Zobrazeno 1 - 10
of 38
pro vyhledávání: '"Coghi, Michele"'
In this work we show that rough stochastic differential equations (RSDEs), as introduced by Friz, Hocquet, and L\^e (2021), are Malliavin differentiable. We use this to prove existence of a density when the diffusion coefficients satisfies standard e
Externí odkaz:
http://arxiv.org/abs/2402.12056
Autor:
Coghi, Michele, Maurelli, Mario
We consider the 2D Euler equations on $\R^2$ in vorticity form, with unbounded initial vorticity, perturbed by a suitable non-smooth Kraichnan transport noise, with regularity index $\alpha\in (0,1)$. We show weak existence for every $\dot{H}^{-1}$ i
Externí odkaz:
http://arxiv.org/abs/2308.03216
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 driving rough path. This setting allows us to prove well-posedness as well
Externí odkaz:
http://arxiv.org/abs/2107.06621
Autor:
Coghi, Michele, Dreyer, Wolfgang, Gajewski, Paul, Guhlke, Clemens, Friz, Peter, Maurelli, Mario
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 interaction, which keeps the average position prescribed, and the reflecti
Externí odkaz:
http://arxiv.org/abs/2102.12315
Autor:
Coghi, Michele, Maurelli, Mario
Publikováno v:
Stochastics and Dynamics (2020)
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 vortices driven by a regularized Biot-Savart kernel and the same common no
Externí odkaz:
http://arxiv.org/abs/1912.07233
Autor:
Coghi, Michele, Nilssen, Torstein
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 study the equation we build a self-contained framework of non-linear
Externí odkaz:
http://arxiv.org/abs/1905.07270
Autor:
Coghi, Michele, Gess, Benjamin
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 mean field limit of weakly interacting diffusions with common noise. T
Externí odkaz:
http://arxiv.org/abs/1904.07894
Publikováno v:
Ann. Appl. Probab., Volume 30, Number 5 (2020), 2355-2392
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 some concrete problems in battery modelling [23], and also by recent
Externí odkaz:
http://arxiv.org/abs/1812.11773
The 3D Euler equations, precisely local smooth solutions of class $H^s$ with $s>5/2$, are obtained as a mean field limit of finite families of interacting curves, the so called vortex filaments, described by means of the concept of $1$-currents. This
Externí odkaz:
http://arxiv.org/abs/1711.01414
Publikováno v:
The Annals of Applied Probability, 2020 Oct 01. 30(5), 2355-2392.
Externí odkaz:
https://www.jstor.org/stable/26966010