相关论文: A Wong-Zakai theorem for SDEs with singular drift

We introduce a new approach for designing numerical schemes for stochastic differential equations (SDEs). The approach, which we have called direction and norm decomposition method, proposes to approximate the required solution $X_t$ by…

In this paper we consider the Stratonovich reflected stochastic differential equation $dX_t=\sigma(X_t)\circ dW_t+b(X_t)dt+dL_t$ in a bounded domain $\O$ which satisfies conditions, introduced by Lions and Sznitman, which are specified…

We study the approximation of the ergodic measure of the following stochastic differential equation (SDE) on $\mathbb{R}^d$: \begin{eqnarray}\label{e:SDEE} d X_t &=& (b_1(X_t)+b_2(X_t)) d t+\sigma(X_t) d W_t, \end{eqnarray} where $W_t$ is a…

We prove a version of the Wong-Zakai theorem for one-dimensional parabolic nonlinear stochastic PDEs driven by space-time white noise. As a corollary, we obtain a detailed local description of solutions. Dedicated to the memory of Kiyosi…

In this paper, we establish the existence of weak solutions for distribution-dependent stochastic differential equations (DDSDEs) driven by a broad class of L\'{e}vy noises, where the drift coefficients satisfy specific integrability…

We establish the well-posedness of stochastic differential equations possessing degenerate diffusions and singular drifts. We prove that SDEs defined on the homogeneous Carnot group, whose hypoelliptic diffusion part is given by the…

In this paper, we build the equivalence between rough differential equations driven by the lifted $G$-Brownian motion and the corresponding Stratonovich type SDE through the Wong-Zakai approximation. The quasi-surely convergence rate of…

We prove a Stroock-Varadhan's type support theorem for a stochastic partial differential equation (SPDE) on the real line with a noise term driven by a cylindrical Wiener process on $L_2 (\mathbb{R})$. The main ingredients of the proof are…

We prove a Wong-Zakai theorem for the defocusing mass-critical stochastic nonlinear Schr\"odinger equation (NLS) on $\mathbb{R}$. The main ingredient are careful mixtures of bootstrapping arguments at both deterministic and stochastic…

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…

The aim of this note is to propose a novel numerical scheme for drift-less one dimensional stochastic differential equations of It\^o's type driven by standard Brownian motion. Our approximation method is equivalent to the well known…

The paper investigates existence and uniqueness for a stochastic differential equation (SDE) with distributional drift depending on the law density of the solution. Those equations are known as McKean SDEs. The McKean SDE is interpreted in…

Using the Bismut's approach to Malliavin calculus, we introduce a simplified Malliavin matrix ([11]) for stochastic differential equations (SDEs) force by degenerate stable like noises. For the degenerate SDEs driven by Wiener noises, one…

We prove pathwise uniqueness for a class of stochastic differential equations (SDE) on a Hilbert space with cylindrical Wiener noise, whose nonlinear drift parts are sums of the sub-differential of a convex function and a bounded part. This…

We study a multidimensional stochastic differential equation with additive noise: \[ d X_t=b(t, X_t) dt +d \xi_t, \] where the drift $b$ is integrable in space and time, and $\xi$ is either a fractional Brownian motion or a L\'evy process.…

We study stochastic differential equations (SDEs) of McKean-Vlasov type with distribution dependent drifts and driven by pure jump L\'{e}vy processes. We prove a uniform in time propagation of chaos result, providing quantitative bounds on…

Unique existence of analytically strong solutions to stochastic partial differential equations (SPDE) with drift given by the subdifferential of a quasi-convex function and with general multiplicative noise is proven. The proof applies a…

We establish strong well-posedness for a class of degenerate SDEs of kinetic type with autonomous diffusion driven by a symmetric $\alpha$-stable process under H\"older regularity conditions for the drift term. We partially recover the…

We study existence and uniqueness of solution for stochastic differential equations with distributional drift by giving a meaning to the Stroock-Varadhan martingale problem associated such equations. The approach we exploit is the one of…

We extend the taming techniques for explicit Euler approximations of stochastic differential equations (SDEs) driven by L\'evy noise with super-linearly growing drift coefficients. Strong convergence results are presented for the case of…