Related papers: Malliavin Calculus for the one-dimensional Stochas…
We derive two weak formulations for the supercooled Stefan problem with transport noise on a half-line: one captures a continuously evolving system, while the other resolves blow-ups by allowing for jump discontinuities in the evolution of…
In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility model with unbounded drift. Relying on a perturbation…
This paper considers a controlled It\^o-L\'evy process where the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be…
This work concerns continuous-time, continuous-space stochastic dynamical systems described by stochastic differential equations (SDE). It presents a new approach to compute probabilistic safety regions, namely sets of initial conditions of…
In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a…
We prove an existence result for the Backus interior problem in the Euclidean ball. The problem consists in determining a harmonic function in the ball from the knowledge of the modulus of its gradient on the boundary. The problem is…
Stein's method is a method of probability approximation which hinges on the solution of a functional equation. For normal approximation the functional equation is a first order differential equation. Malliavin calculus is an…
We study the one-dimensional one-phase Stefan problem for the heat equation with a nonlinear boundary condition. We show that all solutions fall into one of three distinct types: global-in-time solutions with exponential decay,…
We give an example of a reflected diffferential equation which may have infinitely many solutions if the driving signal is rough enough (e.g. of infinite $p$-variation, for some $p>2$). For this equation, we identify a sharp condition on…
We study the smoothness of the solution of the directed chain stochastic differential equations, where each process is affected by its neighborhood process in an infinite directed chain graph, introduced by Detering et al. (2020). Because…
The H\"older continuity of the solution to a nonlinear stochastic partial differential equation arising from one dimensional super process is obtained. It is proved that the H\"older exponent in time variable is as close as to 1/4,…
Using a rough path formulation, we investigate existence, uniqueness and regularity for the stochastic Landau-Lifshitz-Gilbert equation with Stratonovich noise on the one dimensional torus. As a main result we show the continuity of the…
In this paper we consider the one-phase Stefan problem with surface tension, set in a two-dimensional strip-like geometry, with periodic boundary conditions respect to the horizontal direction $x_1\in\mathbb{T}$. We prove that the system is…
In this short article we show how the techniques presented in arXiv:1207.4469 can be extended to a variety of non continuous and multivariate processes. As examples, we prove uniqueness of the location of the maximum for spectrally positive…
We study counterfactual stochastic optimization of conditional loss functionals under misspecified and noisy gradient information. The difficulty is that when the conditioning event has vanishing or zero probability, naive Monte Carlo…
Let $(W,H,\mu)$ be the classical Wiener space on $\R^d$. Assume that $X=(X_t(x))$ is a diffusion process satisfying the stochastic differential equation with diffusion and drift coefficients $\sigma: \R^n\to \R^n\otimes \R^d$, $b: \R^n\to…
In this note, we consider the construction of a one-dimensional stable Langevin type process confined in the upper half-plane and submitted to reflective-diffusive boundary conditions whenever the particle position hits 0. We show that two…
This paper establishes the well-posedness of stochastic partial differential equations with reflection in an infinite-dimensional ball, within the fully local monotone framework. Our result is very general, including many important models…
We propose a novel stochastic method to generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time $t_{f}$ under a given potential $U(x)$. These paths are sampled with a probability…
We consider a one-dimensional one-phase inverse Stefan problem for the heat equation. It consists in recovering a boundary influx condition from the knowledge of the position of the moving front, and the initial state. We derived a…