2.2k citations
- Fermi National Accelerator LaboratoryUS301 papers
- Argonne National LaboratoryUS255 papers
- Brookhaven National LaboratoryUS205 papers
- University of CincinnatiUS186 papers
- Tufts UniversityUS171 papers
- University of PittsburghUS158 papers
- University of OxfordGB155 papers
- Yale UniversityUS155 papers
- University of MinnesotaUS141 papers
- Virginia TechUS137 papers
- University of ChicagoUS135 papers
- University of Wisconsin–MadisonUS135 papers
34 papers · 1 filter
On Lyapunov Conditions for the Well-Posedness of McKean-Vlasov Stochastic Differential Delay Equations
Dan Noelck
This work focuses on the well-posedness of McKean-Vlasov stochastic differential delay equations. Under suitable lipschitz conditions on the drift and diffusion terms, along with a…
Kantorovich-Rubinstein Distance and Approximation for Non-local Fokker-Planck Equations
Ao Zhang, Jinqiao Duan
This work is devoted to studying complex dynamical systems under non-Gaussian fluctuations. We first estimate the Kantorovich-Rubinstein distance for solutions of non-local Fokker-…
Large Deviations for SDE driven by Heavy-tailed Lévy Processes
Wei Wei, Qiao Huang, Jinqiao Duan
We obtain sample-path large deviations for a class of one-dimensional stochastic differential equations with bounded drifts and heavy-tailed Lévy processes. These heavy-tailed Lévy…
Linear Response Theory for Nonlinear Stochastic Differential Equations with -stable Lévy Noises
Qi Zhang, Jinqiao Duan
We consider a nonlinear stochastic differential equation driven by an -stable Lévy process (). We first obtain some regularity results for the probability density of its…
Wiener-Hopf Factorization for Arithmetic Brownian Motion with Time-Dependent Drift and Volatility
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this p…
An averaging principle for fractional stochastic differential equations with Lévy noise
Wenjing Xu, Jinqiao Duan, Wei Xu
This paper is devoted to the study of an averaging principle for fractional stochastic differential equations in Rnwith Lévy motion, using an integral transform method. We obtain a…