63 citations · 162 across the 10 of their papers we have counts for
11 papers
Malliavin Calculus for rough stochastic differential equations
Fabio Bugini, Michele Coghi, Torstein Nilssen
In this work we show that rough stochastic differential equations (RSDEs), as introduced by Friz, Hocquet, and Lê (2021), are Malliavin differentiable. We use this to prove existen…
Existence and uniqueness by Kraichnan noise for 2D Euler equations with unbounded vorticity
Michele Coghi, Mario Maurelli
We consider the 2D Euler equations on in vorticity form, with unbounded initial vorticity, perturbed by a suitable non-smooth Kraichnan transport noise, with regularity inde…
Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
Michele Coghi, Torstein Nilssen, Nikolas Nüsken +1
Motivated by the challenge of incorporating data into misspecified and multiscale dynamical models, we study a McKean-Vlasov equation that contains the data stream as a common driv…
A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries
Michele Coghi, Wolfgang Dreyer, Paul Gajewski +3
We consider a one-dimensional McKean-Vlasov SDE on a domain and the associated mean-field interacting particle system. The peculiarity of this system is the combination of the inte…
Regularized vortex approximation for 2D Euler equations with transport noise
Michele Coghi, Mario Maurelli
We study a mean field approximation for the 2D Euler vorticity equation driven by a transport noise. We prove that the Euler equations can be approximated by interacting point vort…
Rough nonlocal diffusions
Michele Coghi, Torstein Nilssen
We consider a nonlinear Fokker-Planck equation driven by a deterministic rough path which describes the conditional probability of a McKean-Vlasov diffusion with "common" noise. To…
Stochastic nonlinear Fokker-Planck equations
Michele Coghi, Benjamin Gess
The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker-Planck equations is proven. This type of stochastic PDE is shown to arise in the…
Pathwise McKean-Vlasov Theory with Additive Noise
Michele Coghi, Jean-Dominique Deuschel, Peter Friz +1
Abstract. We take a pathwise approach to classical McKean-Vlasov stochastic differential equations with additive noise, as e.g. exposed in Sznitmann [38]. Our study was prompted by…
Mean field limit of interacting filaments for 3D Euler equations
Hakima Bessaih, Michele Coghi, Franco Flandoli
The 3D Euler equations, precisely local smooth solutions of class with , are obtained as a mean field limit of finite families of interacting curves, the so called vor…
Mean field limit of interacting filaments and vector valued non linear PDEs
Hakima Bessaih, Michele Coghi, Franco Flandoli
Families of interacting curves are considered, with long range, mean field type, interaction. A family of curves defines a 1-current, concentrated on the curves, analog of the…
Propagation of chaos for interacting particles subject to environmental noise
Michele Coghi, Franco Flandoli
A system of interacting particles described by stochastic differential equations is considered. As oppopsed to the usual model, where the noise perturbations acting on different pa…