相关论文: One-dimensional game-theoretic differential equati…

A fully discrete approximation of the one-dimensional stochastic heat equation driven by multiplicative space-time white noise is presented. The standard finite difference approximation is used in space and a stochastic exponential method…

An approach to infinite dimensional integration which unifies the case of oscillatory integrals and the case of probabilistic type integrals is presented. It provides a truly infinite dimensional construction of integrals as linear…

In this paper, we establish a new uniqueness result of a (continuous) viscosity solution for some integro-partial differential equation (IPDE in short). The novelty is that we relax the so-called monotonicity assumption on the driver,…

We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard backward SDEs and establish its well-posedness, and we show…

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…

Let $U,H$ be two separable Hilbert spaces and $T>0$. We consider an SDE which evolves in the Hilbert space $H$ of the form \begin{align} dX(t)=AX(t)dt+\widetilde{\mathscr L}B(X(t))dt+GdW(t), \quad t\in[0,T], \quad X(0)=x \in H, \end{align}…

We extend the notion of viscosity solutions for path-dependent PDEs introduced by Ekren et al. [Ann. Probab. 42 (2014), no. 1, 204-236] to path-dependent integro-differential equations and establish well-posedness, i.e., existence,…

In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion (GSDEs) with integral-Lipschitz conditions on their coefficients.

In this paper, we study some existence and uniqueness results for systems of differential equations in which each of equations of the system involves a different Stieltjes derivative. Specifically, we show that this problems can only have…

This article presents the variant of the approach introduced in the recent work of Bensoussan, Wong, Yam and Yuan [13] to the generic first-order mean field game problem. A major contribution here is the provision of new crucial a priori…

The results established by Flandoli, Gubinelli and Priola ({\it Invent. Math.} {\bf 180} (2010) 1--53) for stochastic transport equation with bounded and H\"{o}lder continuous drift are generalized to bounded and Dini continuous drift. The…

We establish the existence and uniqueness of pathwise strong solutions to the stochastic 3D primitive equations with only horizontal viscosity and diffusivity driven by transport noise on a cylindrical domain $M=(-h,0) \times G$, $G\subset…

We consider the ordinary differential equation (ODE) $dx_{t} =b(t,x_{t} ) dt+ dw_{t}$ where $w$ is a continuous driving function and $b$ is a time-dependent vector field which possibly is only a distribution in the space variable. We…

The path integral approach offers not only an exact expression for the non- equilibrium dynamics of dissipative quantum systems, but is also a convenient starting point for perturbative treatments. An alternative way to explore the…

We consider one-step methods for integrating stochastic differential equations and prove pathwise convergence using ideas from rough path theory. In contrast to alternative theories of pathwise convergence, no knowledge is required of…

The Yamada-Watanabe theory provides a robust framework for understanding stochastic equations driven by Wiener processes. Despite its comprehensive treatment in the literature, the applicability of the theory to SPDEs driven by Poisson…

We review some surprising links which have been discovered in the last few years between the theory of certain ordinary differential equations, and particular integrable lattice models and quantum field theories in two dimensions. An…

We consider the stochastic differential equation $$ X_t = x_0 + \int_0^t f(X_s)ds + \int_0^t\sigma(X_s)dB^{H}_s,$$ with $x_0 \in \mathbb{R}^d$, $d \geq 1$, $f: \mathbb{R}^d \rightarrow \mathbb{R}^d$ is bounded continuous, $\sigma:…

We define compositions $\varphi(X)$ of H\"older paths $X$ in $\mathbb{R}^n$ and functions of bounded variation $\varphi$ under a relative condition involving the path and the gradient measure of $\varphi$. We show the existence and…

In this paper, locally Lipschitz, regular functions are utilized to identify and remove infeasible directions from set-valued maps that define differential inclusions. The resulting reduced set-valued map is point-wise smaller (in the sense…