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Stefania Ugolini

Publications and source records attributed to Stefania Ugolini.

At least 19 recordsLinked to original sources
arXiv2026

A criterion for proving entropy chaos on path space

A criterion for proving a strong form of propagation of chaos on the path space, known as entropy chaos, for a general interacting diffusion system is proposed. Our analysis focuses on the class of conservative diffusions introduced by Carlen, which are characterized by infinitesimal characteristic pairs, that is, a time-marginal probability density and a current velocity field. A key property of this broad class is that the processes remain diffusions under time-reversal. We prove that, given a suitable bound on the relative entropy (with respect to the Wiener measure) and the weak convergence of both drifts and fixed-time marginal densities, strong entropy chaos at the process level is achieved in the infinite particle limit, provided the limit drift satisfies a specific regularity condition. This stochastic framework encompasses various singular interacting particle systems and their related asymptotic scenarios.

math.PR↗
arXiv2026

Invariance properties of Brownian motion via Lie's symmetries

The invariance properties of Brownian motion are investigated and revisited within a recent Lie symmetry approach to stochastic differential equations. Some notable properties of the process can be recovered by a related integration by parts formula developed in the same research area.

math.PR↗
arXiv2026

Well-posedness of stochastic reacting particle systems with non-local and Lennard-Jones interactions

We establish well-posedness results for systems of a finite number of stochastic particles driven by independent Brownian motions and subject to a strongly singular drift induced by a Lennard-Jones interaction. In addition to the pairwise force, the dynamics includes a nonlocal drift mediated by an environmental field, whose evolution is coupled to the particle configuration through a regularized empirical density. We then extend the analysis to a reaction model in which the switching (or killing) rate also depends on the field. An interlacing technique is considered for establishing the well-posedness of the full system. The model is motivated by the challenge to provide a stochastic microscopic description of the sulphation phenomenon in cultural heritage materials.

math.PR↗
arXiv2026

Path-dependent McKean PDEs with reaction: a discussion on probabilistic interpretations and particle approximations

In this paper, we discuss and compare two probabilistic approaches for associating a stochastic differential equation with a McKean-type partial differential equation featuring a reaction term and path-dependent coefficients. The non-conservative nature of the macroscopic dynamics leads to two possible interpretations of the sub-probability measure and of the associated SDE equation at the microscale: on the one hand, as a measure-valued solution of a Feynman-Kac-type equation; on the other hand, as the sub-probability associated with an SDE defined up to a survival time with a reaction-dependent rate. These different interpretations give rise to two different microscopic stochastic models and therefore to two different techniques of probabilistic analysis. Finally, by considering the interacting particle systems associated with both models, we discuss how their empirical densities provide two different kernel estimators for the PDE solution.

math.PR↗
arXiv2025

Strong solutions to singular SDEs and application to the Lennard-Jones potential

We prove existence and uniqueness of strong solutions to a large class of autonomous stochastic differential equations on an open domain, where the drift exhibits a singular behaviour at the boundary. The main result involves a drift composed of the gradient of a singular potential and an additional possibly singular force. In order to achieve the well-posedness of the model, we employ a probabilistic regularization approach. Under suitable conditions, it is shown that the explosion time of the solution process is infinite. The result is finally applied to the case of an interacting particle system subject to a Lennard-Jones potential, which is singular at the origin.

math.PR↗
arXiv2025

Killed path-dependent McKean-Vlasov SDEs for a probabilistic representation of non-conservative McKean PDEs

A McKean-Vlasov stochastic differential equation subject to killing associated to a regularised non-conservative and path-dependent nonlinear parabolic partial differential equation is studied. The existence and pathwise uniqueness of a strong solution and the regularity properties of its sub-probability law are proved. The density of such a law may be seen as a weak solution of the considered PDE. The well-posedness of the associated particle system is also discussed.

math.PR↗
arXiv2025

Discrete reaction-diffusion system with stochastic dynamical boundary conditions: convergence results

