Related papers: Weak approximation of Schr\"odinger-F\"ollmer diff…
The aim of this article is to study a Cahn-Hilliard model for a multicomponent mixture with cross-diffusion effects, degenerate mobility and where only one of the species does separate from the others. We define a notion of weak solution…
A Carleman estimate and the unique continuation of solutions for an anomalous diffusion equation with fractional time derivative of order $0<\alpha<1$ are given. The estimate is derived via some subelliptic estimate for an operator…
We consider various filtered time discretizations of the periodic Korteweg--de Vries equation: a filtered exponential integrator, a filtered Lie splitting scheme as well as a filtered resonance based discretisation and establish convergence…
The present paper discusses the diffusion approximation of the linear Boltzmann equation in cases where the collision frequency is not uniformly large in the spatial domain. Our results apply for instance to the case of radiative transfer…
We consider in this work small random perturbations (of multiplicative noise type) of the gradient flow. We prove that under mild conditions, when the potential function is a Morse function with additional strong saddle condition, the…
The stochastic Euler scheme is known to converge to the exact solution of a stochastic differential equation with globally Lipschitz continuous drift and diffusion coefficient. Recent results extend this convergence to coefficients which…
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
Optical beam propagation in random media is characterized by familiar speckle patterns generated by intricate interference effects. Such patterns may be modified and possibly attenuated for partially coherent incident beam profiles. In the…
This paper deals with the distributed order time-fractional diffusion equations with non-homogeneous Dirichlet (Nuemann) boundary condition. We first prove the wellposedness of the weak solution to the initial boundary value problem for the…
In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the…
This paper is devoted to the averaged controllability of the random Schr\"odinger equation, with diffusivity as a random variable drawn from a general probability distribution. First, we show that the solutions to these random Schr\"odinger…
We consider random Schr\"odinger equations on $\bR^d$ for $d\ge 3$ with a homogeneous Anderson-Poisson type random potential. Denote by $\lambda$ the coupling constant and $\psi_t$ the solution with initial data $\psi_0$. The space and time…
We consider an aggregation model with nonlinear diffusion in domains with boundaries and investigate the zero diffusion limit of its solutions. We establish the convergence of weak solutions for fixed times, as well as the convergence of…
Weak convergence of joint distributions generally does not imply convergence of conditional distributions. In particular, conditional distributions need not converge when joint Gaussian distributions converge to a singular Gaussian limit.…
The weak-strong uniqueness for Maxwell--Stefan systems and some generalized systems is proved. The corresponding parabolic cross-diffusion equations are considered in a bounded domain with no-flux boundary conditions. The key points of the…
In this paper, we study weak well-posedness of a McKean-Vlasov stochastic differential equations (SDEs) whose drift is density-dependent and whose diffusion is constant. The existence part is due to H\"older stability estimates of the…
We introduce a new residual-bridge proposal for approximately simulating conditioned diffusions. This proposal is formed by applying the modified diffusion bridge approximation of Durham and Gallant (2002) to the difference between the true…
We study a martingale Schr\"odinger bridge problem: given two probability distributions, find their martingale coupling with minimal relative entropy. Our main result provides Schr\"odinger potentials for this coupling. Namely, under…
We present a proof showing that the weak error of a system of $n$ interacting stochastic particles approximating the solution of the McKean-Vlasov equation is $\mathcal O(n^{-1})$. Our proof is based on the Kolmogorov backward equation for…
This paper investigates quenching solutions of an one-dimensional, two-sided Riemann-Liouville fractional order convection-diffusion problem. Fractional order spatial derivatives are discretized using weighted averaging approximations in…