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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…
A new method is proposed to determine the time-frequency content of time-dependent signals consisting of multiple oscillatory components, with time-varying amplitudes and instantaneous frequencies. Numerical experiments as well as a…
The normalised partial sums of values of a nonnegative multiplicative function over divisors with appropriately restricted sizes of a random permutation from the symmetric group define trajectories of a stochastic process. We prove a…
We discuss through multiple numerical examples the accuracy and efficiency of a micro-macro acceleration method for stiff stochastic differential equations (SDEs) with a time-scale separation between the fast microscopic dynamics and the…
Analytical solutions to the chaotic and ergodic motion of a certain class of one-dimensional dissipative and discrete dynamical systems are derived. This allows us to obtain exact expressions for physical properties like the time…
We propose a multiscale approach for a nonlinear Helmholtz problem with possible oscillations in the Kerr coefficient, the refractive index, and the diffusion coefficient. The method does not rely on structural assumptions on the…
In this paper, we analyze the mean field backward stochastic differential equations (MFBSDEs) with double mean reflections, whose generator and constraints both depend on the distribution of the solution. When the generator is Lipschitz…
The Sequential Multiple Knapsack Problem is a special case of Multiple knapsack problem in which the items sizes are divisible. A characterization of the optimal solutions of the problem and a description of the convex hull of all the…
Numerical approximation of the long time behavior of a stochastic differential equation (SDE) is considered. Error estimates for time-averaging estimators are obtained and then used to show that the stationary behavior of the numerical…
The aim of this article is to overview the problem of mean square optimal estimation of linear functionals which depend on unknown values of periodically correlated stochastic process. Estimates are based on observations of this process and…
This paper proposes a new estimation procedure for the ambiguity function of a non-stationary time series. The stochastic properties of the empirical ambiguity function calculated from a single sample in time are derived. Different…
This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the…
In this work we prove the Stepanov differentiation theorem for multiple-valued functions. This theorem is proved in the wide generality of metric-space-multiple-valued functions without relying on a Lipschitz extension result. General…
A general approach for derivation of the spectral relations for the multitime correlation functions is presented. A special attention is paid to the consideration of the non-ergodic (conserving) contributions and it is shown that such…
An extension of the two-step staggered time discretization of linear elastodynamics in stress-velocity form to systems involving internal variables subjected to a possibly non-linear dissipative evolution is proposed. The original scheme is…
We consider ergodic backward stochastic differential equations in a discrete time setting, where noise is generated by a finite state Markov chain. We show existence and uniqueness of solutions, along with a comparison theorem. To obtain…
This study presents a comprehensive spatial eigenanalysis of fully-discrete discontinuous spectral element methods, now generalizing previous spatial eigenanalysis that did not include time integration errors. The influence of discrete time…
In this paper, we study the spectral estimation problem of estimating the locations of a fixed number of point sources given multiple snapshots of Fourier measurements in a bounded domain. We aim to provide a mathematical foundation for…
We consider non-parametric Bayesian estimation of the drift coefficient of a one-dimensional stochastic differential equation from discrete-time observations on the solution of this equation. Under suitable regularity conditions that are…
This paper explores the use of the multinode Shepard method for the numerical solution of the two-dimensional Black-Scholes equation. The proposed approach integrates a spatial approximation via the multinode Shepard operator with a…