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Xicheng Zhang

Publications and source records attributed to Xicheng Zhang.

106 records · Page 6Linked to original sources
arXiv2011

Discontinuous Stochastic Differential Equations Driven by Lévy Processes

In this article we prove the pathwise uniqueness for stochastic differential equations in $\mR^d$ with time-dependent Sobolev drifts, and driven by symmetric $α$-stable processes provided that $α\in(1,2)$ and its spectral measure is non-degenerate. In particular, the drift is allowed to have jump discontinuity when $α\in(\frac{2d}{d+1},2)$. Our proof is based on some estimates of Krylov's type for purely discontinuous semimartingales.

math.PR↗
arXiv2010

Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients

In this article we prove the existence and uniqueness for degenerate stochastic differential equations with Sobolev (possibly singular) drift and diffusion coefficients in a generalized sense. In particular, our result covers the classical DiPerna-Lions flows and, we also obtain the well-posedness for degenerate Fokker-Planck equations with irregular coefficients. Moreover, a large deviation principle of Freidlin-Wenzell type for this type of SDEs is established.

math.PR↗
arXiv2010

Stochastic Tamed 3D Navier-Stokes Equations: Existence, Uniqueness and Ergodicity

In this paper, we prove the existence of a unique strong solution to a stochastic tamed 3D Navier-Stokes equation in the whole space as well as in the periodic boundary case. Then, we also study the Feller property of solutions, and prove the existence of invariant measures for the corresponding Feller semigroup in the case of periodic conditions. Moreover, in the case of periodic boundary and degenerated additive noise, using the notion of asymptotic strong Feller property proposed by Hairer and Mattingly \cite{Ha-Ma}, we prove the uniqueness of invariant measures for the corresponding transition semigroup.

math.PR↗
arXiv2010

Quasi Invariant Stochastic Flows of SDEs with Non-smooth Drifts on Riemannian Manifolds$^*$

In this article we prove that stochastic differential equation (SDE) with Sobolev drift on compact Riemannian manifold admits a unique $ν$-almost everywhere stochastic invertible flow, where $ν$ is the Riemannian measure, which is quasi-invariant with respect to $ν$. In particular, we extend the well known DiPerna-Lions flows of ODEs to SDEs on Riemannian manifold.

math.PR↗
arXiv2010

Stochastic Monge-Kantorovich Problem and its Duality

In this article we prove the existence of a stochastic optimal transference plan for a stochastic Monge-Kantorovich problem by measurable selection theorem. A stochastic version of Kantorovich duality and the characterization of stochastic optimal transference plan are also established. Moreover, Wasserstein distance between two probability kernels are discussed too.

math.PR↗
arXiv2009

Stochastic Partial Differential Equations with Unbounded and Degenerate Coefficients

In this article, using DiPerna-Lions theory \cite{Di-Li}, we investigate linear second order stochastic partial differential equations with unbounded and degenerate non-smooth coefficients, and obtain several conditions for existence and uniqueness. Moreover, we also prove the $L^1$-integrability and a general maximal principle for generalized solutions of SPDEs. As applications, we study nonlinear filtering problem and also obtain the existence and uniqueness of generalized solutions for a degenerate nonlinear SPDE.

math.PR↗
arXiv2009

Stochastic Flows of SDEs with Irregular Coefficients and Stochastic Transport Equations

In this article we study (possibly degenerate) stochastic differential equations (SDE) with irregular (or discontiuous) coefficients, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere stochastic (invertible) flow associated with the SDE in the sense of Lebesgue measure. In the case of constant diffusions and BV drifts, we obtain such a result by studying the related stochastic transport equation. In the case of non-constant diffusions and Sobolev drifts, we use a direct method. In particular, we extend the recent results on ODEs with non-smooth vector fields to SDEs. Moreover, we also give a criterion for the existence of invariant measures for the associated transition semigroup.

math.PR↗
arXiv2009

Clark--Ocone formula and variational representation for Poisson functionals

In this paper we first prove a Clark--Ocone formula for any bounded measurable functional on Poisson space. Then using this formula, under some conditions on the intensity measure of Poisson random measure, we prove a variational representation formula for the Laplace transform of bounded Poisson functionals, which has been conjectured by Dupuis and Ellis [A Weak Convergence Approach to the Theory of Large Deviations (1997) Wiley], p. 122.

