相关论文: Existence and convergence results for infinite dim…

Some interesting (periodic!) solutions of certain systems of $4$ nonlinear Ordinary Differential Equations $dx_{n}\left( t\right) /dt=P_{2}^{\left( n\right) }\left[ x_{m}\left( t\right) \right] /\left[ x_{1}\left( t\right) +x_{2}\left(…

All stationary solutions to the one-dimensional nonlinear Schroedinger equation under box and periodic boundary conditions are presented in analytic form. We consider the case of repulsive nonlinearity; in a companion paper we treat the…

In this paper we study nonlinear problems for Ornstein-Uhlenbeck operators \begin{align*} A\triangle v(x) + \left\langle Sx,\nabla v(x)\right\rangle + f(v(x)) = 0,\,x\in\mathbb{R}^d,\,d\geqslant 2, \end{align*} where the matrix…

We present iterative solvers to approximate the solution of numerical schemes for stochastic Stefan problems. After briefly talking about the convergence results, we tackle the question of efficient strategies for solving the nonlinear…

We present a stability result for a wide class doubly nonlinear equations, featuring general maximal monotone operators, and (possibly) nonconvex and nonsmooth energy functionals. The limit analysis resides on the reformulation of the…

A novel approach is introduced for deriving exact solutions to nonlinear systems of ordinary differential equations. This method consists of four parts. In the initial part, the examined nonlinear differential equation system is transformed…

We consider a stochastic version of the proximal point algorithm for optimization problems posed on a Hilbert space. A typical application of this is supervised learning. While the method is not new, it has not been extensively analyzed in…

In this note we propose an exact simulation algorithm for the solution of dX_t=dW_t+b(X_t)dt (1) where b is a smooth real function except at point 0 where b(0+)\neq b(0-). The main idea is to sample an exact skeleton of X using an algorithm…

We prove pathwise uniqueness for a class of stochastic differential equations (SDE) on a Hilbert space with cylindrical Wiener noise, whose nonlinear drift parts are sums of the sub-differential of a convex function and a bounded part. This…

Inspired by path-integral solutions to the quantum relaxation problem, we develop a numerical method to solve classical stochastic differential equations with multiplicative noise that avoids averaging over trajectories. To test the method,…

We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) $$ Y_t=\xi+\int_t^T f(s,X_s,Y_s,Z_s)\,ds-\int_t^T Z_s\,d\wien_s$$ in a finite-dimensional space, where $f(t,x,y,z)$ is affine with respect to…

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…

A stochastic differential equation with infinite memory is considered. The drift coefficient of the equation is a nonlinear functional of the past history of the solution. Sufficient conditions for existence and uniqueness of stationary…

In this paper we are concerned with the stochastic partial differential equations of super-fast diffusion processes describing behavior of plasma dX(t)-{\Delta}ln(X(t)+1)dt=\surd(Q)dW(t), in (0,T)\timesO, where O is a bounded open subset of…

In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The noise can be continuous or it may contain jumps. Additive…

In this paper, we prove convergence for contractive time discretisation schemes for semi-linear stochastic evolution equations with irregular Lipschitz nonlinearities, initial values, and additive or multiplicative Gaussian noise on…

For a mixed stochastic differential equation involving standard Brownian motion and an almost surely H\"older continuous process $Z$ with H\"older exponent $\gamma>1/2$, we establish a new result on its unique solvability. We also establish…

This paper presents a stochastic block-coordinate proximal Newton method for minimizing the sum of a blockwise Lipschitz-continuously differentiable function and a separable nonsmooth convex function. At each iteration, the method randomly…

We prove existence and uniqueness results for nonlinear third order partial differential equations of the form $$ f_t - f_{yyy} = \sum_{j=0}^3 b_j (y, t; f) ~f^{(j)} + r(y, t) $$ where superscript $j$ denotes the $j$-th partial derivative…

A stochastic transport linear equation (STLE) with multiplicative space-time dependent noise is studied. It is shown that, under suitable assumptions on the noise, a multiplicative renormalization leads to convergence of the solutions of…