Related papers: Wick-type stochastic parabolic equations with rand…
Polynomial Chaos Expansions represent a powerful tool to simulate stochastic models of dynamical systems. Yet, deriving the expansion's coefficients for complex systems might require a significant and non-trivial manipulation of the model,…
In this paper, we consider stochastic Schroedinger equations with two-dimensional white noise. Such equations are used to describe the evolution of an open quantum system undergoing a process of continuous measurement. Representations are…
The notion of anyonic Wick algebras is introduced and the corresponding second quantisation procedure is discussed. Applications to the physics of 2D anyonic matter are presented. In particular the existence of thermodynamics in the…
Given a Gaussian stationary increment processes with spectral density, we show that a Wick-Ito integral with respect to this process can be naturally obtained using Hida's white noise space theory. We use the Bochner-Minlos theorem to…
We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…
We investigate conditional McKean-Vlasov equations driven by time-space white noise, motivated by the propagation of chaos in an N-particle system with space-time Ornstein-Uhlenbeck dynamics. The framework builds on the stochastic calculus…
We show how Wick polynomials of random variables can be defined combinatorially as the unique choice which removes all "internal contractions" from the related cumulant expansions, also in a non-Gaussian case. We discuss how an expansion in…
This work is concerned with existence of weak solutions to discon- tinuous stochastic differential equations driven by multiplicative Gaus- sian noise and sliding mode control dynamics generated by stochastic differential equations with…
We develop an inductive approach to obtaining stochastic estimates for the $\varphi^{4}_2$-equation when the coefficient field is correlated with the driving noise. Our method is based on (infinite-dimensional) Gaussian integration by parts…
Through a reformulation of the local limit theorem and law of small numbers, which is obtained by working in the spaces naturally associated to the limiting distributions, we discover a general and abstract framework for the investigation…
We present two linear relations between an arbitrary (real tempered second order) generalized stochastic process over $\mathbb{R}^{d}$ and White Noise processes over $\mathbb{R}^{d}$. The first is that any generalized stochastic process can…
We consider a quasilinear parabolic stochastic partial differential equation driven by a multiplicative noise and study regularity properties of its weak solution satisfying classical a priori estimates. In particular, we determine…
This paper investigates the parareal algorithms for solving the stochastic Maxwell equations driven by multiplicative noise, focusing on their convergence, computational efficiency and numerical performance. The algorithms use the…
We consider the Stokes phenomenon for the solutions of some partial differential equations with variable coefficients in two complex variables, where initial data are holomorphic. We use the theory of (moment) summability and the theory of…
Linear systems with many degrees of freedom containing multiplicative and additive noise are considered. The steady state probability distribution for equations of this kind is examined. With multiplicative white noise it is shown that…
In this article we show the existence of a random-field solution to linear stochastic partial differential equations whose partial differential operator is hyperbolic and has variable coefficients that may depend on the temporal and spatial…
Polynomial chaos is a powerful technique for propagating uncertainty through ordinary and partial differential equations. Random variables are expanded in terms of orthogonal polynomials and differential equations are derived for the…
We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when…
We investigate a stochastic version of the Allen-Cahn-Navier-Stokes system in a smooth two- or three-dimensional domain with random initial data. The system consists of a Navier-Stokes equation coupled with a convective Allen-Cahn equation,…
We prove a version of the Wong-Zakai theorem for one-dimensional parabolic nonlinear stochastic PDEs driven by space-time white noise. As a corollary, we obtain a detailed local description of solutions. Dedicated to the memory of Kiyosi…