相关论文: On stochastic continuity of generalized diffusion …

In this article, we derive the explicit transition density functions of skew Brownian motion (SBM in abbreviation) with two-valued drift for all $t>0$. As an important step of this result, it is also shown in this paper that SBM with…

We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…

Starting from the microscopic Smoluchowski equation for interacting Brownian particles under stationary shearing, exact expressions for shear-dependent steady-state averages, correlation and structure functions, and susceptibilities are…

In this paper we establish a comparison theorem for stochastic differential delay equations with jumps. An example is constructed to demonstrate that the comparison theorem need not hold whenever the diffusion term contains a delay function…

We study one-dimensional stochastic differential equations of form $dX_t = \sigma(X_t)dY_t$, where $Y$ is a suitable H\"older continuous driver such as the fractional Brownian motion $B^H$ with $H>\frac12$. The innovative aspect of the…

In this paper, we study a class of stochastic differential equations with additive noise that contains a fractional Brownian motion (fBM) and a Poisson point process of class (QL). The differential equation of this kind is motivated by the…

We establish the large deviation principle for stochastic differential equations with averaging in the case when all coefficients of the fast component depend on the slow one, including diffusion.

This paper focuses on the connections between four stochastic and deterministic models for the motion of straight screw dislocations. Starting from a description of screw dislocation motion as interacting random walks on a lattice, we prove…

We consider the It\^{o} SDE with non-degenerate diffusion coefficient and measurable drift coefficient. Under the condition that the gradient of the diffusion coefficient and the divergences of the diffusion and drift coefficients are…

For a mixed stochastic differential equation involving standard Brownian motion and an almost surely H\"older continuous process $Z$ with H\"older exponent $\gamma>1/2$, we establish a new result on its unique solvability. We also establish…

We consider scaled Brownian motion (sBm), a random process described by a diffusion equation with explicitly time-dependent diffusion coefficient $D(t) = D_0 t^{\alpha - 1}$ (Batchelor's equation) which, for $\alpha < 1$, is often used for…

The aim of this paper is two-fold. On one hand, we will study the distorted Brownian motion on $\mathbb{R}$, i.e. the diffusion process $X$ associated with a regular and strongly local Dirichlet form obtained by the closure of…

In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…

In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this…

This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential…

We give a probabilistic proof for the emergence of the Stable-$1$ Law for the random fluctuations of the mass of the extremal process of branching Brownian Motion away from its tip. This result was already shown by Mytnik et al. albeit…

In the first part of this paper we give a solution for the one-dimensional reflected backward stochastic differential equation (BSDE for short) when the noise is driven by a Brownian motion and an independent Poisson point process. The…

We prove that two skew Brownian motions with the same skewness parameter (different from 0) and driven by the same Brownian motion coalesce a.s.

In recent years, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that may have discontinuities in space has begun. In many of these results it is assumed that the drift…

We study differential equations with a linear, path dependent drift and discrete delay in the diffusion term driven by a $\gamma$-H\"older rough path for $\gamma > \frac{1}{3}$. We prove well-posedness of these systems and establish a…