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Variational perturbation theory is used to determine the decay rates of metastable states across a cubic barrier of arbitrary height. For high barriers, a variational resummation procedure is applied to the complex energy eigenvalues…
Explicit representations of densities for linear parabolic partial differential equations are useful in order to design computation schemes of high accuracy for a considerable class of diffusion models. Approximations of lower order based…
In this paper, we establish a necessary and sufficient stability condition for a class of two coupled first-order linear hyperbolic partial differential equations. Through a backstepping transform, the problem is reformulated as a stability…
We consider one-dimensional hyperbolic PDEs, linear and nonlinear, with random initial data. Our focus is the {\em pointwise statistics,} i.e., the probability measure of the solution at any fixed point in space and time. For linear…
A high-order quadrature scheme is constructed for the evaluation of Laplace single and double layer potentials and their normal derivatives on smooth surfaces in three dimensions. The construction begins with a harmonic approximation of the…
This paper develops mixed-normal approximations for probabilities that vectors of multiple Skorohod integrals belong to random convex polytopes when the dimensions of the vectors possibly diverge to infinity. We apply the developed theory…
A stochastic transport linear equation (STLE) with multiplicative space-time dependent noise is studied. It is shown that, under suitable assumptions on the noise, a multiplicative renormalization leads to convergence of the solutions of…
Aiming at enlarging the class of symmetries of an SDE, we introduce a family of stochastic transformations able to change also the underlying probability measure exploiting Girsanov Theorem and we provide new determining equations for the…
In this paper, we prove the existence of martingale solutions of a class of stochastic equations with pseudo-monotone drift of polynomial growth of arbitrary order and a continuous diffusion term with superlinear growth. Both the nonlinear…
In this note we establish some appropriate conditions for stochastic equality of two random variables/vectors which are ordered with respect to convex ordering or with respect to supermodular ordering. Multivariate extensions of this result…
Over the last few years there have been dramatic advances in our understanding of mathematical and computational models of complex systems in the presence of uncertainty. This has led to a growth in the area of uncertainty quantification as…
In this article, we show how the theory of rough paths can be used to provide a notion of solution to a class of nonlinear stochastic PDEs of Burgers type that exhibit too high spatial roughness for classical analytical methods to apply. In…
We develop a general framework for studying ergodicity of order-preserving Markov semigroups. We establish natural and in a certain sense optimal conditions for existence and uniqueness of the invariant measure and exponential convergence…
A new sufficient condition is proved for the existence of stochastic semigroups generated by the sum of two unbounded operators. It is applied to one-dimensional piecewise deterministic Markov processes, where we also discuss the existence…
In this article we study the expanding properties of random perturbations of contracting Lorenz maps satisfying the summability condition of exponent 1. Under general conditions on the maps and perturbation types, we prove stochastic…
In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done…
This letter announces and summarizes results obtained in arXiv:1111.5051 and considers several natural extensions. The aforementioned paper proposes a procedure to reconstruct coefficients in a second-order, scalar, elliptic equation from…
We investigate steady states of a quasilinear first order hyperbolic partial integro-differential equation. The model describes the evolution of a hierarchical structured population with distributed states at birth. Hierarchical…
We construct normed spaces of real-valued functions with controlled growth on possibly infinite-dimensional state spaces such that semigroups of positive, bounded operators $(P_t)_{t\ge 0}$ thereon with $\lim_{t\to 0+}P_t f(x)=f(x)$ are in…
In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have some fundamental differences from the well-known…