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Preprints 2017

17047 Friedrich Götze, Anna Gusakova, Dmitry ZaporozhetsPDF

Random affine simplexes

Project: B5

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Random affine simplexes


Authors: Friedrich Götze, Anna Gusakova, Dmitry Zaporozhets Projects: B5
Submission Date: 22.12.2017 Submitter: Gernot Akemann
Download: PDF Link: 17047

17046 Friedrich Götze, Alexey Naumov, Alexander TikhomirovPDF

On local laws for non-hermitian random matrices and their products

Project: B5

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On local laws for non-hermitian random matrices and their products


Authors: Friedrich Götze, Alexey Naumov, Alexander Tikhomirov Projects: B5
Submission Date: 22.12.2017 Submitter: Gernot Akemann
Download: PDF Link: 17046

17045 Friedrich Götze, Alexey Naumov, Vladimir Spokoiny, Vladimir UlyanovPDF

Gaussian comparison and anti-concentration inequalities for norms of Gaussian random elements

Project: A4

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Gaussian comparison and anti-concentration inequalities for norms of Gaussian random elements


Authors: Friedrich Götze, Alexey Naumov, Vladimir Spokoiny, Vladimir Ulyanov Projects: A4
Submission Date: 22.12.2017 Submitter: Gernot Akemann
Download: PDF Link: 17045

17044 Sergey Bobkov, Friedrich Götze, Holger SambalePDF

Higher order concentration of measure

Project: A4

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Higher order concentration of measure


Authors: Sergey Bobkov, Friedrich Götze, Holger Sambale Projects: A4
Submission Date: 22.12.2017 Submitter: Gernot Akemann
Download: PDF Link: 17044

17043 Sergey Bobkov, Gennadiy P. Chistyakov, Friedrich GötzePDF

Berry-Esseen bounds for typical weighted sums

Project: A4

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Berry-Esseen bounds for typical weighted sums


Authors: Sergey Bobkov, Gennadiy P. Chistyakov, Friedrich Götze Projects: A4
Submission Date: 22.12.2017 Submitter: Gernot Akemann
Download: PDF Link: 17043

17042 Michael Baake, Timo Spindeler, Nicolae StrungaruPDF

Diffraction of compatible random substitutions in one dimension

Project: A6

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Diffraction of compatible random substitutions in one dimension


Authors: Michael Baake, Timo Spindeler, Nicolae Strungaru Projects: A6
Submission Date: 19.12.2017 Submitter: Sebastian Herr
Download: PDF Link: 17042

17041 Philipp Gohlke, Dan Rust, Timo SpindelerPDF

Shifts of finite type and random substitutions

Project: A6

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Shifts of finite type and random substitutions


Authors: Philipp Gohlke, Dan Rust, Timo Spindeler Projects: A6
Submission Date: 19.12.2017 Submitter: Michael Baake
Download: PDF Link: 17041

17040 Mario Kieburg, Peter J. Forrester, Jesper IpsenPDF

Multiplicative Convolution of Real Asymmetric and Real Antisymmetric Matrices

Project: C6

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Multiplicative Convolution of Real Asymmetric and Real Antisymmetric Matrices


Authors: Mario Kieburg, Peter J. Forrester, Jesper Ipsen Projects: C6
Submission Date: 14.12.2017 Submitter: Gernot Akemann
Download: PDF Link: 17040

17039 Gernot Akemann, Milan CikovicPDF

Products of random matrices from fixed trace and induced Ginibre ensembles

Project: B5

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Products of random matrices from fixed trace and induced Ginibre ensembles


Authors: Gernot Akemann, Milan Cikovic Projects: B5
Submission Date: 14.12.2017 Submitter: Friedrich Götze
Download: PDF Link: 17039

17038 Gernot Akemann, Eugene StrahovPDF

Product matrix processes for coupled multi-matrix models and their hard edge scaling limits

Project: C6

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Product matrix processes for coupled multi-matrix models and their hard edge scaling limits


Authors: Gernot Akemann, Eugene Strahov Projects: C6
Submission Date: 14.12.2017 Submitter: Friedrich Götze
Download: PDF Link: 17038

17037 Tiziano De Angelis, Giorgio FerrariPDF

Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

Project: C4

Published: Advances of Applied Probability 50, no. 2 (2018)

