Related papers: Invariant cones for jump-diffusions in infinite di…
In this paper, we, for the first time, establish two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and completely different from the existing results for…
This note proposes embedding a time dependent PDE into a convection-diffusion type PDE (in one space dimension higher) with singularity, for which two discretization schemes, the classical streamline-diffusion and the EAFE (edge average…
We establish new general sufficient conditions for the existence of an invariant measure for stochastic functional differential equations and for exponential or subexponential convergence to the equilibrium. The obtained conditions extend…
Numerical methods for stochastic differential equations with non-globally Lipschitz coefficients are currently studied intensively. This article gives an overview of our work for the case that the drift coefficient is potentially…
This article investigates the non-stationary reaction-diffusion-advection equation, emphasizing solutions with internal layers and the associated inverse problems. We examine a nonlinear singularly perturbed partial differential equation…
We consider a stochastic functional differential equation with an arbitrary Lipschitz diffusion coefficient depending on the past. The drift part contains a term with superlinear growth and satisfying a dissipativity condition. We prove…
In this article we study invariance properties of shift-invariant spaces in higher dimensions. We state and prove several necessary and sufficient conditions for a shift-invariant space to be invariant under a given closed subgroup of…
In this paper, we introduce a class of stochastic partial differential equations (SPDEs) with fractional time-derivatives, and study the $L_2$-theory of the equations. This class of SPDEs can be used to describe random effects on transport…
In this paper, a new family of implicit compact finite difference schemes for computation of unsteady convection-diffusion equation with variable convection coefficient is proposed. The schemes are fourth order accurate in space and second…
We propose a novel framework for adaptively learning the time-evolving solutions of stochastic partial differential equations (SPDEs) using score-based diffusion models within a recursive Bayesian inference setting. SPDEs play a central…
In this paper, we investigate stochastic heat equation with sublinear diffusion coefficients. By assuming certain concavity of the diffusion coefficient, we establish non-trivial moment upper bounds and almost sure spatial asymptotic…
We prove that a system of locally interacting diffusions carrying discrete masses, subject to an environmental noise and undergoing mass coagulation, converges to a system of Stochastic Partial Differential Equations (SPDEs) with…
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
In this paper, we prove a sufficient and necessary condition for the transition probability distribution of a general, time-inhomogeneous linear SDE to possess a density function and study the differentiability of the density function and…
We study one-dimensional stochastic differential equations of form $dX_t = \sigma(X_t)dY_t$, where $Y$ is a suitable H\"older continuous driver such as the fractional Brownian motion $B^H$ with $H>\frac12$. The innovative aspect of the…
We derive the stochastic master equations which describe the evolution of open quantum systems in contact with a heat bath and undergoing indirect measurements. These equations are obtained as a limit of a quantum repeated measurement model…
I was asked to make my, by now quite old PhD thesis, available on the arxiv, for parts of it was never submitted for publication. The thesis offers a systematic study of stochastic differential equations (SDEs) on non-compact spaces. In…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…
We derive moment estimates and a strong limit theorem for space inverses of stochastic flows generated by jump SDEs with adapted coefficients in weighted H\"older norms using the Sobolev embedding theorem and the change of variable formula.…
In stochastic partial differential equations it is important to have pathwise regularity properties of stochastic convolutions. In this note we present a new sufficient condition for the pathwise continuity of stochastic convolutions in…