相关论文: Weak convergence of delay SDEs with applications t…
It is already well-understood that many delay differential equations with only a single constant delay exhibit a change in stability according to the value of the delay in relation to a critical delay value. Finding a formula for the…
Main objects of the paper are stationary and weak KAM Hamilton-Jacobi equations on the finite-dimensional torus. The key idea of the paper is to replace the underlying calculus of variations problems with continuous time Markov decision…
In this paper, we get some convergence rates in total variation distance in approximating discretized paths of L{\'e}vy driven stochastic differential equations, assuming that the driving process is locally stable. The particular case of…
Results on continuous dependence on parameters, as well as on regularization, of solutions to linear systems of parabolic partial differential equations of second order with delay are given. One of the main features is that the topology on…
Strong convergence rates for numerical approximations of semilinear stochastic partial differential equations (SPDEs) with smooth and regular nonlinearities are well understood in the literature. Weak convergence rates for numerical…
We study approximation of non-autonomous linear differential equations with variable delay over infinite intervals. We use piecewise constant argument to obtain a corresponding discrete difference equation. The study of numerical…
In this paper, our goal is solving backward doubly stochastic differential equation (BDSDE for short) under weak assumptions on the data. The first part of the paper is devoted to the development of some new technical aspects of stochastic…
Delays in biological systems may be used to model events for which the underlying dynamics cannot be precisely observed. Mathematical modeling of biological systems with delays is usually based on Delay Differential Equations (DDEs), a kind…
We consider the problem of constructing weak solutions to the It\^{o} and to the Stratonovich stochastic differential equations having critical-order singularities in the drift and critical-order discontinuities in the dispersion matrix.
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
In this paper we study the convergence of solutions for (possibly degenerate) stochastic differential equations driven by L\'evy processes, when the coefficients converge in some appropriate sense. First, we prove, by means of a…
Numerical approximation of the long time behavior of a stochastic differential equation (SDE) is considered. Error estimates for time-averaging estimators are obtained and then used to show that the stationary behavior of the numerical…
We consider a class of stochastic damped semilinear wave equations, in the small-mass limit. It has previously been established that the solution converges to the solution of a stochastic semilinear heat equation. In this work we exhibit…
This article explores the convergence properties of an $SLIR^\text{T}R^\text{P}D$ endemic model, incorporating Dirac and Radon measures, alongside distributed delays to represent latency and temporary immunity. A class of delays is defined…
We study the existence and uniqueness of a solution for the multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type): \[ \left\{\begin{array} [c]{r} dX(t)+\partial\varphi\left(X(t)\right)…
This paper proposes an adaptive numerical method for stochastic delay differential equations (SDDEs) with a non-global Lipschitz drift term and a non-constant delay, building upon the work of Wei Fang and others. The method adapts the step…
We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the discontinuity of the drift coefficient we construct an…
We study the convergence analysis for general degenerate and non-reversible stochastic differential equations (SDEs). We apply the Lyapunov method to analyze the Fokker-Planck equation, in which the Lyapunov functional is chosen as a…
We consider the inverse problem of reconstructing the posterior measure over the trajec- tories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive…
A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations by general one step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second…