math.PR↗
arXiv2008

Stochastic Volterra Equations in Banach Spaces and Stochastic Partial Differential Equations

In this paper, we first study the existence-uniqueness and large deviation estimate of solutions for stochastic Volterra integral equations with singular kernels in 2-smooth Banach spaces. Then, we apply them to a large class of semilinear stochastic partial differential equations (SPDE) driven by Brownian motions as well as by fractional Brownian motions, and obtain the existence of unique maximal strong solutions (in the sense of SDE and PDE) under local Lipschitz conditions. Lastly, high order SPDEs in a bounded domain of Euclidean space, second order SPDEs on complete Riemannian manifolds, as well as stochastic Navier-Stokes equations are investigated.

math.PR↗
arXiv2008

A Stochastic Representation for Backward Incompressible Navier-Stokes Equations

By reversing the time variable we derive a stochastic representation for backward incompressible Navier-Stokes equations in terms of stochastic Lagrangian paths, which is similar to Constantin and Iyer's forward formulations in \cite{Co-Iy}. Using this representation, a self-contained proof of local existence of solutions in Sobolev spaces are provided for incompressible Navier-Stokes equations in the whole space. In two dimensions or large viscosity, an alternative proof to the global existence is also given. Moreover, a large deviation estimate for stochastic particle trajectories is presented when the viscosity tends to zero.

math.PR↗
arXiv2008

A Tamed 3D Navier-Stokes Equation in Domains

In this paper, we analyze a tamed 3D Navier-Stokes equation in uniform $C^2$-domains (not necessarily bounded), which obeys the scaling invariance principle, and prove the existence and uniqueness of strong solutions to this tamed equation. In particular, if there exists a bounded solution to the classical 3D Navier-Stokes equation, then this solution satisfies our tamed equation. Moreover, the existence of a global attractor for the tamed equation in bounded domains is also proved. As simple applications, some well known results for the classical Navier-Stokes equations in unbounded domains are covered.

math.AP↗
arXiv2008

Smooth Solutions of Non-linear Stochastic Partial Differential Equations

In this paper, we study the regularities of solutions of nonlinear stochastic partial differential equations in the framework of Hilbert scales. Then we apply our general result to several typical nonlinear SPDEs such as stochastic Burgers and Ginzburg-Landau's equations on the real line, stochastic 2D Navier-Stokes equations in the whole space and a stochastic tamed 3D Navier-Stokes equation in the whole space, and obtain the existence of their respectively smooth solutions.

math.PR↗
arXiv2008

Freidlin-Wentzell's Large Deviations for Stochastic Evolution Equations

We prove a Freidlin-Wentzell large deviation principle for general stochastic evolution equations with small perturbation multiplicative noises. In particular, our general result can be used to deal with a large class of quasi linear stochastic partial differential equations, such as stochastic porous medium equations and stochastic reaction diffusion equations with polynomial growth zero order term and $p$-Laplacian second order term.

math.PR↗
arXiv2008

On Stochastic Evolution Equations with non-Lipschitz Coefficients

In this paper, we study the existence and uniqueness of solutions for several classes of stochastic evolution equations with non-Lipschitz coefficients, that is, backward stochastic evolution equations, stochastic Volterra type evolution equations and stochastic functional evolution equations. In particular, the results can be used to treat a large class of quasi-linear stochastic equations, which includes the reaction diffusion and porous medium equations.

math.PR↗
arXiv2007

Tamed 3D Navier-Stokes Equation: Existence, Uniqueness and Regularity

In this paper, we prove the existence and uniqueness of a smooth solution to a tamed 3D Navier-Stokes equation in the whole space. In particular, if there exists a bounded smooth solution to the classical 3D Navier-Stokes equation, then this solution satisfies our tamed equation. Moreover, using this renormalized equation we can give a new construction for a suitable weak solution of the classical 3D Navier-Stokes equation introduced in [Scheffer: Hausdorff measure and the Navier-Stokes equations. Comm. Math. Phys., 1977] and [Caffarelli, Kohn, Nirenberg: Partial regularity of suitable weak solutions of the Navier-Stokes equations. Comm. Pure Appl. Math., 1982].

math.PR↗