Related papers: Weak solutions for singular multiplicative SDEs vi…

In this paper we review and improve pathwise uniqueness results for some types of one-dimensional stochastic differential equations (SDE) involving the local time of the unknown process. The diffusion coefficient of the SDEs we consider is…

We consider a stable driven degenerate stochastic differential equation, whose coefficients satisfy a kind of weak H{\"o}rmander condition. Under mild smoothness assumptions we prove the uniqueness of the martingale problem for the…

We consider reaction-diffusion equations that are stochastically forced by a small multiplicative noise term. We show that spectrally stable travelling wave solutions to the deterministic system retain their orbital stability if the…

We are interested in the discretization of stable driven SDEs with additive noise for $\alpha$ $\in$ (1, 2) and Lq -- Lp drift under the Serrin type condition $\alpha$/q + d/p < $\alpha$ -- 1. We show weak existence and uniqueness as well…

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…

This work is concerned with the quantification of the epistemic uncertainties induced the discretization of partial differential equations. Following the paradigm of probabilistic numerics, we quantify this uncertainty probabilistically.…

We establish weak existence and uniqueness for random field solutions of the one-dimensional SPDE \[ d_tX_t = \frac{1}{2}\Delta X_t +h(X_t)+ \sqrt{X_t}\dot{W}, \quad t\geq 0,\] where $\dot{W}$ is space-time white noise and $h$ is a bounded…

In this article, we consider diffusion approximations for a general class of stochastic recursions. Such recursions arise as models for population growth, genetics, financial securities, multiplicative time series, numerical schemes and…

A standard finite element method discretizes the stochastic linear Schr\"{o}dinger equation driven by additive noise in the spatial variables. The weak convergence of the resulting approximate solution is analyzed, and it is established…

We consider the Stochastic Differential Equation $X_t = X_0 + \int_0^t b(s,X_s) ds + B_t$, in $\mathbb{R}^d$. We give an example of a drift $b$ such that there does not exist a weak solution, but there exists a solution for almost every…

We study the problem of particles undergoing Brownian motion in an expanding sphere whose surface is an absorbing boundary for the particles. The problem is akin to that of the diffusion of impurities in a grain of polycrystalline material…

We consider a simultaneous small noise limit for a singularly perturbed coupled diffusion described by \begin{eqnarray*} dX^{\varepsilon}_t &=& b(X^{\varepsilon}_t, Y^{\varepsilon}_t)dt + \varepsilon^{\alpha}dB_t, dY^{\varepsilon}_t &=& -…

We will consider the following stochastic differential equation (SDE): \begin{equation} X_t=X_0+\int_0^tb(X_s,\theta_0)ds+\sigma B_t,~~~t\in(0,T], \end{equation} where $\{B_t\}_{t\ge 0}$ is a fractional Brownian motion with Hurst index…

We study the relationship between mixed stochastic differential equations and the corresponding rough path equations driven by standard Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$. We establish a correction…

We investigate a system of Brownian particles weakly bound by attractive parity-symmetric potentials that grow at large distances as $V(x) \sim |x|^\alpha$, with $0 < \alpha < 1$. The probability density function $P(x,t)$ at long times…

We consider a mixed stochastic differential equation driven by possibly dependent fractional Brownian motion and Brownian motion. Under mild regularity assumptions on the coefficients, it is proved that the equation has a unique solution.

In this paper we consider the three-dimensional compressible MHD system with stochastic external forces in a bounded domain. We obtain the existence of martingale solution which is a weak solution for the fluid variables, the Brownian…

For a reaction-dominated diffusion problem we study a primal and a dual hybrid finite element method where weak continuity conditions are enforced by Lagrange multipliers. Uniform robustness of the discrete methods is achieved by enriching…

A well-known result with respect to the one dimensional nearest-neighbor symmetric simple exclusion process is the convergence to fractional Brownian motion with Hurst parameter 1/4, in the sense of finite-dimensional distributions, of the…

In this paper we construct a framework for doing statistical inference for discretely observed stochastic differential equations (SDEs) where the driving noise has 'memory'. Classical SDE models for inference assume the driving noise to be…