Related papers: Infinite-dimensional stochastic differential equat…
We investigate a diffusive motion of a system of interacting Brownian particles in quasi-one-dimensional micropores. In particular, we consider a semi-infinite 1D geometry with a partially absorbing boundary and the hard-core inter-particle…
We study a system of stochastic differential equations with singular drift which describes the dynamics of signed particles in two dimensions interacting by the Coulomb potential. In contrast to the well-studied cases of identical particles…
We study the evolution of a system of many point particles initially concentrated in a small region in $d$ dimensions. Particles undergo overdamped motion caused by pairwise interactions through the long-ranged repulsive $r^{-s}$ potential;…
The area enclosed by the two-dimensional Brownian motion in the plane was studied by L\'evy, who found the characteristic function and probability density of this random variable. For other planar processes, in particular ergodic diffusions…
In this paper we continue the study of the derivation of different types of kinetic equations which arise from scaling limits of interacting particle systems. We began this study in \cite{NVW}. More precisely, we consider the derivation of…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
We consider infinite-dimensional random diffusion dynamics for the Asakura--Oosawa model of interacting hard spheres of two different sizes. We construct a solution to the corresponding SDE with collision local times, analyse its reversible…
In this paper, we study forward-backward doubly stochastic differential equations driven by Brownian motions and Poisson process (FBDSDEP in short). Both the probabilistic interpretation for the solutions to a class of quasilinear…
"Quantum trajectories" are solutions of stochastic differential equations also called Belavkin or Stochastic Schr\"odinger Equations. They describe random phenomena in quantum measurement theory. Two types of such equations are usually…
We study monitored quantum dynamics of infinite-range interacting bosonic systems in the thermodynamic limit. We show that under semiclassical assumptions, the quantum fluctuations along single monitored trajectories adopt a deterministic…
We study the joint asymptotic behavior of spacings between particles at the edge of multilevel Dyson Brownian motions, when the number of levels tends to infinity. Despite the global interactions between particles in multilevel Dyson…
We prove the sets of polynomials on configuration spaces are cores of Dirichlet forms describing interacting Brownian motion in infinite dimensions. Typical examples of these stochastic dynamics are Dyson's Brownian motion and Airy…
In this paper we consider an interacting particle system modeled as a system of $N$ stochastic differential equations driven by Brownian motions with a drift term including a confining potential acting on each particle, and an interaction…
This paper deals with asymptotic errors, limit theorems for errors between numerical and exact solutions of stochastic differential equation (SDE) driven by one-dimensional fractional Brownian motion (fBm). The Euler-Maruyama, higher-order…
Geometric Brownian motion is an exemplary stochastic processes obeying multiplicative noise, with widespread applications in several fields, e.g. in finance, in physics and biology. The definition of the process depends crucially on the…
In this paper we study the controllability results of impulsive neutral stochastic functional differential equations with infinite delay driven by fractional Brownian motion in a real separable Hilbert space. The controllability results are…
We consider the Langevin dynamics of a many-body system of interacting particles in $d$ dimensions, in a very general setting suitable to model several out-of-equilibrium situations, such as liquid and glass rheology, active self-propelled…
In this paper, we establish the well-posedness of stochastic heat equations on moving domains, which amounts to a study of infinite dimensional interacting systems. The main difficulty is to deal with the problems caused by the time-varying…
In this article, we mainly study stochastic viscosity solutions for a class of semilinear stochastic integral-partial differential equations (SIPDEs). We investigate a new class of generalized backward doubly stochastic differential…
The Dyson Brownian Motion (DBM) describes the stochastic evolution of $N$ points on the line driven by an applied potential, a Coulombic repulsion and identical, independent Brownian forcing at each point. We use an explicit tamed Euler…