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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 existe...
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 d...
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...
Let $A \subset \mathbb{R}^d$, $d\ge 2$, be a compact convex set and let $\mu = \varrho_0 dx$ be a probability measure on $A$ equivalent to the restriction of Lebesgue measure. Let $\nu = \varrho_1 dx$ be a probability measure on $B_r := \{x\colon |x| \le r\}$ equivalent to the restriction of Lebesgue measure. We prove that there exists a mapping $T$ such that $\nu = \mu \circ T^{-1}$ and $T = \phi \cdot {\rm n}$, where $\phi\colon A \to [0,r]$ is a continuous potential with convex sub-level s...
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...
Two classes of topological spaces are introduced on which every probability Radon measure possesses a uniformly distributed sequence or a uniformly tight uniformly distributed sequence. It is shown that these classes are stable under multiplication by completely regular Souslin spaces
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 Sob...
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.
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 o...
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