相关论文: Fr\'echet differentiable drift dependence of Perro…

In the analysis of stochastic dynamical systems described by stochastic differential equations (SDEs), it is often of interest to analyse the sensitivity of the expected value of a functional of the solution of the SDE with respect to…

We develop the connection between large deviation theory and more applied approaches to stochastic hybrid systems by highlighting a common underlying Hamiltonian structure. A stochastic hybrid system involves the coupling between a…

In this work, we consider a one-dimensional It{\^o} diffusion process X t with possibly nonlinear drift and diffusion coefficients. We show that, when the diffusion coefficient is known, the drift coefficient is uniquely determined by an…

We consider discrete-time dynamical systems with a linear relaxation dynamics that are driven by deterministic chaotic forces. By perturbative expansion in a small time scale parameter, we derive from the Perron-Frobenius equation the…

We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic…

When analysing statistical systems or stochastic processes, it is often interesting to ask how they behave given that some observable takes some prescribed value. This conditioning problem is well understood within the linear operator…

This paper provides a large deviation principle for Non-Markovian, Brownian motion driven stochastic differential equations with random coefficients. Similar to Gao and Liu \cite{GL}, this extends the corresponding results collected in…

We present a dynamical approach to the classical Perron-Frobenius theory by using some elementary knowledge on linear ODEs. It is completely self-contained and significantly different from those in the literature. As a result, we develop a…

We study distribution dependent stochastic differential equations with irregular, possibly distributional drift, driven by an additive fractional Brownian motion of Hurst parameter $H\in (0,1)$. We establish strong well-posedness under a…

We present a decomposition of the Koopman operator based on the sparse structure of the underlying dynamical system, allowing one to consider the system as a family of subsystems interconnected by a graph. Using the intrinsic properties of…

In this paper we present a new method for the construction of strong solutions of SDE's with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H < 1/2. Furthermore, we prove…

This work is concerned with the stability properties of linear stochastic differential equations with random (drift and diffusion) coefficient matrices, and the stability of a corresponding random transition matrix (or exponential…

Stochastic hybrid systems are dynamic systems that undergo both random continuous-time flows and random discrete jumps. Depending on how randomness is introduced into the continuous dynamics, discrete transitions, or both, stochastic hybrid…

This paper focuses on controllability results of stochastic delay partial functional integro-differential equations perturbed by fractional Brownian motion. Sufficient conditions are established using the theory of resolvent operators…

In this paper we consider a class of time-dependent neutral stochastic functional differential equations with finite delay driven by a fractional Brownian motion in a Hilbert space. We prove an existence and uniqueness result for the mild…

In this paper, the distribution dependent stochastic differential equation in a separable Hilbert space with a Dini continuous drift is investigated. The existence and uniqueness of weak and strong solutions are obtained. Moreover, some…

We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…

We explore Ito stochastic differential equations where the drift term possibly depends on the infinite past. Assuming the existence of a Lyapunov function, we prove the existence of a stationary solution assuming only minimal continuity of…

We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H>1/2 and a…

In this paper we consider the controllability of certain class of non-autonomous neutral evolution stochastic functional differential equations, with time varying delays, driven by a fractional Brownian motion in a separable real Hilbert…