7 papers
Weak approximation of kinetic SDEs: closing the criticality gap
Zimo Hao, Khoa Lê, Chengcheng Ling
We study the weak convergence of a generic tamed Euler-Maruyama scheme for kinetic stochastic differential equations (SDEs) with integrable drifts. We show that the marginal densit…
Uniform pathwise stability of additive singular SDEs driven by fractional Brownian motion
Konstantinos Dareiotis, El Mehdi Haress, Khoa Lê
We study the long-time behaviour of solutions to a class of -dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H \in (0,1)…
Regularisation by Gaussian rough path lifts of fractional Brownian motions
Konstantinos Dareiotis, Máté Gerencsér, Khoa Lê +1
The aim of the paper is to show the probabilistically strong well-posedness of rough differential equations with distributional drifts driven by the Gaussian rough path lift of fra…
Analytically weak and mild solutions to stochastic heat equation with irregular drift
Siva Athreya, Oleg Butkovsky, Khoa Lê +1
Consider the stochastic heat equation \begin{equation*} \partial_t u_t(x)=\frac12 \partial^2_{xx}u_t(x) +b(u_t(x))+\dot{W}_{t}(x),\quad t\in(0,T],\, x\in D, \end{equation*} where $…
Regularisation by multiplicative noise for reaction-diffusion equations
Konstantinos Dareiotis, Teodor Holland, Khoa Lê
We consider the stochastic reaction-diffusion equation in dimensions driven by multiplicative space-time white noise, with a distributional drift belonging to a Besov-Hölder…
Quantitative approximation of stochastic kinetic equations: from discrete to continuum
Zimo Hao, Khoa Lê, Chengcheng Ling
We study the convergence of a generic tamed Euler-Maruyama (EM) scheme for the kinetic type stochastic differential equations (SDEs) (also known as second order SDEs) with singular…
Quantitative Propagation of Chaos for Singular Interacting Particle Systems Driven by Fractional Brownian Motion
Lucio Galeati, Khoa Lê, Avi Mayorcas
We consider interacting systems particle driven by i.i.d. fractional Brownian motions, subject to irregular, possibly distributional, pairwise interactions. We show propagation of…