For independent nearest-neighbour bond percolation on Z^d with d >> 6, we prove that the incipient infinite cluster's two-point function and three-point function converge to those of integrated super-Brownian excursion (ISE) in the scaling limit. The proof is based on an extension of the new expansion for percolation derived in a previous paper, and involves treating the magnetic field as a complex variable. A special case of our result for the two-point function implies that the probability that the cluster of the origin consists of n sites, at the critical point, is given by a multiple of n^{-3/2}, plus an error term of order n{-3/2-ε} with ε> 0. This is a strong statement that the critical exponent δis given by δ= 2.
We continue our study of the problem of mixing for a class of PDEs with very degenerate noise. As we established earlier, the uniqueness of stationary measure and its exponential stability in the dual-Lipschitz metric holds under the hypothesis that the unperturbed equation has exactly one globally stable equilibrium point. In this paper, we relax that condition, assuming only global controllability to a given point. It is proved that the uniqueness of a stationary measure and convergence to it are still valid, whereas the rate of convergence is not necessarily exponential. The result is appli…
We obtain an existence and uniqueness theorem for fully coupled forward-backward SDEs (FBSDEs) with jumps via the classical solution to the associated quasilinear parabolic partial integro-differential equation (PIDE), and provide the explicit form of the FBSDE solution. Moreover, we embed the associated PIDE into a suitable class of non-local quasilinear parabolic PDEs which allows us to extend the methodology of Ladyzhenskaya et al (1968) to non-local PDEs of this class. Namely, we obtain the existence and uniqueness of a classical solution to both the Cauchy problem and the initial-boundary…
We prove an existence and uniqueness result for two-obstacle problem for quasilinear Stochastic PDEs (DOSPDEs for short). The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic differential equations (BDSDEs for short).
In this paper linear stochastic transport and continuity equations with drift in critical $L^{p}$ spaces are considered. In this situation noise prevents shocks for the transport equation and singularities in the density for the continuity equation, starting from smooth initial conditions. Specifically, we first prove a result of Sobolev regularity of solutions, which is false for the corresponding deterministic equation. The technique needed to reach the critical case is new and based on parabolic equations satisfied by moments of first derivatives of the solution, opposite to previous works …
We prove the existence and uniqueness of solution of quasilinear stochastic partial differential equations with obstacle (OSPDEs in short) in degenerate case. Using De Giorgi's iteration, we deduce the $L^p-$estimates for the time-space uniform norm of weak solutions.
Existence and uniqueness is established for a large class of backward stochastic differential equations which contain singular terms of the form $\pm|z|^2/y$. The results are applied to investigate singular partial differential equations (PDEs) and to decision theory problems that cannot be studied using classical regular BSDEs. The application to PDEs concerns the existence of viscosity solutions to PDEs containing a singular term of the form $\pm|\nabla v|^2/v$ with rather weak assumptions on the regularity of the coefficients. Such PDEs with singularity in the value process appear in severa…
In this paper, we establish an existence and uniqueness result for system of quasilinear stochastic partial differential equations (SPDEs for short) with reflection in a convex domain in R^k by analytical approach. The method is based on the approximation of the penalized systems of SPDEs.
In this paper, we first explore certain structural properties of Lévy flows and use this information to obtain the existence of strong solutions to a class of Stochastic PDEs in the space of tempered distributions, driven by Lévy noise. The uniqueness of the solutions follows from Monotonicity inequality. These results extend an earlier work Bhar (2017) on the diffusion case.
In this paper, we obtain the existence and uniqueness theorem for backward stochastic differential equation driven by G-Brownian motion (G-BSDE) under degenerate case. Moreover, we propose a new probabilistic method based on the representation theorem of G-expectation and weak convergence to obtain the regularity of fully nonlinear PDE associated to G-BSDE.
Nonlinear PDEs with modulated dispersion IV: normal form approach and unconditional uniqueness
University of Oxford（牛津大学）；Beijing Institute of Technology（北京理工大学）；The University of Edinburgh（爱丁堡大学）；The Maxwell Institute for the Mathematical Sciences（麦克斯韦数学科学研究所）
In this article we show that a finite dimensional stochastic differential equation driven by a Lévy process can be formulated as a stochastic partial differential equation. We prove the existence and uniqueness of strong solutions of such stochastic PDEs. The solutions that we construct have the `translation invariance' property. The special case of this correspondence for diffusion processes was proved in [Rajeev, Translation invariant diffusion in the space of tempered distributions, Indian J. Pure Appl. Math. 44 (2013), no.~2, 231--258].
