相关论文: Stochastic differential equations with non-lipschi…

In this paper a drift-randomized Milstein method is introduced for the numerical solution of non-autonomous stochastic differential equations with non-differentiable drift coefficient functions. Compared to standard Milstein-type methods we…

We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We discuss existence and uniqueness pathwise and in law under…

We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical derivatives.

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.

We consider a fully discrete scheme for nonlinear stochastic partial differential equations with non-globally Lipschitz coefficients driven by multiplicative noise in a multi-dimensional setting. Our method uses a polynomial based spectral…

In this paper, we investigate a class of McKean-Vlasov stochastic differential equations under L\'evy-type perturbations. We first establish the existence and uniqueness theorem for solutions of the McKean-Vlasov stochastic differential…

In this paper, we deal with a class of one-dimensional reflected backward doubly stochastic differential equations with one continuous lower barrier. We derive the existence and uniqueness of solutions for these equations with Lipschitz…

We prove an large deviation principle for multivalued sdes

An explicit first-order drift-randomized Milstein scheme for a regime switching stochastic differential equation is proposed and its bi-stability and rate of strong convergence are investigated for a non-differentiable drift coefficient.…

In this work the existence of solutions of one-dimensional backward dou- bly stochastic differential equations (BDSDEs in short) where the coefficient is left-Lipschitz in y (may be discontinuous) and Lipschitz in z is studied. Also, the…

In this paper, we study large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations. First of all, we establish the large deviation principle for the space-distribution dependent Zakai equation by a…

In this paper, we establish a large deviation principle for the solutions to the stochastic heat equations with logarithmic nonlinearity driven by Brownian motion, which is neither locally Lipschitz nor locally monotone. Nonlinear versions…

We consider a diffusion equation in $\mathbb{R}^d$ with drift equal to the gradient of a homogeneous potential of degree $1+\gamma$, with $0<\gamma<1$, and local variance equal to $\varepsilon^2$ with $\varepsilon\to 0$. The associated…

In this paper, we establish a result for existence and uniqueness of stochastic differential equations on Riemannian manifolds, for regular inhomogeneous tensor coefficients with stochastic drift, under geometrical hypothesis on the…

In this paper, we study the uniqueness and existence of solutions of RGSDEs with nonlinear resistance under an integral-Lipschitz condition of coefficients. Moreover we obtain the comparison theorem for RGSDEs with nonlinear resistance.

We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a…

We prove unique weak solvability and Feller property for stochastic differential equations with drift in a large class of time-dependent vector fields. This class contains, in particular, the critical Ladyzhenskaya-Prodi-Serrin class, the…

We present an alternative proof for the existence of solutions of stochastic functional differential equations satisfying a global Lipschitz condition. The proof is based on an approximation scheme in which the continuous path dependence…

The construction of stochastic solutions for nonlinear partial differential equations is a powerful method to obtain new exact results and to develop efficient numerical algorithms, in particular when domain decomposition techniques are…

In this paper, we study the well-posedness and regularity of non-autonomous stochastic differential algebraic equations (SDAEs) with nonlinear, locally Lipschitz and monotone (2) coefficients of the form (1). The main difficulty is the fact…