相关论文: Pathwise uniqueness for two dimensional reflecting…

For normally reflected Brownian motion and for simple random walk on independently growing in time d-dimensional domains, d>=3, we establish a sharp criterion for recurrence versus transience in terms of the growth rate.

Using the multiple stochastic integrals we prove an existence and uniqueness result for a linear stochastic equation driven by the fractional Brownian motion with any Hurst parameter. We study both the one parameter and two parameter cases.…

We prove that probability laws of certain multidimensional semimartingales which includes time-inhomogenous diffusions, under suitable assumptions, satisfy Quadratic Transportation Cost Inequality under the uniform metric. From this we…

We consider the Dirichlet-to-Neumann map associated to the Schr\"odinger equation with a potential in a bounded Lipschitz domain in three or more dimensions. We show that the integral of the potential over a two-plane is determined by the…

The aim of these notes is to give an overview of the current results about existence and uniqueness of solutions for the stochastic Euler equation driven by a Brownian noise in a two-dimensional bounded domain.

We study questions of existence and uniqueness of weak and strong solutions for a one-sided Tanaka equation with constant drift \lambda. We observe a dichotomy in terms of the values of the drift parameter: for \lambda\leq 0, there exists a…

Existence and uniqueness of complex geodesics joining two points of a convex bounded domain in a Banach space $X$ are considered. Existence is proved for the unit ball of $X$ under the assumption that $X$ is 1-complemented in its double…

In this paper, we study a class of one-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>\ff 1 2$. The drift term of the equation is locally Lipschitz and unbounded in the…

We consider a Markov-modulated Brownian motion reflected to stay in a strip [0,B]. The stationary distribution of this process is known to have a simple form under some assumptions. We provide a short probabilistic argument leading to this…

We systematically develop general tools to apply Fukushima's absolute continuity condition. These tools comprise methods to obtain a Hunt process on a locally compact separable metric state space whose transition function has a density…

Fractional equations governing the distribution of reflecting drifted Brownian motions are presented. The equations are expressed in terms of tempered Riemann--Liouville type derivatives. For these operators a Marchaud-type form is obtained…

In this article, we show a result of approximation in law to subfractional Brownian motion, with $H>\frac{1}{2}$, in the Skorohod topology. The construction of these approximations is based on a sequence of I.I.D random variables

We establish weak existence and uniqueness for random field solutions of the one-dimensional SPDE \[ d_tX_t = \frac{1}{2}\Delta X_t +h(X_t)+ \sqrt{X_t}\dot{W}, \quad t\geq 0,\] where $\dot{W}$ is space-time white noise and $h$ is a bounded…

We consider viscosity solutions of Hamilton-Jacobi equations with oscillatory spatial dependence and rough time dependence. The time dependence is in the form of the derivative of a continuous path that converges to a possibly…

The present paper is devoted to the study of mean-field backward stochastic differential equations (MFBSDEs) with double mean reflections whose generators are not Lipschitz continuous. With the help of the Skorokhod problem and some a…

We consider stochastic evolution equations in Hilbert spaces with merely measurable and locally bounded drift term $B$ and cylindrical Wiener noise. We prove pathwise (hence strong) uniqueness in the class of global solutions. This paper…

By studying parabolic equations in mixed-norm spaces, we prove the existence and uniqueness of strong solutions to stochastic differential equations driven by Brownian motion with coefficients in spaces with mixed-norm, which extends Krylov…

Stochastic variational inequalities provide a unified treatment for stochastic differential equations living in a closed domain with normal reflection and (or) singular repellent drift. When the domain is a polyhedron, we prove that the…

In this paper we use the chaos decomposition approach to establish the existence of a unique continuous solution to linear fractional differential equations of the Skorohod type. Here the coefficients are deterministic, the inital condition…

We study the spectrum of the kinetic Brownian motion in the space of $d\times d$ Hermitian matrices, $d\geq2$. We show that the eigenvalues stay distinct for all times, and that the process $\Lambda$ of eigenvalues is a kinetic diffusion…