相关论文: Path Independence of Additive Functionals for SDEs…

We study the homogenization property of systems of quasi-linear PDEs of parabolic type with periodic coefficients, highly oscillating drift and highly oscillating nonlinear term. To this end, we propose a probabilistic approach based on the…

In this paper, we study the doubly reflected backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs for short) when the generator has quadratic growth in the $z$-component. Based on the theory of $G$-BMO…

This paper extends the results of Ma, Wu, Zhang, Zhang [11] to the context of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the…

We develop a new method for proving algebraic independence of $G$-functions. Our approach rests on the following observation: $G$-functions do not always come with a single linear differential equation, but also sometimes with an infinite…

The Path-Dependent Neural Jump Ordinary Differential Equation (PD-NJ-ODE) is a model for predicting continuous-time stochastic processes with irregular and incomplete observations. In particular, the method learns optimal forecasts given…

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…

We study the distribution of additive functionals of reset Brownian motion, a variation of normal Brownian motion in which the path is interrupted at a given rate and placed back to a given reset position. Our goal is two-fold: (1) For…

Path independence is arguably one of the most important choice rule properties in economic theory. We show that a choice rule is path independent if and only if it is rationalizable by a utility function satisfying ordinal concavity, a…

By using limit theorems of uniform mixing Markov processes and martingale difference sequences, the strong law of large numbers, central limit theorem, and the law of iterated logarithm are established for additive functionals of…

The strong convergence rate of the Euler scheme for SDEs driven by additive fractional Brownian motions is studied, where the fractional Brownian motion has Hurst parameter $H\in(\frac13,\frac12)$ and the drift coefficient is not required…

The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a shot noise process with a power law shape function and…

This paper is devoted to the study of hyperbolic systems of linear partial differential equations perturbed by a Brownian motion. The existence and uniqueness of solutions are proved by an energy method. The specific features of this class…

We present a Bayesian approach for modeling multivariate, dependent functional data. To account for the three dominant structural features in the data--functional, time dependent, and multivariate components--we extend hierarchical dynamic…

Our purpose is to investigate properties for processes with stationary and independent increments under $G$-expectation. As applications, we prove the martingale characterization to $G$-Brownian motion and present a decomposition for…

Consider a metric graph G with set of vertices V. Assume that for every vertex in V one is given a Wentzell boundary condition. It is shown how one can construct the paths of a Brownian motion on G such that its generator - viewed as an…

We analyze the identifiability of nonlinear networks with node dynamics characterized by functions that are non-additive. We consider the full measurement case (all the nodes are measured) in the path-independent delay scenario where all…

We consider flows of ordinary differential equations (ODEs) driven by path differentiable vector fields. Path differentiable functions constitute a proper subclass of Lipschitz functions which admit conservative gradients, a notion of…

The study gives a brief overview of existing modifications of the method of functional separation of variables for nonlinear PDEs. It proposes a more general approach to the construction of exact solutions to nonlinear equations of applied…

We survey some of our recent results on existence, uniqueness and regularity of function solutions to parabolic and transport type partial differential equations driven by non-differentiable noises. When applied pathwise to random…

Combining fractional calculus and the Rough Path Theory we study the existence and uniqueness of mild solutions to evolutions equations driven by a H\"older continuous function with H\"older exponent in $(1/3,1/2)$. Our stochastic integral…