Related papers: Fractional one-sided measure theoretic second-orde…
This paper gives the exact solution in terms of the Karhunen-Lo\`{e}ve expansion to a fractional stochastic partial differential equation on the unit sphere $\mathbb{S}^{2}\subset \mathbb{R}^{3}$ with fractional Brownian motion as driving…
In this work, we prove a version of H\"{o}rmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $\frac{1}{2} < H < 1$ and an analytic semigroup on a given separable…
We clarify how close a second order fully nonlinear equation can come to uniform ellipticity, through counting large eigenvalues of the linearized operator. This suggests an effective and novel way to understand the structure of fully…
We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed…
We study the numerical approximation of a time dependent equation involving fractional powers of an elliptic operator $L$ defined to be the unbounded operator associated with a Hermitian, coercive and bounded sesquilinear form on…
We construct planar semimartingales that include the Walsh Brownian motion as a special case, and derive Harrison-Shepp-type equations and a change-of-variable formula in the spirit of Freidlin-Sheu for these so-called "Walsh…
This is the second part of a series of four articles on weighted norm inequalities, off-diagonal estimates and elliptic operators. We consider a substitute to the notion of pointwise bounds for kernels of operators which usually is a…
We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability…
This is a guide to the mathematical theory of Brownian motion and related stochastic processes, with indications of how this theory is related to other branches of mathematics, most notably the classical theory of partial differential…
We prove a Weitzenb\"ock identity for general pairs of constant coefficient homogeneous first order partial differential operators, and deduce from it sufficient algebraic conditions for coerciveness and Morrey estimates under the natural…
In this paper, we consider the extended stochastic Navier-Stokes equations with Caputo derivative driven by fractional Brownian motion. We firstly derive the pathwise spatial and temporal regularity of the generalized Ornstein-Uhlenbeck…
The goal of this paper is to define and study a notion of fractional Brownian motion on a Lie group. We define it as at the solution of a stochastic differential equation driven by a linear fractional Brownian motion. We show that this…
We establish a unconditional and optimal strong convergence rate of Wong--Zakai type approximations in Banach space norm for a parabolic stochastic partial differential equation with monotone drift, including the stochastic Allen--Cahn…
The infinitesimal generator (fractional Laplacian) of a process obtained by subordinating a killed Brownian motion catches the power-law attenuation of wave propagation. This paper studies the numerical schemes for the stochastic wave…
This paper establishes a comprehensive well-posedness and regularity theory for time-fractional stochastic partial differential equations on $\mathbb{R}^d$ driven by mixed Wiener--L\'evy noises. The equations feature a Caputo time…
The numerical approximation of solutions to stochastic partial differential equations with additive spatial white noise on bounded domains in $\mathbb{R}^d$ is considered. The differential operator is given by the fractional power…
Motivated by the results of Korry and Kinnunen and Saksman, we study the behaviour of the discrete fractional maximal operator on fractional Hajlasz spaces, Hajlasz-Besov and Hajlasz-Triebel-Lizorkin spaces on metric measure spaces. We show…
We use an off-lattice discretization of fractional Brownian motion and a Metropolis Algorithm to determine the asymptotic scaling of this discretized fractional Brownian motion under the influence of an excluded volume as in the Edwards and…
Stochastic partial differential equations of second order with two unknown parameters are studied. Based on ergodicity, two suitable families of minimum constrast estimators are introduced. Strong consistency and asymptotic normality of…
In the equation of motion approach to the two-time Green's functions, conventional Tyablikov-type truncation of the chain of equations is rather arbitrary and apt to violate the analytical structure of Green's functions. Here, we propose a…