Related papers: The Atlas Model and SDEs with Boundary Interaction
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
This article addresses reaction networks in which spatial and stochastic effects are of crucial importance. For such systems, particle-based models allow us to describe all microscopic details with high accuracy. However, they suffer from…
We study the regularity of a diffusion on a simplex with singular drift and reflecting boundary condition which describes a finite system of particles on an interval with Coulomb interaction and reflection between nearest neighbors. As our…
We introduce a family of glassy models having a parameter, playing the role of an interaction range, that may be varied continuously to go from a system of particles in d dimensions to a mean-field version of it. The mean-field limit is…
We consider in this work the convergence of a split-step Euler type scheme (SSM) for the numerical simulation of interacting particle Stochastic Differential Equation (SDE) systems and McKean-Vlasov Stochastic Differential Equations…
We investigate properties of the (conditional) law of the solution to SDEs driven by fractional Brownian noise with a singular, possibly distributional, drift. Our results on the law are twofold: i) we quantify the spatial regularity of the…
Motivated by applications in economics and finance, in particular to the modeling of limit order books, we study a class of stochastic second-order PDEs with non-linear Stefan-type boundary interaction. To solve the equation we transform…
We develop a continuum limit and mean-field theory for interacting particle systems (IPS) on self-similar networks, a new class of discrete models whose large-scale behavior gives rise to nonlocal evolution equations on fractal domains.…
We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…
In this paper we study the effect of stochastic perturbations on a common type of moving boundary value PDE's which endorse Stefan boundary conditions, or Stefan problems, and show the existence and uniqueness of the solutions to a number…
We introduce an interacting particle system that models the spread of an epidemic in terms of heterogeneous diffusive dynamics, rather than exogenous contact and transmission rates at the population level as in classical compartmental…
We consider a system of $N$ disordered mean-field interacting diffusions within spatial constraints: each particle $\theta_i$ is attached to one site $x_i$ of a periodic lattice and the interaction between particles $\theta_i$ and…
We discuss the transport of a tracer particle through the Bose Einstein condensate of a Bose gas. The particle interacts with the atoms in the Bose gas through two-body interactions. In the limiting regime where the particle is very heavy…
We study interacting systems of linear Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. Our main objective has been to study the long range behavior of the…
Spin-S bilayer Heisenberg models (nearest-neighbor square lattice antiferromagnets in each layer, with antiferromagnetic interlayer couplings) are treated using dimer mean-field theory for general S and high-order expansions about the dimer…
Recently, it has been shown in [Hairer, M., Hutzenthaler, M., Jentzen, A., Loss of regularity for Kolmogorov equations, Ann. Probab. 43, 2 (2015), 468--527] that there exists a system of stochastic differential equations (SDE) on the time…
Several differential equation models have been proposed to explain the formation of patterns characteristic of the grid cell network. Understanding the robustness of these patterns with respect to noise is one of the key open questions in…
Stochastic averaging for a class of stochastic differential equations (SDEs) with fractional Brownian motion, of the Hurst parameter H in the interval (1/2, 1), is investigated. An averaged SDE for the original SDE is proposed, and their…
We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback. Such systems are motivated by structural models for systemic…
Building on the line of work [DIRT15a], [DIRT15b], [NS17a], [DT17], [HLS18], [HS18] we continue the study of particle systems with singular interaction through hitting times. In contrast to the previous research, we (i) consider very…