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Stochastic nonzero-sum games: a new connection between singular control and optimal stopping


Authors: Tiziano De Angelis, Giorgio Ferrari Projects: C4
Submission Date: 12.12.2017 Submitter: Frank Riedel
Download: PDF Link: 17037
Published: Advances of Applied Probability 50, no. 2 (2018)

17036 Giorgio Ferrari, Tiziano VargioluPDF

On the Singular Control of Exchange Rates

Project: C4

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On the Singular Control of Exchange Rates


Authors: Giorgio Ferrari, Tiziano Vargiolu Projects: C4
Submission Date: 07.12.2017 Submitter: Frank Riedel
Download: PDF Link: 17036

17035 Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire QuenezPDF

Optimal Stopping with $f$-Expectations: the Irregular Case

Project: C3

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Optimal Stopping with $f$-Expectations: the Irregular Case


Authors: Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez Projects: C3
Submission Date: 06.12.2017 Submitter: Giorgio Ferrari
Download: PDF Link: 17035

17034 Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire QuenezPDF

Doubly Reflected BSDEs and $\mathcal{E}^f$-Dynkin Games: Beyond the Right-continuous Case

Project: C3

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Doubly Reflected BSDEs and $\mathcal{E}^f$-Dynkin Games: Beyond the Right-continuous Case


Authors: Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez Projects: C3
Submission Date: 06.12.2017 Submitter: Giorgio Ferrari
Download: PDF Link: 17034

17033 Michael Baake, Michael Coons, Neil ManiboPDF

Binary constant-length substitutions and Mahler measures of Borwein polynomials

Project: A6

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Binary constant-length substitutions and Mahler measures of Borwein polynomials


Authors: Michael Baake, Michael Coons, Neil Manibo Projects: A6
Submission Date: 01.12.2017 Submitter: Sebastian Herr
Download: PDF Link: 17033

17032 Dan Rust, Timo SpindelerPDF

Dynamical systems arising from random substitutions

Project: A6

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Dynamical systems arising from random substitutions


Authors: Dan Rust, Timo Spindeler Projects: A6
Submission Date: 01.12.2017 Submitter: Michael Baake
Download: PDF Link: 17032

17031 Patrick Beißner, Qian Lin, Frank RiedelPDF

Dynamically Consistent $\alpha$-Maxmin Expected Utility

Project: C3

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Dynamically Consistent $\alpha$-Maxmin Expected Utility


Authors: Patrick Beißner, Qian Lin, Frank Riedel Projects: C3
Submission Date: 01.12.2017 Submitter: Giorgio Ferrari
Download: PDF Link: 17031

17030 Patrick Beißner, Frank RiedelPDF

Non Implementability of Arrow-Debreu Equilibria by Continuous Trading under Volatility Uncertainty

Project: C5

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Non Implementability of Arrow-Debreu Equilibria by Continuous Trading under Volatility Uncertainty


Authors: Patrick Beißner, Frank Riedel Projects: C5
Submission Date: 01.12.2017 Submitter: Giorgio Ferrari
Download: PDF Link: 17030

17029 Wolfhard Hansen, Ivan NetukaPDF

Semipolar sets and intrinsic Hausdorff measure

Project: A3

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Semipolar sets and intrinsic Hausdorff measure


Authors: Wolfhard Hansen, Ivan Netuka Projects: A3
Submission Date: 27.11.2017 Submitter: Alexander Grigor'yan
Download: PDF Link: 17029

17028 Patrick Beißner, Frank RiedelPDF

Equilibria under Knightian Price Uncertainty

Project: C5

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Equilibria under Knightian Price Uncertainty


Authors: Patrick Beißner, Frank Riedel Projects: C5
Submission Date: 27.11.2017 Submitter: Giorgio Ferrari
Download: PDF Link: 17028

17027 Vladimir Bogachev, Michael Röckner, Stanislav ShaposhnikovPDF

Convergence in Variation of Solutions of nonlinear Focker-Planck-Kolmogorov Equations to Stationary Measures

Project: A5

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Convergence in Variation of Solutions of nonlinear Focker-Planck-Kolmogorov Equations to Stationary Measures


Authors: Vladimir Bogachev, Michael Röckner, Stanislav Shaposhnikov Projects: A5
Submission Date: 20.11.2017 Submitter: Alexander Grigor'yan
Download: PDF Link: 17027

