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In this paper, we introduce the concept of Stepanov-like (weighted) pseudo S-asymptotically Bloch type periodic processes in the square mean sense, and establish some basic results on the function space of such processes like completeness, convolution and composition theorems. Under the situation that the functions forcing are Stepanov-like (weighted) pseudo S-asymptotically Bloch type periodic and verify some suitable assumptions, we establish the existence and uniqueness of square-mean (weighted) pseudo S-asymptotically Bloch type periodic mild solutions of some fractional stochastic integrodifferential equations (driven by fractional Brownian motion). Finally, the most important findings are substantiated with the assistance of an illustration. [ABSTRACT FROM AUTHOR]

We investigate the fractional stochastic heat equation, driven by a random noise which admits a covariance measure structure with respect to the time variable and has a spatial covariance given by the Riesz kernel. This class of process includes White-colored noise, fractional colored noise and other related processes. We give a sufficient condition for the existence of the mild solution and we establish some properties of its. Then, we study the self similarity and the path regularity of this solution with respect to time variable on the particular case when the noise behaves as a fractional Brownian motion in time. [ABSTRACT FROM AUTHOR]

This work is concerned with limit behavior of the Navier–Stokes–Voigt equation with degenerate white noise in a 3D thin domain. Although the individual solutions may be chaotic in fluid dynamics, the stationary statistical solutions are essential to capture complex dynamical behaviors in the view of statistic. We therefore prove that the stationary statistical solution of the system converges weakly to the counterpart of the 2D stochastic Euler equation as the viscosity, the elasticity parameter and the thickness of the thin domain tend to zero. [ABSTRACT FROM AUTHOR]

In Tao 2016, the author constructs an averaged version of the deterministic three-dimensional Navier–Stokes equations (3D NSE) which experiences blow-up in finite time. In the last decades, various works have studied suitable perturbations of ill-behaved deterministic PDEs in order to prevent or delay such behavior. A promising example is given by a particular choice of stochastic transport noise closely studied in Flandoli et al. 2021. We analyze the model in Tao 2016 in view of these results and discuss the regularization skills of this noise in the context of the averaged 3D NSE. [ABSTRACT FROM AUTHOR]

The stochastic nonlinear Kodama (SNLK) equation forced in the Stratonovich sense by multiplicative noise is considered here. New elliptic, hyperbolic, trigonometric, and rational stochastic solutions are acquired using (G ′/ G)-expansion method and mapping method. Because the SNLK equation is extensively used in is extensively used in nonlinear optics, fluid dynamics, and plasma physics, the obtained solutions may be used to study a broad range of relevant physical phenomena. In order to interpret the effects of multiplicative noise, the dynamic performances of the various obtained solutions are displayed utilizing 3D and 2D graphs. We infer that multiplicative noise impacts and stabilizes the solutions of SNLK equation. [ABSTRACT FROM AUTHOR]

Considering the effects of spatial diffusion and environmental noise, this paper establishes a stochastic reaction–diffusion tuberculosis (TB) model that includes varying immunity period. Compared to the classical TB models, the TB models driven by stochastic partial differential equations are more versatile. Mathematically, the boundness of moment on the solutions is given. Furthermore, the regularity of an invariant measure and the unique geometric ergodicity of model are proved by the generalized coupling method. Some numerical simulations are also displayed, which demonstrate the effectiveness of theories. [ABSTRACT FROM AUTHOR]

We consider multiple stochastic integrals with respect to càdlàg martingales, which approximate a cylindrical Wiener process. We define a chaos expansion, analogous to the case of multiple Wiener stochastic integrals, for these integrals and use it to show moment bounds. Key tools include an iteration of the Burkholder–Davis–Gundy inequality and a multi-scale decomposition similar to the one developed in Hairer and Quastel (Forum Math Pi 6:e3, 2018). Our method can be combined with the recently developed discretisation framework for regularity structures (Hairer and Matetski in Ann Probab 46(3):1651–1709, 2018, Erhard and Hairer in Ann Inst Henri Poincaré Probab Stat 55(4):2209–2248, 2019) to prove convergence of interacting particle systems to singular stochastic PDEs. A companion article (Grazieschiet al. in The dynamical Ising–Kac model in 3D converges to Φ 3 4 , 2023. arXiv:2303.10242) applies the results of this paper to prove convergence of a rescaled Glauber dynamics for the three-dimensional Ising–Kac model near criticality to the Φ 3 4 dynamics on a torus. [ABSTRACT FROM AUTHOR]

