相关论文: A Version of H\"ormander's Theorem for Markovian R…

Large classes of multi-dimensional Gaussian processes can be enhanced with stochastic Levy area(s). In a previous paper, we gave sufficient and essentially necessary conditions, only involving variational properties of the covariance.…

We consider a bivariate, possibly non-homogeneous, finite-state Markov chain $(X,U)=\{(X_t,U_t)\}_{t=1}^n$. We are interested in the marginal process $X$, which typically is not a Markov chain. The goal is to find a realization (path)…

A branched rough path $X$ consists of a rough integral calculus for $X \colon [0, T] \to \mathbb R^d$ which may fail to satisfy integration by parts. Using Kelly's bracket extension [Kel12], we define a notion of pushforward of branched…

We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…

In this paper we analyse the selection problem for weak solutions of the transport equation with rough vector field. We answer in the negative the question whether solutions of the equation with a regularized vector field converge to a…

Let H(f)(x)=\int_{(0,infty)^d} f(v) E_{x}(v) d\nu(v), be the multivariable Hankel transform, where E_{x}(v)=\prod_{k=1}^d (x_k v_k)^{-a_k+1/2} J_{a_k-1/2}(x_k v_k), d\nu(v)=v^a dv, a=(a_1,...,a_d). We give sufficient conditions on a bounded…

We study fast / slow systems driven by a fractional Brownian motion $B$ with Hurst parameter $H\in (\frac 13, 1]$. Surprisingly, the slow dynamic converges on suitable timescales to a limiting Markov process and we describe its generator.…

We consider deterministic homogenization (convergence to a stochastic differential equation) for multiscale systems of the form \[ x_{k+1} = x_k + n^{-1} a_n(x_k,y_k) + n^{-1/2} b_n(x_k,y_k), \quad y_{k+1} = T_n y_k, \] where the fast…

In this paper we study the global boundedness for the solutions to a class of possibly degenerate parabolic equations by De-Giorgi's iteration. As applications, we show the existence of weak solutions for possibly degenerate stochastic…

Given a compact manifold $M$ equipped with smooth vector fields $X_1,\ldots, X_r$, we consider the generalized Dirichlet energy \[\mathbf{E}(f)= \sum_{j=1}^r\int_M |X_jf|^2\, dm,\] where $dm$ is a volume form, and ask if the set \[…

We consider a nonlinear stochastic partial differential equation (SPDE) in divergence form where the forcing term is a Gaussian noise, that is white in time and colored in space such that the gradient of the solution is H\"older-continuous,…

In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a…

We consider rough paths with jumps. In particular, the analogue of Lyons' extension theorem and rough integration are established in a jump setting, offering a pathwise view on stochastic integration against cadlag processes. A class of…

We introduce a differential structure for the space of weakly geometric p rough paths over a Banach space V for 2<p<3. We begin by considering a certain natural family of smooth rough paths and differentiating in the truncated tensor…

We build a connection between rough path theory and noncommutative algebra, and interpret the integration of geometric rough paths as an example of a non-abelian Young integration. We identify a class of slowly-varying one-forms, and prove…

We present a systematic approach for constructing steady state density operators of Markovian dissipative evolution for open quantum chain models with integrable bulk interaction and boundary incoherent driving. The construction is based on…

We consider a class of non-linear dynamics on a graph that contains and generalizes various models from network systems and control and study convergence to uniform agreement states using gradient methods. In particular, under the…

In the first part of the paper boundary-value problems are considered under weak assumptions on the smoothness of the domains. We assume nothing about smoothness of the boundary $\partial D$ of a bounded domain $D$ when the homogeneous…

We consider multi-dimensional Gaussian processes and give a new condition on the covariance, simple and sharp, for the existence of stochastic area(s). Gaussian rough paths are constructed with a variety of weak and strong approximation…

We give a probabilistic representation for the gradient of a 2nd order linear parabolic PDE $\partial_{t}u(t,x)=(1/2)a^{ij}\partial_{ij}u(t,x)+b^{i}\partial_{i}u(t,x)$ with Cauchy initial condition $u(0,x)=f(x)$ and Neumann boundary…