stability of solutions of symmetric stochastic differential equations with discontinuous driving semimartingales
SDDEs limits solutions to sublinear reaction-diffusion SPDEs.
Second order parabolic equations and weak uniqueness of diffusions with discontinuous coefficients
We prove the unique solvability of parabolic equations with discontinuous leading coefficients in . Using this result, we establish the uniqueness of diffusion processes with time-dependent discontinuous coefficients.
Second-order neutral stochastic evolution equations with heredity.
Self attracting diffusions: two case studies.
Self-interacting diffusions II : convergence in law
Self-intersection local time of -superprocess
Self-stabilizing processes: uniqueness problem for stationary measures and convergence rate in the small-noise limit
In the context of self-stabilizing processes, that is processes attracted by their own law, living in a potential landscape, we investigate different properties of the invariant measures. The interaction between the process and its law leads to nonlinear stochastic differential equations. In [S. Herrmann and J. Tugaut. Electron. J. Probab. 15 (2010) 2087–2116], the authors proved that, for linear interaction and under suitable conditions, there exists a unique symmetric limit measure associated...
Self-stabilizing processes: uniqueness problem for stationary measures and convergence rate in the small-noise limit
In the context of self-stabilizing processes, that is processes attracted by their own law, living in a potential landscape, we investigate different properties of the invariant measures. The interaction between the process and its law leads to nonlinear stochastic differential equations. In [S. Herrmann and J. Tugaut. Electron. J. Probab. 15 (2010) 2087–2116], the authors proved that, for linear interaction and under suitable conditions, there...
Semiclassical analysis and a new result for Poisson-Lev́y excursion measures.
Semilinear elliptic equations with measure data and quasi-regular Dirichlet forms
We are mainly concerned with equations of the form -Lu = f(x,u) + μ, where L is an operator associated with a quasi-regular possibly nonsymmetric Dirichlet form, f satisfies the monotonicity condition and mild integrability conditions, and μ is a bounded smooth measure. We prove general results on existence, uniqueness and regularity of probabilistic solutions, which are expressed in terms of solutions to backward stochastic differential equations. Applications include equations with nonsymmetric...
Semimartingale decomposition of convex functions of continuous semimartingales by brownian perturbation
In this note we prove that the local martingale part of a convex function f of a d-dimensional semimartingale X = M + A can be written in terms of an Itô stochastic integral ∫H(X)dM, where H(x) is some particular measurable choice of subgradient ∇ f ( x ) off at x, and M is the martingale part of X. This result was first proved by Bouleau in [N. Bouleau, C. R. Acad. Sci. Paris Sér. I Math. 292 (1981) 87–90]. Here we present a new treatment of the problem. We first prove the result for x10ff65;...
Semimartingales à deux indices
Semi-martingales and rough paths theory.
Semimartingales sur les ouverts aléatoires
Série de Taylor stochastique et formule de Campbell-Hausdorff, d'après Benarous
Series of iterated quantum stochastic integrals
Set-valued and fuzzy stochastic integral equations driven by semimartingales under Osgood condition
We analyze the set-valued stochastic integral equations driven by continuous semimartingales and prove the existence and uniqueness of solutions to such equations in the framework of the hyperspace of nonempty, bounded, convex and closed subsets of the Hilbert space L2 (consisting of square integrable random vectors). The coefficients of the equations are assumed to satisfy the Osgood type condition that is a generalization of the Lipschitz condition. Continuous dependence of solutions with respect...
Set-valued random differential equations in Banach space
We consider the problem of the existence of solutions of the random set-valued equation: (I) , t ∈ [0,T] -a.e.; X₀ = U p.1 where F and U are given random set-valued mappings with values in the space , of all nonempty, compact and convex subsets of the separable Banach space E. Under certain restrictions on F we obtain existence of solutions of the problem (I). The connections between solutions of (I) and solutions of random differential inclusions are investigated.
Set-valued stochastic integrals and stochastic inclusions in a plane
We present the concepts of set-valued stochastic integrals in a plane and prove the existence of a solution to stochastic integral inclusions of the form