Related papers: The Smoluchowski-Kramers approximation with distri…
The main result of this article regards a small time approximation for the Girsanov's exponential. We prove that the latter is well described over short time intervals by the solution of a deterministic partial differential equation.The…
In the present article we introduce a variant of Smoluchowski's coagulation equation with both position and velocity variables taking a kinetic viewpoint arising as the scaling limit of a system of second-order (microscopic) coagulating…
Existence, uniqueness, and regularity of a strong solution are obtained for stochastic PDEs with a colored noise $F$ and its super-linear diffusion coefficient: $$ du=(a^{ij}u_{x^ix^j}+b^iu_{x^i}+cu)dt+\xi|u|^{1+\lambda}dF, \quad…
We establish Freidlin-Wentzell results for a nonlinear ordinary differential equation starting close to the stable state $0$, say, subject to a perturbation by a stochastic integral which is driven by an $\varepsilon$-small and…
This work considers weak approximations of stochastic partial differential equations (SPDEs) driven by L\'evy noise. The SPDEs at hand are parabolic with additive noise processes. A weak-convergence rate for the corresponding Galerkin…
The Smoluchowski diffusion equation describes diffusion in the presence of external forces. Studying the mechanical response of soft materials to linear forces, such as shear, results in a boundary value problem involving an…
We extend the taming techniques for explicit Euler approximations of stochastic differential equations (SDEs) driven by L\'evy noise with super-linearly growing drift coefficients. Strong convergence results are presented for the case of…
We study the validity of the so-called Smoluchowski-Kramers approximation for a two dimensional system of stochastic partial differential equations, subject to a constant magnetic field. As the small mass limit does not yield to the…
In this paper we prove strong well-posedness for a system of stochastic differential equations driven by a degenerate diffusion satisfying a weak-type H\"ormander condition, assuming H\"older regularity assumptions on the drift coefficient.…
We study the validity of a large deviation principle for a class of stochastic nonlinear damped wave equations, of Klein-Gordon type, in the joint small mass and small noise limit. The friction term is assumed to be state dependent.
We introduce a stochastic partial differential equation (SPDE) with elliptic operator in divergence form, with measurable and bounded coefficients and driven by space-time white noise. Such SPDEs could be used in mathematical modelling of…
We study the problem of approximation of solutions of the Skorokhod problem and reflecting stochastic differential equations (SDEs) with jumps by sequences of solutions of equations with penalization terms. Applications to discrete…
We consider a class of stochastic PDEs of Burgers type in spatial dimension 1, driven by space-time white noise. Even though it is well known that these equations are well posed, it turns out that if one performs a spatial discretization of…
We consider the stochastic nonlinear Schroedinger equation driven by a multiplicative noise in a semiclassical regime, where the Plank constant is small. In this regime, the solution of the equation exhibits high-frequency oscillations. We…
An effective white-noise Langevin equation is derived that describes long-time phase dynamics of a limit-cycle oscillator subjected to weak stationary colored noise. Effective drift and diffusion coefficients are given in terms of the phase…
A Langevin equation is suggested to describe a system driven by correlated Gaussian white noise as well as with positive and negative damping demarcated by a critical velocity. The equation can be transformed into the Fokker-Planck equation…
This paper is concerned with the large deviation principle of the non-local fractional stochastic reaction-diffusion equation with a polynomial drift of arbitrary degree driven by multiplicative noise defined on unbounded domains. We first…
In this paper, we study well-posedness of McKean-Vlasov stochastic differential equations (SDE) whose drift depends pointwisely on marginal density and satisfies a local integrability condition in time-space variables. The drift and noise…
In this paper, we investigate the stochastic evolution equations (SEEs) driven by $\log$-Whittle-Mat$\acute{{\mathrm{e}}}$rn (W-M) random diffusion coefficient field and $Q$-Wiener multiplicative force noise. First, the well-posedness of…
We study a family of nonlinear damped wave equations indexed by a parameter $\epsilon >0$ and forced by a space-time white noise on the two dimensional torus, with polynomial and sine nonlinearities. We show that as $\epsilon \to 0$, the…