A space discrete approximation to a highly nonlinear reaction-diffusion system endowed with a stochastic dynamical boundary condition is analyzed and the convergence of the discrete scheme to the solution to the corresponding continuum random system is established. A splitting strategy allows us to decompose the random system into a space-discrete heat equation with a stochastic boundary condition, and a nonlinear and nonlocal space-discrete differential system coupled with the first one and with deterministic initial and boundary conditions. The convergence result is obtained by first establishing some a priori estimates for both space-discrete splitted variables and then exploiting compact embedding theorems for time-space Besov spaces on the positive lattice. The convergence of a fully discrete approximation of the random system is also discussed.

math.PR↗
arXiv2025

A stochastic approach to time-dependent BEC

We propose a stochastic description of the dynamics of a Bose-Einstein condensate within the context of Nelson stochastic mechanics. We start from the $N$ interacting conservative diffusions, associated with the $N$ Bose particles, and take an infinite particle limit. We address several aspects of this formulation. First, we consider the problem of extending to a system with self-interaction the variational formulation of Nelson stochastic mechanics due to Guerra and Morato. In this regard we discuss two possible extensions, one based on a doubling procedure and another based on a constraint Eulerian type variational principle. Then we consider the infinite particle limit from the point of view of the $N$-particles Madelung equations. Since conservative diffusions can be identified with proper infinitesimal characteristics pairs $(ρ_N(t), v_N(t))$, a time marginal probability density and a current velocity field, respectively, we consider a finite Madelung hierarchy for the marginals pairs $(ρ_{N,n}(t), v_{N,n}(t))$, obtained by properly conditioning the processes. The infinite Madelung hierarchy arises from the finite one by performing, for each fixed $n$, a mean-field scaling limit in $N$. Finally, we introduce a $n$-particle conditioned diffusions which naturally parallels the quantum mechanical approach and is a new approach within the context of Nelson stochastic mechanics. We then prove the convergence, in the infinite particle limit, of the law of such a conditioned process to the law of a self-interacting diffusion which describes the condensate.

math.PR↗
arXiv2025

Random rotational invariance of integration by parts formulas within a Bismut-type approach

The stochastic rotational invariance of an integration by parts formula inspired by the Bismut approach to Malliavin calculus is proved in the framework of the Lie symmetry theory of stochastic differential equations. The non-trivial effect of the rotational invariance of the driving Brownian motion in the derivation of the integration by parts formula is discussed and the invariance property of the formula is shown via applications to some explicit two-dimensional Brownian motion-driven stochastic models.

math.PR↗
arXiv2025

Well-posedness of a reaction-diffusion model with stochastic dynamical boundary conditions

We study the well-posedness of a nonlinear reaction diffusion partial differential equation system on the half-line coupled with a stochastic dynamical boundary condition, a random system arising from the description of the chemical reaction of sulphur dioxide with calcium carbonate stones. The boundary condition is given by a Jacobi process, solution to a stochastic differential equation with a mean-reverting drift and a bounded diffusion coefficient. The main result is the global existence and the pathwise uniqueness of mild solutions. The proof relies on a splitting strategy, which allows to deal with the low regularity of the dynamical boundary condition.

math.PR↗
arXiv2025

A hybrid model of sulphation reactions: stochastic particles in a random continuum environment

We present a hybrid stochastic-continuum model to study the sulphation of calcium carbonate and the consequent formation of gypsum, a key phenomenon driving marble deterioration. While calcium carbonate and gypsum are continuous random fields evolving according to random ordinary differential equations, the dynamics of sulfuric acid particles follows Itô-type stochastic differential equations. The particle evolution incorporates both strong repulsion between particles via the Lennard-Jones potential, and non-local interactions with the continuum environment. The particle-continuum coupling is also achieved through the chemical reaction, modeled as a Poisson counting process. We simulate the spatiotemporal evolution of this corrosion process using the Euler-Maruyama algorithm with varying initial data combined with finite elements to take care of the spatial discretization. Despite symmetric initial data, our simulations highlight an uneven progression of corrosion due to the stochastic influences in the model.

