Related papers: Stochastic invariance in infinite dimension beyond…
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
We consider stochastic partial differential equations under minimal assumptions: the coefficients are merely bounded and measurable and satisfy the stochastic parabolicity condition. In particular, the diffusion term is allowed to be…
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
We establish weak well-posedness for SDEs having discontinuous diffusion coefficients and general distributional drifts that may introduce local blow up effects. Our drifts satisfy minimal assumptions, i.e.\,we assume only that the Cauchy…
In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
Invariant manifolds facilitate the understanding of nonlinear stochastic dynamics. When an invariant manifold is represented approximately by a graph for example, the whole stochastic dynamical system may be reduced or restricted to this…
We present a versatile framework to study strong existence and uniqueness for stochastic differential equations (SDEs) in Hilbert spaces with irregular drift. We consider an SDE in a separable Hilbert space $H$ \begin{equation*} dX_t= (A…
We present a theory of hypoellipticity and unique ergodicity for semilinear parabolic stochastic PDEs with "polynomial" nonlinearities and additive noise, considered as abstract evolution equations in some Hilbert space. It is shown that if…
The purpose of this paper is to establish the first and second order necessary conditions for stochastic optimal controls in infinite dimensions. The control system is governed by a stochastic evolution equation, in which both drift and…
This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion…
We study mean field stochastic differential equations with a diffusion coefficient that depends on the distribution function of the unknown process in a discontinuous manner, which is a type of distribution dependent regime switching. To…
This paper aims to investigate the stochastic generalization of the projected deterministic constrained modified Swift-Hohenberg equation. In particular, we prove the global well-posedness and its invariance of Hilbert submanifold i.e. if…
We establish the dual notions of scaling and saturation from geometric control theory in an infinite-dimensional setting. This generalization is applied to the low-mode control problem in a number of concrete nonlinear partial differential…
In this paper, we investigate a discrete inverse problem of determining three unknowns, i.e. initial displacement, initial velocity and random source term, in a fully discrete approximation of one-dimensional stochastic hyperbolic equation.…
In this paper we establish the strong existence, pathwise uniqueness and a comparison theorem to a stochastic partial differential equation driven by Gaussian colored noise with non-Lipschitz drift, H\"older continuous diffusion…
This paper focuses on systems of nonlinear second-order stochastic differential equations with multi-scales. The motivation for our study stems from mathematical physics and statistical mechanics, for examples, Langevin dynamics and…
Stolarsky's invariance principle quantifies the deviation of a subset of a metric space from the uniform distribution. Classically derived for spherical sets, it has been recently studied in a number of other situations, revealing a general…
We consider the negative regularity mixing properties of random volume preserving diffeomorphisms on a compact manifold without boundary. We give general criteria so that the associated random transfer operator mixes $H^{-\delta}$…
We study the interplay between reversibility, geometry, and the choice of multiplicative noise (in particular It\^{o}, Stratonovich, Klimontovich) in stochastic differential equations (SDEs). Building on a unified geometric framework, we…