Stochastic partial differential equations (SPDEs) whose solutions are probability-measure-valued processes are considered. Measure-valued processes of this type arise naturally as de Finetti measures of infinite exchangeable systems of particles and as the solutions for filtering problems. In particular, we consider a model of asset price determination by an infinite collection of competing traders. Each trader’s valuations of the assets are given by the solution of a stochastic differential equation,...

Let $A=\mathrm{d}/\mathrm{d}\theta$ denote the generator of the rotation group in the space $C\left(\Gamma \right)$, where $\Gamma$ denotes the unit circle. We show that the stochastic Cauchy problem $$\mathrm{d}U\left(t\right)=AU\left(t\right)+f\mathrm{d}{b}_t,U\left(0\right)=0,\left(1\right)$$ where $b$ is a standard Brownian motion and $f\in C\left(\Gamma \right)$ is fixed, has a weak solution if and only if the stochastic convolution process $t\mapsto {(f*b)}_t$ has a continuous modification, and that in this situation the weak solution has a continuous modification. In combination with a recent result of Brzeźniak, Peszat and Zabczyk it follows that (1) fails to have a weak solution for all...

We formulate two results on controllability properties of the 3D Navier–Stokes (NS) system. They concern the approximate controllability and exact controllability in finite-dimensional projections of the problem in question. As a consequence, we obtain the existence of a strong solution of the Cauchy problem for the 3D NS system with an arbitrary initial function and a large class of right-hand sides. We also discuss some qualitative properties of admissible weak solutions for randomly forced NS...

This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we...

We introduce a new condition which extends the definition of sticky particle dynamics to the case of discontinuous initial velocities $u_0$ with negative jumps. We show the existence of a stochastic process and a forward flow $\phi$ satisfying $X_{s+t}=\phi (X_s,t,P_s,u_s)$ and $\mathrm{d}{X}_t=\mathrm{E}[u_0\left(X_0\right)/X_t]\mathrm{d}t$, where $P_s=P{X}_s^{-1}$ is the law of $X_s$ and $u_s\left(x\right)=\mathrm{E}[u_0\left(X_0\right)/X_s=x]$ is the velocity of particle $x$ at time $s\ge 0$. Results on the flow characterization and Lipschitz continuity are also given.Moreover, the map $(x,t)\mapsto M(x,t):=P(X_t\le x)$ is the entropy solution of a scalar conservation law ${\partial }_{t}M+{\partial }_x\left(A\left(M\right)\right)=0$ where the flux $A$ represents the particles...

Existence, uniqueness and regularity of mild solutions to semilinear nonautonomous stochastic parabolic equations with locally lipschitzian nonlinear terms is investigated. The adopted approach is based on the factorization method due to Da Prato, Kwapień and Zabczyk.

This paper aims to provide a systematic approach to the treatment of differential equations of the typedyt = Σi fi(yt) dxti where the driving signal xt is a rough path. Such equations are very common and occur particularly frequently in probability where the driving signal might be a vector valued Brownian motion, semi-martingale or similar process.However, our approach is deterministic, is totally independent of probability and permits much rougher paths than the Brownian paths usually discussed....

We study a linear second order parabolic equation in an open subset of a separable Hilbert space, with the Dirichlet boundary condition. We prove that a probabilistic formula, analogous to one obtained in the finite-dimensional case, gives a solution to this equation. We also give a uniqueness result.