Related papers: A stochastic approximation scheme and convergence …
We consider the dynamics of point particles which are confined to a bounded, possibly nonconvex domain $\Omega$. Collisions with the boundary are described as purely elastic collisions. This turns the description of the particle dynamics…
We study finite and countably infinite systems of stochastic differential equations, in which the drift and diffusion coefficients of each component (particle) are determined by its rank in the vector of all components of the solution. We…
We establish the existence of solutions to common noise McKean-Vlasov martingale problems for coefficients with low regularity. Our approach is able to handle the key challenge posed by drift coefficients that are discontinuous with respect…
The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic…
In this paper we prove an approximate continuity result for stochastic differential equations with normal reflections in domains satisfying Saisho's conditions, which together with the Wong-Zakai approximation result completes the support…
We consider one-dimensional diffusions, with polynomial drift and diffusion coefficients, so that in particular the motion can be space-inhomogeneous, interacting via one-sided reflections. The prototypical example is the well-known model…
Rate-independent systems arise in a number of applications. Usually, weak solutions to such problems with potentially very low regularity are considered, requiring mathematical techniques capable of handling nonsmooth functions. In this…
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type…
In this paper, we construct a type of interacting particle systems to approximate a class of stochastic different equations whose coefficients depend on the conditional probability distributions of the processes given partial observations.…
We study overdamped stochastic dynamics confined by hard reflecting boundaries and show that the combination of boundary geometry and an anisotropic diffusion tensor generically generates directed motion. At the level of individual…
We consider a mechanical system with impact and n degrees of freedom, written in generalized coordinates. The system is not necessarily Lagrangian. The representative point of the system must remain inside a set of constraints K; the…
Large ensembles of stochastically evolving interacting particles describe phenomena in diverse fields including statistical physics, neuroscience, biology, and engineering. In such systems, the infinitesimal evolution of each particle…
We present simple assumptions on the constraints defining a hard core dynamics for the associated reflected stochastic differential equation to have a unique strong solution. Time-reversibility is proven for gradient systems with normal…
A discrete system constituted of particles interacting by means of a centroid-based law is numerically investigated. The elements of the system move in the plane, and the range of the interaction can be varied from a more local form…
This contribution is concerned with the effective viscosity problem, that is, the homogenization of the steady Stokes system with a random array of rigid particles, for which the main difficulty is the treatment of close particles. Standard…
We consider a class of nonlocal conservation laws with an interaction kernel supported on the negative real half-line and featuring a decreasing jump at the origin. We provide, for the first time, an existence and uniqueness theory for said…
This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by…
In quantum physics, recent investigations deal with the so-called "quantum trajectory" theory. Heuristic rules are usually used to give rise to "stochastic Schrodinger equations" which are stochastic differential equations of non-usual type…
This paper introduces stochastic processes that describe the evolution of systems of particles in which particles immigrate according to a Poisson measure and split according to a self-similar fragmentation. Criteria for existence and…
We derive an integration by parts formula for functionals of determinantal processes on compact sets, completing the arguments of [4]. This is used to show the existence of a configuration-valued diffusion process which is non-colliding and…