These notes have been prepared for a series of lectures given at the Sarajevo Stochastic Analysis Winter School, from January 28 to February 1, 2019. There already exist several excellent lecture notes and reviews on the subject, such as (Hairer 2009) on (non-singular) stochastic PDEs, and (Hairer 2015, Chandra and Weber 2017) on singular stochastic PDEs and regularity structures. The present notes have two main specificities. The first one is that they focus on a particular example, the Allen-Cahn equation, which allows to introduce several of the difficulties of the theory in a gradual way, …
This paper presents a class of evolutive Mean Field Games with multiple solutions for all time horizons T and convex but non-smooth Hamiltonian H, as well as for smooth H and T large enough. The phenomenon is analyzed in both the PDE and the probabilistic setting. The examples are compared with the current theory about uniqueness of solutions. In particular, a new result on uniqueness for the MFG PDEs with small data, e.g., small T, is proved. Some results are also extended to MFGs with two populations.
This paper presents existence and uniqueness results for reflected system of quasilinear stochastic partial differential equations in a convex domain D from Rk. The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic differential equation. The solution is expressed as a pair (u,ν) where u is a predictable continuous process which takes values in a proper Sobolev space and ν is a random signed regular measure satisfying the minimal Skohorod condition.
In this paper, we study the well-posedness of multi-dimensional backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with diagonal generators, the $z$ parts of whose $l$-th components only depend on the $l$-th columns. The existence and uniqueness of solutions are obtained via a contraction argument for $Y$ component and a backward iteration of local solutions. Furthermore, we show that, the solution of multi-dimensional $G$-BSDE in a Markovian framework provides a probabilistic formula for the viscosity solution of a system of nonlinear parabolic partial differ…
We prove the existence and uniqueness of solution of the obstacle problem for quasilinear stochastic partial differential equations (OSPDEs for short) with Neumann boundary condition. Our method is based on the analytical technics coming from parabolic potential theory. The solution is expressed as a pair $(u,ν)$ where $u$ is a predictable continuous process which takes values in a proper Sobolev space and $ν$ is a random regular measure satisfying minimal Skohorod condition.
Reflected generalized BDSDEs driven by non-homogeneous Lévy processes and obstacle problems for stochastic integro-PDEs with nonlinear Neumann boundary conditions
Cadi Ayyad University (UCA), National School of Applied Sciences of Marrakech (ENSA-M)（卡迪·阿亚德大学，马拉喀什应用科学学院）；Ibn Zohr University（伊本·佐哈尔大学）；Abdelmalek Essaadi University（阿卜杜勒马利克·萨阿迪大学）；National Institute of Statistics and Applied Economics（国家统计与应用经济研究所）
We study the surface quasi-geostrophic equation with an irregular spatial perturbation $$ \partial_{t }θ+ u\cdot\nablaθ= -ν(-Δ)^{γ/2}θ+ ζ,\qquad u=\nabla^{\perp}(-Δ)^{-1}θ, $$ on $[0,\infty)\times\mathbb{T}^{2}$, with $ν\geq 0$, $γ\in [0,3/2)$ and $ζ\in B^{-2+κ}_{\infty,\infty}(\mathbb{T}^{2})$ for some $κ>0$. This covers the case of $ζ= (-Δ)^{α/2}ξ$ for $α<1$ and $ξ$ a spatial white noise on $\mathbb{T}^{2}$. Depending on the relation between $γ$ and $α$, our setting is subcritical, critical or supercritical in the language of Hairer's regularity structures \cite{Hai14}. Based on purely analy…
In this paper, we study the existence and uniqueness of solutions to the fully coupled nonlinear forward-backward stochastic differential equations driven by G-Brownian motion. Assuming that the diffusion coefficient $σ$ is uniformly elliptic and all coefficients are differentiable, combining the results of fully nonlinear PDEs, we prove the existence and uniqueness of solutions to these equations.
The Feynman-Kac formula implies that every suitable classical solution of a semilinear Kolmogorov partial differential equation (PDE) is also a solution of a certain stochastic fixed point equation (SFPE). In this article we study such and related SFPEs. In particular, the main result of this work proves existence of unique solutions of certain SFPEs in a general setting. As an application of this main result we establish the existence of unique solutions of SFPEs associated with semilinear Kolmogorov PDEs with Lipschitz continuous nonlinearities even in the case where the associated semilinea…
