F}$. First of them uses the twist-deformed N-enlarged Newton-Hooke quantum space-times while the…
In this paper we extend the notion of ``filtration-consistent nonlinear expectation" (or "${\cal F}$-consistent nonlinear expectation") to the case when it is allowed to be dominated by a $g$-expectation that may have a quadratic growth. We…
For backward stochastic Volterra integral equations (BSVIEs) in multi-dimensional Euclidean spaces, comparison theorems are established in a systematic way for the adapted solutions and adapted M-solutions. For completeness, comparison…
Simulation and experimental studies have demonstrated non-equilibrium ordering in driven colloidal suspensions: with increasing driving force, a uniform colloidal mixture transforms into a locally demixed state characterized by the lane…
In an article [J. Math. Phys. 53, 072701 (2012)] X. Sun and J. Duan presented Fokker-Planck equations for nonlinear stochastic differential equations with non-Gaussian L\'evy processes. In this comment we show a serious drawback in the…
In this paper, we investigate stability in distribution of neutral stochastic functional differential equations with infinite delay (NSFDEwID) at the state space \begin{equation*} C_{r}=\{{\varphi\in…
Our purpose is to investigate properties for processes with stationary and independent increments under $G$-expectation. As applications, we prove the martingale characterization to $G$-Brownian motion and present a decomposition for…
We demonstrate that stochastic differential equations (SDEs) driven by fractional Brownian motion with Hurst parameter H > 1/2 have similar ergodic properties as SDEs driven by standard Brownian motion. The focus in this article is on…
We introduce a new notion of G-normal distributions. This will bring us to a new framework of stochastic calculus of Ito's type (Ito's integral, Ito's formula, Ito's equation) through the corresponding G-Brownian motion. We will also…
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear expectations can be expressed as the…
In this paper, the stability behaviors of stochastic differential equations (SDEs) driven by time-changed Brownian motions are discussed. Based on the generalized Lyapunov method and stochastic analysis, necessary conditions are provided…
We pursue our investigations, initiated in [8], about stochastic integration with respect to the non-commutative fractional Brownian motion (NC-fBm). Our main objective in this paper is to compare the pathwise constructions of [8] with a…
This paper is devoted to the study of hyperbolic systems of linear partial differential equations perturbed by a Brownian motion. The existence and uniqueness of solutions are proved by an energy method. The specific features of this class…
We study differential equations with a linear, path dependent drift and discrete delay in the diffusion term driven by a $\gamma$-H\"older rough path for $\gamma > \frac{1}{3}$. We prove well-posedness of these systems and establish a…
We establish Talagrand's $T_1$ and $T_2$ inequalities for the law of the solution of a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $H>1/2$. We use the $L^2$ metric and the uniform metric on…
By constructing a new family of successful couplings, the Driver-type integration by parts formula is established for the operator associated with stochastic differential equation driven by fractional Brownian motion. As applications, shift…
In this paper, we prove the Girsanov formula for $G$-Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the $G$-expectation space…
We obtain necessary and sufficient conditions for equivalence of law for linear stochastic evolution equations driven by a general Gaussian noise by identifying the suitable space of controls for the corresponding deterministic control…
By using the coupling argument, we establish the Harnack and log-Harnack inequalites for stochastic differential equations with non-Lipschitz drifts and driven by additive anisotropic subordinated Brownian motions (in particular,…