This work aims to investigate the well-posedness and the existence of ergodic invariant measures for a class of third-grade fluid equations in bounded domain D ⊂ R d , d = 2 , 3 , in the presence of a multiplicative noise. First, we show the existence of a martingale solution by coupling a stochastic compactness and monotonicity arguments. Then, we prove a stability result, which gives the pathwise uniqueness of the solution and therefore the existence of strong probabilistic solution. Secondly, we use the stability result to show that the associated semigroup is Feller and by using “Krylov-Bogoliubov Theorem,” we get the existence of an invariant probability measure. Finally, we show that all the invariant measures are concentrated on a compact subset of L 2 , which leads to the existence of an ergodic invariant measure. [ABSTRACT FROM AUTHOR]

In this paper, we prove that stochastic porous media equations over σ -finite measure spaces (E , B , μ) , driven by time-dependent multiplicative noise, with the Laplacian replaced by a self-adjoint transient Dirichlet operator L and the diffusivity function given by a maximal monotone multi-valued function Ψ of polynomial growth, have a unique solution. This generalizes previous results in that we work on general measurable state spaces, allow non-continuous monotone functions Ψ , for which, no further assumptions (as e.g. coercivity) are needed, but only that their multi-valued extensions are maximal monotone and of at most polynomial growth. Furthermore, an L p (μ) -Itô formula in expectation is proved, which is not only crucial for the proof of our main result, but also of independent interest. The result in particular applies to fast diffusion stochastic porous media equations (in particular self-organized criticality models) and cases where E is a manifold or a fractal, and to non-local operators L, as e.g. L = - f (- Δ) , where f is a Bernstein function. [ABSTRACT FROM AUTHOR]

In this work we establish weak convergence rates for temporal discretisations of stochastic wave equations with multiplicative noise, in particular, for the hyperbolic Anderson model. For this class of stochastic partial differential equations the weak convergence rates we obtain are indeed twice the known strong rates. To the best of our knowledge, our findings are the first in the scientific literature which provide essentially sharp weak convergence rates for temporal discretisations of stochastic wave equations with multiplicative noise. Key ideas of our proof are a sophisticated splitting of the error and applications of the recently introduced mild Itô formula. We complement our analytical findings by means of numerical simulations in Python for the decay of the weak approximation error for SPDEs for four different test functions. [ABSTRACT FROM AUTHOR]

We study Laplace equation and heat equation with the Gaussian white noise as the boundary/initial condition. Using the stochastic pre-orthogonal adaptive Fourier decomposition on the Bergman space, we give sparse expansions of the solutions of the boundary/initial value problems. The proposed methodology breaks away from the H - H K structure. The key point to the solution is to use the Wiener isometry property of the Gaussian white noise integral and the corresponding Green's function to represent the covariance of the solution. For the heat equation with the Gaussian white noise initial value, we define a class of parabolic Bergman space following E. Stein, prove existence of Bergman kernel, and obtain its expression, and further verify the boundary vanishing property needed for generating a sparse expansion. In order to make the heat flow satisfy a long-time decay property, we induce a subspace of the parabolic Bergman space, which corresponds to a class of homogeneous Sobolev spaces. [ABSTRACT FROM AUTHOR]

