相关论文: Maximal type inequalities for linear stochastic Vo…

This paper presents the error analysis of numerical methods on graded meshes for stochastic Volterra equations with weakly singular kernels. We first prove a novel regularity estimate for the exact solution via analyzing the associated…

By using stochastic analysis, two probability versions of Li-Yau type inequalities are established for diffusion semigroups on a manifold possibly with (non-convex) boundary. The inequalities are explicitly given by the Bakry-Emery…

We prove a priori estimates in $L_\infty$ for a class of quasilinear stochastic partial differential equations. The estimates are obtained independently of the ellipticity constant $\varepsilon$ and thus imply analogous estimates for…

Concentration inequalities are obtained on Poisson space, for random functionals with finite or infinite variance. In particular, dimension free tail estimates and exponential integrability results are given for the Euclidean norm of…

We study the existence theory for parabolic variational inequalities in weighted $L^2$ spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for…

We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are neither…

In this paper, a novel approach to the problem of estimating the heavy-tail exponent alpha>0 of a distribution is proposed. It is based on the fact that block-maxima of size m of the independent and identically distributed data scale at a…

In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…

We study linear-quadratic optimal control problems for Voterra systems, and problems that are linear-quadratic in the control but generally nonlinear in the state. In the case of linear-quadratic Volterra control, we obtain sharp necessary…

There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…

We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard backward SDEs and establish its well-posedness, and we show…

We study some classes of semi-linear differential equations including both well-posed and ill-posed cases that can generate cocycles (or cocycle correspondences with generating cocycles). Under exponential dichotomy condition with other…

Numerical solution of one-dimensional stochastic integral equations because of the randomness has its own problems, i.e. some of them no have analytically solution or finding their analytic solution is very difficult. This problem for…

In this paper we obtain quite general and definitive forms for Hardy-Littlewood type inequalities. Moreover, when restricted to the original particular cases, our approach provides much simpler and straightforward proofs and we are able to…

Similar evolutionary variational inequalities appear as convenient formulations for continuous quasistationary models for sandpile growth, formation of a network of lakes and rivers, magnetization of type-II superconductors, and…

We establish some asymptotic expansions for infinite weighted convolution of distributions having regular varying tails. Various applications to statistics and probability are developed.

In the paper regularity of solutions to stochastic Volterra equations in a separable Hilbert space is studied. Sufficient conditions for the temporal and spatial regularity of stochastic convolutions corresponding to the equations under…

We obtain general weak existence and stability results for stochastic convolution equations with jumps under mild regularity assumptions, allowing for non-Lipschitz coefficients and singular kernels. Our approach relies on weak convergence…

In this work we prove that a family of explicit numerical finite-difference methods is convergent when applied to a nonlinear Volterra equation with a power-type nonlinearity. In that case the kernel is not of Lipschitz type, therefore the…

We propose the numerical methods for solution of the weakly regular linear and nonlinear evolutionary (Volterra) integral equation of the first kind. The kernels of such equations have jump discontinuities along the continuous curves…