相关论文: Superdiffusive Central Limit Theorem for the Stoch…

In Rajeev (2013), 'Translation invariant diffusion in the space of tempered distributions', it was shown that there is an one to one correspondence between solutions of a class of finite dimensional SDEs and solutions of a class of SPDEs in…

We study the time-dependent spatial averages of a critical stochastic partial differential equation, namely the stochastic heat equation in dimension $d\geq 3$ with noise white in time and colored in space with covariance kernel…

We propose a dynamic mean field model for `systemic risk' in large financial systems, which we derive from a system of interacting diffusions on the positive half-line with an absorbing boundary at the origin. These diffusions represent the…

We introduce a lattice random walk discretisation scheme for stochastic differential equations (SDEs) that samples binary or ternary increments at each step, suppressing complex drift and diffusion computations to simple 1 or 2 bit random…

In this paper, we study the stochastic heat equation (SHE) on $\mathbb{R}^d$ subject to a centered Gaussian noise that is white in time and colored in space. We establish the existence and uniqueness of the random field solution in the…

We investigate a class of stochastic partial differential equations of reaction-diffusion type defined on graphs, which can be derived as the limit of SPDEs on narrow planar channels. In the first part, we demonstrate that this limit can be…

We derive high-dimensional scaling limits and fluctuations for the online least-squares Stochastic Gradient Descent (SGD) algorithm by taking the properties of the data generating model explicitly into consideration. Our approach treats the…

Diffusion is the macroscopic manifestation of disordered molecular motion. Mathematically, diffusion equations are partial differential equations describing the fluid-like large-scale dynamics of parcels of molecules. Spatially…

The standard small-time functional central limit theorem of semimartingales has been established in (Gerhold, S., Kleinert, M., Porkert, P., and Shkolnikov, M. (2015). Small time central limit theorems for semimartingales with applications.…

We consider a nonlinear stochastic heat equation in spatial dimension $d=2$, forced by a white-in-time multiplicative Gaussian noise with spatial correlation length $\varepsilon>0$ but divided by a factor of $\sqrt{\log\varepsilon^{-1}}$.…

A variety of real-world applications are modeled via hyperbolic conservation laws. To account for uncertainties or insufficient measurements, random coefficients may be incorporated. These random fields may depend discontinuously on the…

Parameter estimation for a parabolic linear stochastic partial differential equation in one space dimension is studied observing the solution field on a discrete grid in a fixed bounded domain. Considering an infill asymptotic regime in…

Superdiffusive transport with dynamical exponent $z=3/2$ has been firmly established at finite temperature for a class of integrable systems with a non-abelian global symmetry $G$. On the inclusion of integrability-breaking perturbations,…

We consider the stochastically forced Burgers equation with an emphasis on spatially rough driving noise. We show that the law of the process at a fixed time $t$, conditioned on no explosions, is absolutely continuous with respect to the…

In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward…

This paper is devoted to a system of stochastic partial differential equations (SPDEs) that have a slow component driven by fractional Brownian motion (fBm) with the Hurst parameter $H >1/2$ and a fast component driven by fast-varying…

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…

This paper focuses on stochastic partial differential equations (SPDEs) under two-time-scale formulation. Distinct from the work in the existing literature, the systems are driven by $\alpha$-stable processes with $\alpha \in(1,2)$. In…

The purpose of this paper is to study some properties of solutions to one dimensional as well as multidimensional stochastic differential equations (SDEs in short) with super-linear growth conditions on the coefficients. Taking inspiration…

In this paper, we introduce a class of backward stochastic equations (BSEs) that extend classical BSDEs and include many interesting examples of generalized BSDEs as well as semimartingale backward equations. We show that a BSE can be…