We establish a framework for the existence and uniqueness of solutions to stochastic nonlinear (possibly multi-valued) diffusion equations driven by multiplicative noise, with the drift operator L being the generator of a transient Dirichlet form on a finite measure space (E , B , μ) and the initial value in F e ∗ , which is the dual space of an extended transient Dirichlet space. L and F e ∗ replace the Laplace operator Δ and H - 1 , respectively, in the classical case. This framework includes stochastic fast diffusion equations, stochastic fractional fast diffusion equations, the Zhang model, and applies to cases with E being a manifold, a fractal, or a graph. In addition, our results apply to operators - f (- L) , where f is a Bernstein function, e.g., f (λ) = λ α or f (λ) = (λ + 1) α - 1 , 0 < α < 1 . [ABSTRACT FROM AUTHOR]

In this paper we are concerned with the stochastic Landau–Lifshitz–Slonczewski (LLS) equation that describes magnetisation of an infinite nanowire evolving under current-driven spin torque. The current brings into the system a multiplicative gradient noise that appears as a transport term in the equation. We prove the existence, uniqueness and regularity of pathwise solutions to the equation. [ABSTRACT FROM AUTHOR]

We study a stochastic velocity tracking problem for the 2D-Navier–Stokes equations perturbed by a multiplicative Gaussian noise. From a physical point of view, the control acts through a boundary injection/suction device with uncertainty, modeled by stochastic non-homogeneous Navier-slip boundary conditions. We show the existence and uniqueness of the solution to the state equation, and prove the existence of an optimal solution to the control problem. [ABSTRACT FROM AUTHOR]

The aim of this paper is to investigate the existence of optimal solutions for control problems involving nonlinear stochastic Schrödinger equations perturbed by a multiplicative fractional Brownian motion. Finite-dimensional approximations and a linearization method are employed and lead to ε-optimal solutions for the considered problems. [ABSTRACT FROM AUTHOR]

This article is concerned with the limiting behavior of invariant measures for stochastic reaction–diffusion equations driven by nonlinear noise on unbounded thin domains. We first show the existence of invariant measures when the diffusion terms are globally Lipschitz continuous. The uniform estimates on the tails of solutions are employed to present the tightness of a family of probability distributions of solutions in order to overcome the non-compactness of usual Sobolev embeddings on unbounded domains. Then, we prove any limit of invariant measures of the equations defined on (n + 1) -dimensional unbounded thin domains must be an invariant measure of the limiting system as the thin domains collapse onto the space R n . [ABSTRACT FROM AUTHOR]

By investigating the regularity of the nonlinear semigroup P t ∗ associated with the distribution dependent second-order stochastic differential equations, the Harnack inequality is derived when the drift is Lipschitz continuous in the measure variable under the distance induced by the functions being β -Hölder continuous (with β > 2 3 ) on the degenerate component and square root of Dini continuous on the non-degenerate one. The results extend the existing ones in which the drift is Lipschitz continuous in L 2 -Wasserstein distance. [ABSTRACT FROM AUTHOR]

In this paper we provide sufficient conditions for stochastic invariance of closed convex cones for stochastic partial differential equations (SPDEs) of jump-diffusion type, and clarify when these conditions are necessary. We emphasize that the diffusion coefficient of the SPDE does not need to be smooth, an assumption which is frequently imposed when dealing with stochastic invariance problems. Our results apply to the positive cone of abstract L 2 -spaces. Furthermore, we present a series of applications, where we investigate SPDEs arising in natural sciences and economics. [ABSTRACT FROM AUTHOR]

We study the problems of consistency and the existence of finite-dimensional realizations for multi-curve interest rate models of Heath–Jarrow–Morton type, generalizing the geometric approach developed by T. Björk and co-authors for the classical single-curve setting. We characterize when a multi-curve interest rate model is consistent with a given parameterized family of forward curves and spreads and when a model can be realized by a finite-dimensional state process. We illustrate the general theory in a number of model classes and examples, providing explicit constructions of finite-dimensional realizations. Based on these theoretical results, we perform the calibration of a three-curve Hull–White model to market data and analyse the stability of the estimated parameters. [ABSTRACT FROM AUTHOR]

