On a general type of -adic parabolic equations.
On a stochastic Korteweg-de Vries equation with homogeneous noise
On a stochastic parabolic PDE arising in climatology.
Estudiamos la existencia y unicidad de soluciones de una ecuación estocástica en derivadas parciales de tipo parabólico propuesta por R. North y R. F. Cahalan en 1982 para la modelización de variabilidad no determinista (como es el caso, por ejemplo, de la acción de volcanes) en el marco de los modelos de balance de energía. El punto más delicado se refiere a la unicidad de soluciones debido a la presencia de un grafo multívoco β en el término de la derecha de la ecuación. En contraste con el caso...
On a variant of random homogenization theory: convergence of the residual process and approximation of the homogenized coefficients
We consider the variant of stochastic homogenization theory introduced in [X. Blanc, C. Le Bris and P.-L. Lions, C. R. Acad. Sci. Série I 343 (2006) 717–724.; X. Blanc, C. Le Bris and P.-L. Lions, J. Math. Pures Appl. 88 (2007) 34–63.]. The equation under consideration is a standard linear elliptic equation in divergence form, where the highly oscillatory coefficient is the composition of a periodic matrix with a stochastic diffeomorphism. The homogenized limit of this problem has been identified...
On analyticity of Ornstein-Uhlenbeck semigroups
Let be a transition semigroup of the Hilbert space-valued nonsymmetric Ornstein-Uhlenbeck process and let denote its Gaussian invariant measure. We show that the semigroup is analytic in if and only if its generator is variational. In particular, we show that the transition semigroup of a finite dimensional Ornstein-Uhlenbeck process is analytic if and only if the Wiener process is nondegenerate.
On Bernoulli decomposition of random variables and recent various applications
In this review, we first recall a recent Bernoulli decomposition of any given non trivial real random variable. While our main motivation is a proof of universal occurence of Anderson localization in continuum random Schrödinger operators, we review other applications like Sperner theory of antichains, anticoncentration bounds of some functions of random variables, as well as singularity of random matrices.
On Cauchy-Dirichlet problem in half-space for linear integro-differential equations in weighted Hölder spaces.
On changes of measure in stochastic volatility models.
On homogenization of a diffusion perturbed by a periodic reflection invariant vector field.
On homogenization of elliptic equations with random coefficients.
On homogenization of non-divergence form partial difference equations.
On some stochastic parabolic differential equations in a Hilbert space.
On surrogate learning for linear stability assessment of Navier-Stokes equations with stochastic viscosity
We study linear stability of solutions to the Navier-Stokes equations with stochastic viscosity. Specifically, we assume that the viscosity is given in the form of a stochastic expansion. Stability analysis requires a solution of the steady-state Navier-Stokes equation and then leads to a generalized eigenvalue problem, from which we wish to characterize the real part of the rightmost eigenvalue. While this can be achieved by Monte Carlo simulation, due to its computational cost we study three surrogates...
On the convergence of generalized polynomial chaos expansions
A number of approaches for discretizing partial differential equations with random data are based on generalized polynomial chaos expansions of random variables. These constitute generalizations of the polynomial chaos expansions introduced by Norbert Wiener to expansions in polynomials orthogonal with respect to non-Gaussian probability measures. We present conditions on such measures which imply mean-square convergence of generalized polynomial chaos expansions to the correct limit and complement...
On the convergence of generalized polynomial chaos expansions
A number of approaches for discretizing partial differential equations with random data are based on generalized polynomial chaos expansions of random variables. These constitute generalizations of the polynomial chaos expansions introduced by Norbert Wiener to expansions in polynomials orthogonal with respect to non-Gaussian probability measures. We present conditions on such measures which imply mean-square convergence of generalized polynomial...
On the convergence of the stochastic Galerkin method for random elliptic partial differential equations
In this article we consider elliptic partial differential equations with random coefficients and/or random forcing terms. In the current treatment of such problems by stochastic Galerkin methods it is standard to assume that the random diffusion coefficient is bounded by positive deterministic constants or modeled as lognormal random field. In contrast, we make the significantly weaker assumption that the non-negative random coefficients can be bounded strictly away from zero and infinity by random...
On the exact controllability of a nonlinear stochastic heat equation.
On the global maximum of the solution to a stochastic heat equation with compact-support initial data
Consider a stochastic heat equation ∂tu=κ ∂xx2u+σ(u)ẇ for a space–time white noise ẇ and a constant κ>0. Under some suitable conditions on the initial function u0 and σ, we show that the quantities lim sup t→∞t−1sup x∈Rln El(|ut(x)|2) and lim sup t→∞t−1ln E(sup x∈R|ut(x)|2) are equal, as well as bounded away from zero and infinity by explicit multiples of 1/κ. Our proof works by demonstrating quantitatively that the peaks of the stochastic process x↦ut(x) are highly concentrated...
On the long-time behaviour of a class of parabolic SPDE’s : monotonicity methods and exchange of stability
In this article we prove new results concerning the structure and the stability properties of the global attractor associated with a class of nonlinear parabolic stochastic partial differential equations driven by a standard multidimensional brownian motion. We first use monotonicity methods to prove that the random fields either stabilize exponentially rapidly with probability one around one of the two equilibrium states, or that they set out to oscillate between them. In the first case we can...
On the long-time behaviour of a class of parabolic SPDE's: monotonicity methods and exchange of stability
In this article we prove new results concerning the structure and the stability properties of the global attractor associated with a class of nonlinear parabolic stochastic partial differential equations driven by a standard multidimensional Brownian motion. We first use monotonicity methods to prove that the random fields either stabilize exponentially rapidly with probability one around one of the two equilibrium states, or that they set out to oscillate between them. In the first case we can...