Related papers: A note on products of stochastic objects
Parameter estimation for a parabolic linear stochastic partial differential equation in one space dimension is studied observing the solution field on a discrete grid in a fixed bounded domain. Considering an infill asymptotic regime in…
We present a series of recent results on the well-posedness of very singular parabolic stochastic partial differential equations. These equations are such that the question of what it even means to be a solution is highly non-trivial. This…
We consider the Cauchy problem for the nonlinear Schr\"{o}dinger equation with derivative nonlinearity $(i\partial _t + \Delta ) u= \pm \partial (\overline{u}^m)$ on $\R ^d$, $d \ge 1$, with random initial data, where $\partial$ is a first…
A stochastic PDE, describing mesoscopic fluctuations in systems of weakly interacting inertial particles of finite volume, is proposed and analysed in any finite dimension $d\in\mathbb{N}$. It is a regularised and inertial version of the…
Our work is part of the close link between continuous-time dissipative dynamical systems and optimization algorithms, and more precisely here, in the stochastic setting. We aim to study stochastic convex minimization problems through the…
This article presents a theoretical study of uncertainty functionals on general measurable spaces. These functionals are fundamental in experimental design and global sensitivity analysis, where they are used to quantify variability and…
A change of variables is introduced to reduce certain nonlinear stochastic evolution equations with multiplicative noise to the corresponding deterministic equation. The result is then used to investigate a stochastic porous medium…
Many signal processing and machine learning applications are built from evaluating a kernel on pairs of signals, e.g. to assess the similarity of an incoming query to a database of known signals. This nonlinear evaluation can be simplified…
We study a general class of singular degenerate parabolic stochastic partial differential equations (SPDEs) which include, in particular, the stochastic porous medium equations and the stochastic fast diffusion equation. We propose a fully…
Stochastic linear combinations of some random vectors are studied where the distribution of the random vectors and the joint distribution of their coefficients are Dirichlet. A method is provided for calculating the distribution of these…
In this expository note we present simple proofs of the lower bound of Ramsey numbers (Erd\"os theorem), and of the estimation of discrepancy. Neither statements nor proofs require any knowledge beyond high-school curriculum (except a minor…
We consider the stochastic integrals of multivariate point processes and study their concentration phenomena. In particular, we obtain a Bernstein type of concentration inequality through Dol\'eans-Dade exponential formula and a uniform…
We study stochastic differential equations with jumps with no diffusion part. We provide some basic stochastic characterizations of solutions of the corresponding non-local partial differential equations and prove the Harnack inequality for…
In this article we give some improvements and generalizations of the famous Jensen's and Jensen-Mercer inequalities for twice differentiable functions, where convexity property of the target function is not assumed in advance. They…
The purpose of this paper is to establish the theory of stochastic pseudo-differential operators and give its applications in stochastic partial differential equations. First, we introduce some concepts on stochastic pseudo-differential…
Numerical resolution of high-dimensional nonlinear PDEs remains a huge challenge due to the curse of dimensionality. Starting from the weak formulation of the Lawson-Euler scheme, this paper proposes a stochastic particle method (SPM) by…
This work focuses on the numerical approximations of random periodic solutions of stochastic differential equations (SDEs). Under non-globally Lipschitz conditions, we prove the existence and uniqueness of random periodic solutions for the…
Cauchy problems with SPDEs on the whole space are localized to Cauchy problems on a ball of radius $R$. This localization reduces various kinds of spatial approximation schemes to finite dimensional problems. The error is shown to be…
In this paper, we investigate the well-posedness of the martingale problem associated to non-linear stochastic differential equations (SDEs) in the sense of McKean-Vlasov under mild assumptions on the coefficients as well as classical…
This article offers sharp spatial and temporal mean-square regularity results for a class of semi-linear parabolic stochastic partial differential equations (SPDEs) driven by infinite dimensional fractional Brownian motion with the Hurst…