Related papers: Stochastic Differential Equations with Local Growt…

We consider a stochastic differential equation of the form \[dX_t=\theta a(t,X_t)\,dt+\sigma_1(t,X_t)\sigma_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where $Y$ is some adapted stochastic process. We prove…

This work is concerned with the stability properties of linear stochastic differential equations with random (drift and diffusion) coefficient matrices, and the stability of a corresponding random transition matrix (or exponential…

We consider stochastic evolution equations in Hilbert spaces with merely measurable and locally bounded drift term $B$ and cylindrical Wiener noise. We prove pathwise (hence strong) uniqueness in the class of global solutions. This paper…

The aim of the book is to present some recent results in the theory of stochastic It\^o equations with singular deterministic part (drift) and its applications to second-order elliptic and parabolic equations with singular first-order…

Identification of nonlinear dynamical systems is crucial across various fields, facilitating tasks such as control, prediction, optimization, and fault detection. Many applications require methods capable of handling complex systems while…

We are interested in studying the Cauchy problem for a weakly coupled system of semi-linear $\sigma$-evolution equations with frictional damping. The main purpose of this paper is two-fold. We would like to not only prove the global (in…

Backward stochastic partial differential equations of parabolic type with variable coefficients are considered in smooth domains. Existence and uniqueness results are given in weighted Sobolev spaces allowing the derivatives of the…

We consider regularity properties of stochastic kinetic equations with multiplicative noise and drift term which belongs to a space of mixed regularity ($L^p$-regularity in the velocity-variable and Sobolev regularity in the…

We consider the problem of constructing weak solutions to the It\^{o} and to the Stratonovich stochastic differential equations having critical-order singularities in the drift and critical-order discontinuities in the dispersion matrix.

New weak and strong existence and weak and strong uniqueness results for multi-dimensional stochastic McKean--Vlasov equations are established under relaxed regularity conditions. Weak existence is a variation of Krylov's weak existence for…

In this article, we construct weak solutions for a class of Stochastic PDEs in the space of tempered distributions via Girsanov's theorem. It is to be noted that our drift and diffusion coefficients $(L,A)$ of the considered Stochastic PDE…

We consider a stochastic delay differential equation driven by a general Levy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment process is…

In this paper, we prove that there exists a unique strong solution to reflecting stochastic differential equations with merely measurable drift giving an affirmative answer to the longstanding problem. This is done through Zvonkin…

In this paper, we investigate the stochastic differential equation on $\mathbb{R}^d,d\geq2$: \begin{align*} \dif X_t&=v(t,X_t)\dif t+\sqrt{2} \dif W_t. \end{align*} For any finite collection of initial probability measures…

We obtain gradient estimates on solutions to parabolic Kolmogorov equation with singular drift in a large class. Such estimates allow to construct a Feller evolution family, which is used to construct unique weak solutions to the…

A class of (possibly) degenerate integro-differential equations of parabolic type is considered, which includes the Kolmogorov equations for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential…

We prove pathwise uniqueness for a class of stochastic differential equations (SDE) on a Hilbert space with cylindrical Wiener noise, whose nonlinear drift parts are sums of the sub-differential of a convex function and a bounded part. This…

We establish a general theory of optimal strong error estimation for numerical approximations of a second-order parabolic stochastic partial differential equation with monotone drift driven by a multiplicative infinite-dimensional Wiener…

This paper provides a comprehensive Sobolev regularity theory for the Dirichlet problem of stochastic partial differential equations in $C^{1,\sigma}$ open sets. We consider substantially large classes of nonlocal operators and generalized…

Unique existence of analytically strong solutions to stochastic partial differential equations (SPDE) with drift given by the subdifferential of a quasi-convex function and with general multiplicative noise is proven. The proof applies a…