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Motivated by the modeling of three-dimensional fluid turbulence, we define and study a class of stochastic partial differential equations (SPDEs) that are randomly stirred by a spatially smooth and uncorrelated in time forcing term. To…
A version of the fundamental mean-square convergence theorem is proved for stochastic differential equations (SDE) which coefficients are allowed to grow polynomially at infinity and which satisfy a one-sided Lipschitz condition. The…
In the present paper we study stochastic homogenization for reaction-diffusion equations with stationary ergodic reactions. We first show that under suitable hypotheses, initially localized solutions to the PDE asymptotically become…
We describe a class of explicit invariant measures for both finite and infinite dimensional Stochastic Differential Equations (SDE) driven by L\'evy noise. We first discuss in details the finite dimensional case with a linear, resp. non…
We develop a domain-decomposition model reduction method for linear steady-state convection-diffusion equations with random coefficients. Of particular interest to this effort are the diffusion equations with random diffusivities, and the…
In the study of concavity properties of positive solutions to nonlinear elliptic partial differential equations the diffusion and the nonlinearity are typically independent of the space variable. In this paper we obtain new results aiming…
Covariant stochastic partial differential equations are studied in any dimension. A special class of such equations is selected and it is proven that the solutions can be analytically continued to Minkowski space-time yielding tempered…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
In this paper, we study a system of second order integro-partial differential equations with interconnected obstacles with non-local terms, related to an optimal switching problem with the jump-diffusion model. Getting rid of the…
Dynamical systems that are subject to continuous uncertain fluctuations can be modelled using Stochastic Differential Equations (SDEs). Controlling such system results in solving path constrained SDEs. Broadly, these problems fall under the…
This work focuses on multivalued stochastic differential equations with jumps. First, by employing the weak convergence approach, we establish the Freidlin-Wentzell uniform large deviation principle and the Dembo-Zeitouni uniform large…
The aim of this paper is to investigate the existence of optimal controls for systems described by stochastic partial differential equations (SPDEs) with locally monotone coefficients controlled by different external forces which are…
Stochastic evolution equations in Banach spaces with unbounded nonlinear drift and diffusion operators driven by a finite dimensional Brownian motion are considered. Under some regularity condition assumed for the solution, the rate of…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial…
In this paper we obtain results for the existence and uniqueness of solutions to coupled Forward-Backward Stochastic Differential Equations (FBSDEs) with jumps defined on a random environment. This environment corresponds to a…
Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…
We study four systems and their interactions. First, we formulate a unified system of coupled forward-backward stochastic partial differential equations (FB-SPDEs) with Levy jumps, whose drift, diffusion, and jump coefficients may involve…
Generative diffusion models have achieved remarkable success in producing high-quality images. However, these models typically operate in continuous intensity spaces, diffusing independently across pixels and color channels. As a result,…
The aim of this paper is to study, in the infinite dimensional framework, the existence and uniqueness for the solution of the following multivalued generalized backward stochastic differential equation, considered on a random, possibly…