Related papers: Stieltjes differential systems with non monotonic …
We consider a SDE with a smooth multiplicative non-degenerate noise and a possibly unbounded Holder continuous drift term. We prove existence of a global flow of diffeomorphisms by means of a special transformation of the drift of…
In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the evaluation of the Wiener-Hopf factors and various probability…
In this paper, we study (strong and weak) existence and uniqueness of a class of non-Markovian SDEs whose drift contains the derivative in the sense of distributionsof a continuous function.
This paper derives stochastic partial differential equations (SPDEs) for fluid dynamics from a stochastic variational principle (SVP). The Legendre transform of the Lagrangian formulation of these SPDEs yields their Lie-Poisson Hamiltonian…
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the…
We prove that solution operators of elliptic obstacle-type variational inequalities (or, more generally, locally Lipschitz continuous functions possessing certain pointwise-a.e. convexity properties) are Newton differentiable when…
A new geometric procedure to construct symplectic methods for constrained mechanical systems is developed in this paper. The definition of a map coming from the notion of retraction maps allows to adapt the continuous problem to the…
The current paper is devoted to the asymptotic behavior of a class of stochastic PDE. More precisely, with the help of the theory of integrated semigroups and a crucial estimate of the random Stieltjes convolution, we study the existence…
We consider several systems of nonlinear hyperbolic conservation laws describing the dynamics of nonlinear waves in presence of phase transition phenomena. These models admit under-compressive shock waves which are not uniquely determined…
In the analysis of stochastic dynamical systems described by stochastic differential equations (SDEs), it is often of interest to analyse the sensitivity of the expected value of a functional of the solution of the SDE with respect to…
This paper investigates some aspects of the variational behaviour of nonsmooth functions, with special emphasis on certain stability phenomena. Relationships linking such properties as sharp minimality, superstability, error bound and…
We employ some results about continued fraction expansions of Herglotz-Nevanlinna functions to characterize the spectral data of generalized indefinite strings of Stieltjes type. In particular, this solves the corresponding inverse spectral…
We study directional differentiability properties of solution operators of rate-independent evolution variational inequalities with full-dimensional convex polyhedral admissible sets. It is shown that, if the space of continuous functions…
We construct a family of steady solutions to the two-dimensional incompressible Euler equation in a general bounded domain, such that the vorticity is supported in two well-separated regions of small diameter and converges to a pair of…
Symplectic integrators offer vastly superior performance over traditional numerical techniques for conservative dynamical systems, but their application to \emph{dissipative} systems is inherently difficult due to dissipative systems' lack…
We establish well-posedness for a class of systems of SDEs with non-Lipschitz coefficients in the diffusion and jump terms and with two sources of interdependence: a monotone function of all the components in the drift of each SDE and the…
We consider a $d$-dimensional SDE with an identity diffusion matrix and a drift vector being a vector function of bounded variation. We give a representation for the derivative of the solution with respect to the initial data.
For two families of beta distributions, we show that the generalized Stieltjes transforms of their elements may be written as elementary functions (powers and fractions) of the Stieltjes transform of the Wigner distribution. In particular,…
We study analytically the statistics of multiple sign changes in a discrete non-Markovian sequence ,\psi_i=\phi_i+\phi_{i-1} (i=1,2....,n) where \phi_i's are independent and identically distributed random variables each drawn from a…
Over three decades ago the advection-diffusion equation for a steady fluid velocity field was homogenized, leading to a Stieltjes integral representation for the effective diffusivity, which is given in terms of a spectral measure of a…