Related papers: A New Type Distribution Dependent SDE for Singular…
We study distribution dependent stochastic differential equation driven by a continuous process, without any specification on its law, following the approach initiated in [16]. We provide several criteria for existence and uniqueness of…
We study the diffusion equation with an appropriate change of variables. This equation is in general a partial differential equation (PDE). With the self-similar and related Ansat\"atze we transform the PDE of diffusion to an ordinary…
We introduce a notion of spectral singularity that applies for a general class of nonlinear Schreodinger operators involving a confined nonlinearity. The presence of the nonlinearity does not break the parity-reflection symmetry of spectral…
We report some new observation concerning the statistics of Longest Increasing Subsequences (LIS). We show that the expectation of LIS, its variance, and apparently the full distribution function appears in statistical analysis of some…
A discussion is presented, within a simple unifying scheme, about different types of symmetry of PDE's, with the introduction and a precise characterization of the notions of "standard" and "weak" conditional symmetries, together with their…
We study the homogenization property of systems of quasi-linear PDEs of parabolic type with periodic coefficients, highly oscillating drift and highly oscillating nonlinear term. To this end, we propose a probabilistic approach based on the…
We study the second-order quasi-linear stochastic partial differential equations (SPDEs) defined on $C^1$ domains. The coefficients are random functions depending on $t,x$ and the unknown solutions. We prove the uniqueness and existence of…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
Due to the existence of multiple stationary distributions, we study the stability and instability of a stationary distribution for distribution dependent stochastic differential equations. This note is devoted to the instability of a…
We introduce a new theory of generalised solutions which applies to fully nonlinear PDE systems of any order and allows for merely measurable maps as solutions. This approach bypasses the standard problems arising by the application of…
To characterize nonlinear Dirichlet problems in an open domain, we investigate killed distribution dependent SDEs. By constructing the coupling by projection and using the Zvonkin/Girsanov transforms, the well-posedness is proved for three…
One proves the uniqueness of distributional solutions to nonlinear Fokker--Planck equations with monotone diffusion term and derive as a consequence (restricted) uniqueness in law for the corresponding McKean--Vlasov stochastic differential…
The well-posedness for SDEs with singularity in both space and distribution variables is derived, where the interacting drift term is bounded and Lipschitz continuous under total variation distance and the diffusion term is allowed to be…
In the present paper, we consider multidimensional nonlinear backward stochastic differential equations (BSDEs) with a driver depending on the martingale part $M$ of a solution. We assume that the nonlinear term is merely monotone…
The numerical solution of differential equations can be formulated as an inference problem to which formal statistical approaches can be applied. However, nonlinear partial differential equations (PDEs) pose substantial challenges from an…
The well-posedness and regularity estimates in initial distributions are derived for singular McKean-Vlasov SDEs, where the drift contains a locally standard integrable term and a superlinear term in the spatial variable, and is Lipchitz…
In this paper, we consider the continuous dependence on initial values and parameters of solutions as well as invariant measures for McKean-Vlasov SDEs under distribution-dependent Lyapunov conditions. In contrast to the classical SDEs, the…
The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker-Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with…
We consider stochastic PDEs \[dY_t = L(Y_t)\, dt + A(Y_t).\, dB_t, t > 0\] and associated PDEs \[du_t = L u_t\, dt, t > 0\] with regular initial conditions. Here, $L$ and $A$ are certain partial differential operators involving…
We investigate real solutions of a C-integrable non-evolutionary partial differential equation in the form of a scalar conservation law where the flux density depends both on the density and on its first derivatives with respect to the…