We study a finite-element based space-time discretisation for the 2D stochastic Navier–Stokes equations in a bounded domain supplemented with no-slip boundary conditions. We prove optimal convergence rates in the energy norm with respect to convergence in probability, that is convergence of order (almost) 1/2 in time and 1 in space. This was previously only known in the space-periodic case, where higher order energy estimates for any given (deterministic) time are available. In contrast to this, estimates in the Dirichlet-case are only known for a (possibly large) stopping time. We overcome this problem by introducing an approach based on discrete stopping times. This replaces the localised estimates (with respect to the sample space) from earlier contributions. [ABSTRACT FROM AUTHOR]

In this paper, we present a stochastic augmented Lagrangian approach on (possibly infinite-dimensional) Riemannian manifolds to solve stochastic optimization problems with a finite number of deterministic constraints. We investigate the convergence of the method, which is based on a stochastic approximation approach with random stopping combined with an iterative procedure for updating Lagrange multipliers. The algorithm is applied to a multi-shape optimization problem with geometric constraints and demonstrated numerically. [ABSTRACT FROM AUTHOR]

In this paper, we show that the Gibbs measure of the stochastic hyperbolic sine-Gordon equation on the circle is the unique invariant measure for the Markov process. Moreover, the Markov transition probabilities converge exponentially fast to the unique invariant measure in a type of 1-Wasserstein distance. The main difficulty comes from the fact that the hyperbolic dynamics does not satisfy the strong Feller property even if sufficiently many directions in a phase space are forced by the space-time white noise forcing. We instead establish that solutions give rise to a Markov process whose transition semigroup satisfies the asymptotic strong Feller property and convergence to equilibrium in a type of Wasserstein distance. [ABSTRACT FROM AUTHOR]

The work is concerned with the motion of a system of particles evolving in a fluid occupying a three-dimensional bounded domain. The motion of particles is described by a Vlasov–Fokker–Planck equation while the fluid is governed by the incompressible stochastic Navier–Stokes equations. The interaction between particles and fluid is described by Stokes’s drag force. We prove the existence of a unique weak probabilistic solution. To achieve our goal, we use the Galerkin approximation combined with some compactness results of probabilistic type, as well as the Yamada–Watanabe theorem. [ABSTRACT FROM AUTHOR]

This paper studies the stochastic time-fractional heat diffusion equation involving a Caputo derivative in time of order α ∈ (1 2 , 1 ] , driven simultaneously by a random diffusion coefficient field and fractionally integrated multiplicative noise. First, the well-posedness of the underlying problem is established by proving the existence, uniqueness, and stability of the mild solution. Then a spatio-temporal discretization method based on a Milstein exponential integrator scheme and finite element method is constructed and analyzed. The strong convergence rate of the fully discrete solution is derived. Numerical experiments are finally reported to confirm the theoretical result. [ABSTRACT FROM AUTHOR]

In this paper, we investigate the non-confluence property of a class of stochastic differential equations with Markovian switching driven by fractional Brownian motion with Hurst parameter H ∈ (1 / 2 , 1) . By using the generalized Itô formula and stopping time techniques, we obtain some sufficient conditions ensuring the non-confluence property for the considered equations. Additionally, we present two important corollaries on the non-confluence property by the Poisson equation and M-matrix, respectively, which can verify the non-confluence property more effectively than the general condition. Finally, we provide an example to illustrate the practical usefulness of our theoretical results. [ABSTRACT FROM AUTHOR]

We consider the following stochastic heat equation ∂ t u (t , x) = 1 2 ∂ x 2 u (t , x) + b (u (t , x)) + σ (u (t , x)) W ˙ (t , x) , defined for (t , x) ∈ (0 , ∞) × R , where W ˙ denotes space-time white noise. The function σ is assumed to be positive, bounded, globally Lipschitz, and bounded uniformly away from the origin, and the function b is assumed to be positive, locally Lipschitz and nondecreasing. We prove that the Osgood condition ∫ 1 ∞ d y b (y) < ∞ implies that the solution almost surely blows up everywhere and instantaneously, In other words, the Osgood condition ensures that P { u (t , x) = ∞ for all t > 0 and x ∈ R } = 1. The main ingredients of the proof involve a hitting-time bound for a class of differential inequalities (Remark 3.3), and the study of the spatial growth of stochastic convolutions using techniques from the Malliavin calculus and the Poincaré inequalities that were developed in Chen et al. (Electron J Probab 26:1–37, 2021, J Funct Anal 282(2):109290, 2022). [ABSTRACT FROM AUTHOR]

