相关论文: McKean-Vlasov processes of bridge type

Consider the Leibenson equation \begin{equation*} \partial_t u = \Delta_p u^q, \end{equation*} where $\Delta_p f = div(|\nabla f|^{p-2}\nabla f)$ for $p>1$ and $q>0$, which is a simultaneous generalization of the porous media and the…

We discuss a concept of path-dependent SDE with distributional drift with possible jumps. We interpret it via a suitable martingale problem, for which we provide existence and uniqueness. The corresponding solutions are expected to be…

In this paper, we prove pathwise uniqueness for stochastic systems of McKean-Vlasov type with singular drift, even in the measure argument, and uniformly non-degenerate Lipschitz diffusion matrix. Our proof is based on Zvonkin's…

It is known that the transition probabilities of a solution to a classical It\^o stochastic differential equation (SDE) satisfy in the weak sense the associated Kolmogorov equation. The Kolmogorov equation is a partial differential equation…

This paper studies stabilities of stochastic differential equation (SDE) driven by time-changed L\'evy noise in both probability and moment sense. This provides more flexibility in modeling schemes in application areas including physics,…

Stochastic processes with temporal delay play an important role in science and engineering whenever finite speeds of signal transmission and processing occur. However, an exact mathematical analysis of their dynamics and thermodynamics is…

A study of time homogeneous, real valued Markov processes with a special property and a non-atomic initial distribution is provided. The new notion of a function of evolution of distribution which determines the dependency between one…

In this work, we prove existence and uniqueness of a bounded viscosity solution for the Cauchy problem of degenerate parabolic equations with variable exponent coefficients. We construct the solution directly using the stochastic…

We consider particles that are conditioned to initial and final states. The trajectory of these particles is uniquely shaped by the intricate interplay of internal and external sources of randomness. The internal randomness is aptly…

We consider a load balancing model where a Poisson stream of jobs arrive at a system of many servers whose service time distribution possesses a finite second moment. A small fraction of arrivals pass through the so called power-of-choice…

We establish the long-time existence of large-data weak solutions to a system of nonlinear partial differential equations. The system of interest governs the motion of non-Newtonian fluids described by a simplified viscoelastic rate-type…

This study aims to construct a stochastic process called "Brownian house-moving," which is a Brownian bridge conditioned to stay between two curves. To construct this process, statements are prepared on the weak convergence of conditioned…

In this paper we establish a mathematical framework which may be used to design Monte-Carlo simulations for a class of time irreversible dynamic systems, such as incompressible fluid flows, including turbulent flows in wall-bounded regions,…

In the first part of the paper we develop the sensitivity analysis for the nonlinear McKean-Vlasov diffusions stressing precise estimates of growth of solutions and their derivatives with respect to the initial data, under rather general…

Inspired by the Melan equation we propose a model for suspension bridges with two cables linked to a deck, through inextensible hangers. We write the energy of the system and we derive from variational principles two nonlinear and nonlocal…

We specify the conditions when a manifold M embedded in an inner product space E is an invariant manifold of a stochastic differential equation (SDE) on E, linking it with the notion of second-order differential operators on M. When M is…

We provide explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion. Our framework encompasses a large class of stochastic linear…

We are interested in the following two $\mathbb{R}^d$-valued stochastic differential equations (SDEs): \begin{gather*} d X_t=b(X_t)\,d t + \sigma\,d L_t, \quad X_0=x, %\label{BM-SDE} d Y_t=b(Y_t)\,d t + \sigma\,d B_t, \quad Y_0=y,…

This paper focuses on time-varying delayed stochastic differential systems with stochastically switching parameters formulated by a unified switching behavior combining a discrete adapted process and a Cox process. Unlike prior studies…

The macroscopic fundamental diagram (MFD) is a powerful and popular tool that describes a network scale traffic operational state and serve as the plant model of perimeter control. As both the supply and the demand suffer from random…