17026 Giorgio FerrariPDF

On a Class of Singular Stochastic Control Problems for Reflected Diffusions

Project: C4

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On a Class of Singular Stochastic Control Problems for Reflected Diffusions


Authors: Giorgio Ferrari Projects: C4
Submission Date: 10.11.2017 Submitter: Frank Riedel
Download: PDF Link: 17026

17025 Tiziano De Angelis, Giorgio Ferrari, Saïd HamadènePDF

A note on a new existence result for reflected BSDEs with interconnected obstacles

Project: C4

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A note on a new existence result for reflected BSDEs with interconnected obstacles


Authors: Tiziano De Angelis, Giorgio Ferrari, Saïd Hamadène Projects: C4
Submission Date: 11.10.2017 Submitter: Frank Riedel
Download: PDF Link: 17025

17024 Wei Liu, Michael Röckner, José Luís da SilvaPDF

Quasi-Linear (Stochastic) Partial Differential Equations with Time-Fractional Derivatives

Project: A5, B1

Published: SIAM J. Math. Anal. 50, no. 3 (2018), 2588-2607

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Quasi-Linear (Stochastic) Partial Differential Equations with Time-Fractional Derivatives


Authors: Wei Liu, Michael Röckner, José Luís da Silva Projects: A5, B1
Submission Date: 10.10.2017 Submitter: Moritz Kaßmann
Download: PDF Link: 17024
Published: SIAM J. Math. Anal. 50, no. 3 (2018), 2588-2607

17023 Viorel Barbu, Michael RöcknerPDF

Nonlinear Fokker-Planck equations driven by Gaussian linear multiplicative noise

Project: B1

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Nonlinear Fokker-Planck equations driven by Gaussian linear multiplicative noise


Authors: Viorel Barbu, Michael Röckner Projects: B1
Submission Date: 10.10.2017 Submitter: Moritz Kaßmann
Download: PDF Link: 17023

17022 Michael Baake, Uwe Grimm, Neil ManiboPDF

Spectral analysis of a family of binary inflation rules

Project: A6

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Spectral analysis of a family of binary inflation rules


Authors: Michael Baake, Uwe Grimm, Neil Manibo Projects: A6
Submission Date: 28.09.2017 Submitter: Sebastian Herr
Download: PDF Link: 17022

17021 Timothy Candy, Sebastian HerrPDF

Conditional large data scattering results for the Dirac-Klein-Gordon system

Project: A1

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Conditional large data scattering results for the Dirac-Klein-Gordon system


Authors: Timothy Candy, Sebastian Herr Projects: A1
Submission Date: 28.09.2017 Submitter: Michael Baake
Download: PDF Link: 17021

17020 Timothy Candy, Sebastian HerrPDF

On the Majorana condition for nonlinear Dirac systems

Project: A1

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On the Majorana condition for nonlinear Dirac systems


Authors: Timothy Candy, Sebastian Herr Projects: A1
Submission Date: 28.09.2017 Submitter: Michael Baake
Download: PDF Link: 17020

17019 Hanwu Li, Shige Peng, Abdoulaye Soumana Hima PDF

Reflected Solutions of BSDEs Driven by $G$-Brownian Motion

Project: C5

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Reflected Solutions of BSDEs Driven by $G$-Brownian Motion


Authors: Hanwu Li, Shige Peng, Abdoulaye Soumana Hima Projects: C5
Submission Date: 22.09.2017 Submitter: Giorgio Ferrari
Download: PDF Link: 17019

17018 Anthony Lecavil, Nadia Oudjane, Francesco RussoPDF

Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Project: B1

Published: Monte Carlo Methods Appl. 24, no. 1 (2018), 55-70

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Monte-Carlo Algorithms for Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations


Authors: Anthony Lecavil, Nadia Oudjane, Francesco Russo Projects: B1
Submission Date: 25.01.2017 Submitter: Michael Röckner
Download: PDF Link: 17018
Published: Monte Carlo Methods Appl. 24, no. 1 (2018), 55-70

17017 Xing Huang, Michael Röckner, Feng-Yu WangPDF

Nonlinear Fokker–Planck equations for Probability Measures on Path Space and Path-Distribution Dependent SDEs

