相关论文: First order convergence of weak Wong--Zakai approx…

In this paper, we derive a strong convergence rate of spatial finite difference approximations for both focusing and defocusing stochastic cubic Schr\"odinger equations driven by a multiplicative $Q$-Wiener process. Beyond the uniform…

In this paper, we consider a nonlinear filtering model with observations driven by correlated Wiener processes and point processes. We first derive a Zakai equation whose solution is a unnormalized probability density function of the filter…

We study the convergence of a generic tamed Euler-Maruyama (EM) scheme for the kinetic type stochastic differential equations (SDEs) (also known as second order SDEs) with singular coefficients in both weak and strong probabilistic senses.…

We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we…

The stochastic time-fractional equation $\partial_t \psi -\Delta\partial_t^{1-\alpha} \psi = f + \dot W$ with space-time white noise $\dot W$ is discretized in time by a backward-Euler convolution quadrature for which the sharp-order error…

This article discusses a unified convergence analysis of the semilinear time-dependent equation $\partial_t u + (-1)^\mathrm{m}\Delta^{\mathrm{m}}u + u^3 - u = f$ with $\mathrm{m} \in \{1,2\}$ and homogeneous Dirichlet boundary conditions.…

The convergence of stochastic integrals driven by a sequence of Wiener processes $W_n\to W$ (with convergence in $C_t$) is crucial in the analysis of stochastic partial differential equations (SPDEs). The convergence we focus on in this…

Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general cadlag semimartingales taking values in Lie groups are defined and investigated. The considered set of SDEs, first introduced by S. Cohen,…

In this paper, we design and analyze a new family of adaptive subgradient methods for solving an important class of weakly convex (possibly nonsmooth) stochastic optimization problems. Adaptive methods that use exponential moving averages…

In this article, we have developed a higher order compact numerical method for variable coefficient parabolic problems with mixed derivatives. The finite difference scheme, presented here for two-dimensional domains, is based on fourth…

Discrete dynamics arise naturally in systems with broken temporal translation symmetry and are typically described by first-order recurrence relations representing classical or quantum Markov chains. When memory effects induced by hidden…

The Wong-Zakai theorem asserts that ODEs driven by "reasonable" (e.g. piecewise linear) approximations of Brownian motion converge to the corresponding Stratonovich stochastic differential equation. With the aid of rough path analysis, we…

We approximate the solution for the time dependent Schr\"odinger equation (TDSE) in two steps. We first use a pseudo-spectral collocation method that uses samples of functions on rank-1 or rank-r lattice points with unitary Fourier…

This paper considers the initial value problem of general nonlinear stochastic fractional integro-differential equations with weakly singular kernels. Our effort is devoted to establishing some fine estimates to include all the cases of…

In this paper we study second order stochastic differential equations with measurable and density-distribution dependent coefficients. Through establishing a maximum principle for kinetic Fokker-Planck-Kolmogorov equations with…

We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known homogenization or Wong--Zakai diffusion approximation…

In this paper, we consider stochastic differential equations whose drift coefficient is superlinearly growing and piece-wise continuous, and whose diffusion coefficient is superlinearly growing and locally H\"older continuous. We first…

Marcus stochastic differential equations (SDEs) often are appropriate models for stochastic dynamical systems driven by non-Gaussian Levy processes and have wide applications in engineering and physical sciences. The probability density of…

We investigate the weak order of convergence for space-time discrete approximations of semilinear parabolic stochastic evolution equations driven by additive square-integrable L\'evy noise. To this end, the Malliavin regularity of the…

We obtain the unique weak and strong solvability for time inhomogeneous stochastic differential equations with the drift in subcritical Lebesgue--H\"{o}lder spaces $L^p([0,T];{\mathcal C}_b^{\beta}({\mathbb R}^d;{\mathbb R}^d))$ and driven…