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The regularity and characterization of solutions to degenerate, quasilinear SPDE is studied. Our results are two-fold: First, we prove regularity results for solutions to certain degenerate, quasilinear SPDE driven by Lipschitz continuous…
In [Alekseevsky, Gutt, Manno, Moreno: "A general method to construct invariant PDEs on homogeneous manifolds", Communications in Contemporary Mathematics (2021)] the authors have developed a method for constructing $G$-invariant PDEs…
A new explicit stochastic scheme of order 1 is proposed for solving commutative stochastic differential equations (SDEs) with non-globally Lipschitz continuous coefficients. The proposed method is a semi-tamed version of Milstein scheme to…
In this paper we study the homeomorphic properties of the solutions to one dimensional backward doubly stochastic differential equations under suitable assumptions, where the terminal values depend on a real parameter. Then, we apply them…
We propose notions of minimax and viscosity solutions for a class of fully nonlinear path-dependent PDEs with nonlinear, monotone, and coercive operators on Hilbert space. Our main result is well-posedness (existence, uniqueness, and…
The purpose of this paper is to establish the well-posedness of the stochastic Stefan problem on moving hypersurfaces. Through a specially designed transformation, it turns out we need to solve stochastic partial differential equations on a…
We consider deformations of the scalar curvature of a partially integrable pseudohermitian manifold, in analogy with the work of Fischer and Marsden on Riemannian manifolds. In particular, we introduce and discuss $R$-singular spaces, give…
Finite difference schemes in the spatial variable for degenerate stochastic parabolic PDEs are investigated. Sharp results on the rate of $L_p$ and almost sure convergence of the finite difference approximations are presented and results on…
We provide a general framework for the stability of solutions to stochastic partial differential equations with respect to perturbations of the drift. More precisely, we consider stochastic partial differential equations with drift given as…
We present several results on solvability in Sobolev spaces $W^{1}_{p}$ of SPDEs in divergence form in the whole space.
We consider It\^o uniformly nondegenerate equations with random coefficients. When the coefficients satisfy some low regularity assumptions with respect to the spatial variables and Malliavin differentiability assumptions on the sample…
We prove the unique solvability in weighted Sobolev spaces of non-divergence form elliptic and parabolic equations on a half space with the homogeneous Neumann boundary condition. All the leading coefficients are assumed to be only…
We prove several discrete Gagliardo-Nirenberg-Sobolev and Poincar\'e-Sobolev inequalities for some approximations with arbitrary boundary values on finite volume meshes. The keypoint of our approach is to use the continuous embedding of the…
This paper presents a finite-dimensional approximation for a class of partial differential equations on the space of probability measures. These equations are satisfied in the sense of viscosity solutions. The main result states the…
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that the discretisation on an unbounded domain…
We introduce an extended Sobolev scale on a smooth compact manifold with boundary. The scale is formed by inner-product H\"ormander spaces for which an RO-varying radial function serves as a regularity index. These spaces do not depend on a…
The aim of the present paper is to study the regularity properties of the solution of a backward stochastic differential equation with a monotone generator in infinite dimension. We show some applications to the nonlinear Kolmogorov…
We provide convergence rates for space approximations of semi-linear stochastic differential equations with multiplicative noise in a Hilbert space. The space approximations we consider are spectral Galerkin and finite elements, and the…
Optimization techniques are at the core of many scientific and engineering disciplines. The steepest descent methods play a foundational role in this area. In this paper we studied a generalized steepest descent method on Riemannian…
We introduce and discuss Fr\'echet differentiability for maps between Fr\'echet spaces. For delay differential equations $x'(t)=f(x_t)$ we construct a continuous semiflow of continuously differentiable solution operators $x_0\mapsto x_t$,…