In this paper, we prove an existence and uniqueness theorem for backward doubly stochastic differential equations under a new kind of stochastic non-Lipschitz condition which involves stochastic and time-dependent condition. As an application, we use the result to obtain the existence of stochastic viscosity solution for some nonlinear stochastic partial differential equations under stochastic non-Lipschitz conditions. [ABSTRACT FROM AUTHOR]

The paper is devoted to the analysis of the global well-posedness and the interior regularity of the 2D Navier–Stokes equations with inhomogeneous stochastic boundary conditions. The noise, white in time and coloured in space, can be interpreted as the physical law describing the driving mechanism on the atmosphere–ocean interface, i.e. as a balance of the shear stress of the ocean and the horizontal wind force. [ABSTRACT FROM AUTHOR]

We propose an extension of the model introduced by Barndorff-Nielsen and Shephard, based on stochastic processes of Ornstein–Uhlenbeck type taking values in Hilbert spaces and including the leverage effect. We compute explicitly the characteristic function of the log-return and the volatility processes. By introducing a measure change of Esscher type, we provide a relation between the dynamics described with respect to the historical and the risk-neutral measures. We discuss in detail the application of the proposed model to describe the commodity forward curve dynamics in a Heath–Jarrow–Morton framework, including the modelling of forwards with delivery period occurring in energy markets and the pricing of options. For the latter, we show that a Fourier approach can be applied in this infinite-dimensional setting, relying on the attractive property of conditional Gaussianity of our stochastic volatility model. In our analysis, we study both arithmetic and geometric models of forward prices and provide appropriate martingale conditions in order to ensure arbitrage-free dynamics. [ABSTRACT FROM AUTHOR]

In this paper, we show that Hilbert space-valued stochastic models are robust with respect to perturbations, due to measurement or approximation errors, in the underlying volatility process. Within the class of stochastic-volatility-modulated Ornstein–Uhlenbeck processes, we quantify the error induced by the volatility in terms of perturbations in the parameters of the volatility process. We moreover study the robustness of the volatility process itself with respect to finite-dimensional approximations of the driving compound Poisson process and semigroup generator, respectively, when considering operator-valued Barndorff-Nielsen and Shephard stochastic volatility models. We also give results on square root approximations. In all cases, we provide explicit bounds for the induced error in terms of the approximation of the underlying parameter. We discuss some applications to robustness of prices of options on forwards and volatility. [ABSTRACT FROM AUTHOR]

We analyse a second-order SPDE model in multiple space dimensions and develop estimators for the parameters of this model based on discrete observations of a solution in time and space on a bounded domain. While parameter estimation for one and two spatial dimensions was established in recent literature, this is the first work which generalizes the theory to a general, multi-dimensional framework. Our approach builds upon realized volatilities, enabling the construction of an oracle estimator for volatility within the underlying model. Furthermore, we show that the realized volatilities have an asymptotic illustration as response of a log-linear model with spatial explanatory variable. This yields novel and efficient estimators based on realized volatilities with optimal rates of convergence and minimal variances. For proving central limit theorems, we use a high-frequency observation scheme. To showcase our results, we conduct a Monte Carlo simulation. [ABSTRACT FROM AUTHOR]

We investigate a stochastic coupled model of the Cahn–Hilliard equations and the stochastic magnetohydrodynamic equations in a bounded domain of ℝ 2 {\mathbb{R}^{2}} . The model describes the flow of the mixture of two incompressible and immiscible fluids under the influence of an electromagnetic field with stochastic perturbations. We prove the existence, uniqueness and regularity of a probabilistic strong solution. The proof of the existence is based on the Galerkin approximation, the stopping time technique and some weak convergence principles in functional analysis. [ABSTRACT FROM AUTHOR]