physics.chem-ph↗
arXiv2024

A numerical study of a PDE-ODE system with a stochastic dynamical boundary condition: a nonlinear model for sulphation phenomena

We investigate the qualitative behaviour of the solutions of a stochastic boundary value problem on the half-line for a nonlinear system of parabolic reaction-diffusion equations, from a numerical point of view. The model describes the chemical aggression of calcium carbonate stones under the attack of sulphur dioxide. The dynamical boundary condition is given by a Pearson diffusion, which is original in the context of the degradation of cultural heritage. We first discuss a scheme based on the Lamperti transformation for the stochastic differential equation to preserve the boundary and a splitting strategy for the partial differential equation based on recent theoretical results. Positiveness, boundedness, and stability are stated. The impact of boundary noise on the solution and its qualitative behaviour both in the slow and fast regimes is discussed in several numerical experiments.

math.NA↗
arXiv2024

A Feynman--Kac representation of a non-conservative and path-dependent nonlinear reaction-diffusion-advection system

We provide a probabilistic interpretation of a weakly parabolic PDE--ODE system with a reaction term, which makes the dynamics non-conservative. As a consequence, the solution is represented as the density of a sub-probability measure solving a Feynman--Kac-type equation, where the time-marginal law of the underlying process is weighted by a survival probability induced by the reaction. This leads to a coupled stochastic formulation consisting of a non-Markovian stochastic differential equation with path-dependent coefficients and the associated Feynman--Kac-type equation. We prove well-posedness of the resulting stochastic system. Finally, we introduce the corresponding interacting particle system and show that its empirical measure, suitably weighted by the survival probability associated with the reaction rate, converges to the limiting sub-probability.

math.PR↗
arXiv2023

Integration by parts formulas and Lie's symmetries of SDEs

A strong quasi-invariance principle and a finite-dimensional integration by parts formula as in the Bismut approach to Malliavin calculus are obtained through a suitable application of Lie's symmetry theory to autonomous stochastic differential equations. The main stochastic, geometrical and analytical aspects of the theory are discussed and applications to some Brownian motion driven stochastic models are provided.

math.PR↗
arXiv2021

Mean-field limit for a class of stochastic ergodic control problems

We study a family of McKean-Vlasov (mean-field) type ergodic optimal control problems with linear control, and quadratic dependence on control of the cost function. For this class of problems we establish existence and uniqueness of an optimal control. We propose an $N$-particles Markovian optimal control problem approximating the McKean-Vlasov one and we prove the convergence in relative entropy, total variation and Wasserstein distance of the law of the former to the law of the latter when $N$ goes to infinity. Some McKean-Vlasov optimal control problems with singular cost function and the relation of these problems with the mathematical theory of Bose-Einstein condensation is also established.

math.PR↗
arXiv2021

Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries

A reduction procedure for stochastic differential equations based on stochastic symmetries including Girsanov random transformations is proposed. In this setting, a new notion of reconstruction is given, involving the expectation values of functionals of solution to the SDE and a reconstruction theorem for general stochastic symmetries is proved. Moreover, the notable case of reduction under the closed subclass of quasi Doob transformations is presented. The theoretical results are applied to stochastic models relevant in the applications.

math.PR↗
arXiv2021

Noether theorem in stochastic optimal control problems via contact symmetries

We establish a generalization of Noether theorem for stochastic optimal control problems. Exploiting the tools of jet bundles and contact geometry, we prove that from any (contact) symmetry of the Hamilton-Jacobi-Bellman equation associated to an optimal control problem it is possible to build a related local martingale. Moreover, we provide an application of the theoretical results to Merton's optimal portfolio problem, showing that this model admits infinitely many conserved quantities in the form of local martingales.

math.OC↗