Project: A5

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Nonlinear Fokker–Planck equations for Probability Measures on Path Space and Path-Distribution Dependent SDEs


Authors: Xing Huang, Michael Röckner, Feng-Yu Wang Projects: A5
Submission Date: 13.09.2017 Submitter: Alexander Grigor'yan
Download: PDF Link: 17017

17016 Svetlana Vladimirovna Anulova, H. Mai, Alexander VeretennikovPDF

Yet again on iteration improvement for averaged expected cost control for 1D ergodic diffusions

Project: A5, B1

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Yet again on iteration improvement for averaged expected cost control for 1D ergodic diffusions


Authors: Svetlana Vladimirovna Anulova, H. Mai, Alexander Veretennikov Projects: A5, B1
Submission Date: 02.09.2017 Submitter: Michael Röckner
Download: PDF Link: 17016

17015 Yuliya Mishura, Alexander VeretennikovPDF

Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations

Project: A5, B1

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Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations


Authors: Yuliya Mishura, Alexander Veretennikov Projects: A5, B1
Submission Date: 29.08.2017 Submitter: Michael Röckner
Download: PDF Link: 17015

17014 Alexander VeretennikovPDF

On SPDE and backward filtering equations for SDE systems (direct approach) - 2

Project: A5, B1

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On SPDE and backward filtering equations for SDE systems (direct approach) - 2


Authors: Alexander Veretennikov Projects: A5, B1
Submission Date: 29.08.2017 Submitter: Michael Röckner
Download: PDF Link: 17014

17013 Benjamin GessPDF

Sobolev regularity for the Porous Medium equation with a force

Project: B1

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Sobolev regularity for the Porous Medium equation with a force


Authors: Benjamin Gess Projects: B1
Submission Date: 27.08.2017 Submitter: Michael Röckner
Download: PDF Link: 17013

17012 Khalil Chouk, Benjamin GessPDF

Path-by-Path regularization by noise for scalar conservation laws

Project: B1

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Path-by-Path regularization by noise for scalar conservation laws


Authors: Khalil Chouk, Benjamin Gess Projects: B1
Submission Date: 27.08.2017 Submitter: Michael Röckner
Download: PDF Link: 17012

17011 Benjamin Gess, Xavier LamyPDF

Regularity of solutions to scalar conservation laws with a force

Project: B1

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Regularity of solutions to scalar conservation laws with a force


Authors: Benjamin Gess, Xavier Lamy Projects: B1
Submission Date: 27.08.2017 Submitter: Michael Röckner
Download: PDF Link: 17011

17010 Giuseppe Da Prato, Franco Flandoli, Michael RöcknerPDF

Existence of absolutely continuous solutions for continuity equations in Hilbert spaces

Project: A5

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Existence of absolutely continuous solutions for continuity equations in Hilbert spaces


Authors: Giuseppe Da Prato, Franco Flandoli, Michael Röckner Projects: A5
Submission Date: 23.08.2017 Submitter: Friedrich Götze
Download: PDF Link: 17010

17009 Viorel Barbu, Michael Röckner, Deng ZhangPDF

Optimal bilinear control of nonlinear stochastic Schrödinger equations driven by linear multiplicative noise

Project: B1

To appear: The Annals of Probability (2017)

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Optimal bilinear control of nonlinear stochastic Schrödinger equations driven by linear multiplicative noise


Authors: Viorel Barbu, Michael Röckner, Deng Zhang Projects: B1
Submission Date: 16.08.2017 Submitter: Sebastian Herr
Download: PDF Link: 17009
To appear: The Annals of Probability (2017)

17008 Feng-Yu WangPDF

Distribution-Dependent SDEs for Landau Type Equations

Project: A5

Published: Stochastic Process. Appl. 128, no. 2 (2018), 595-621

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Distribution-Dependent SDEs for Landau Type Equations


Authors: Feng-Yu Wang Projects: A5
Submission Date: 16.08.2017 Submitter: Michael Röckner
Download: PDF Link: 17008
Published: Stochastic Process. Appl. 128, no. 2 (2018), 595-621

17007 Michael Röckner, Bo Wu, Rongchan Zhu, Xiangchan ZhuPDF

Stochastic Heat Equations with Values in a Riemannian Manifold

Project: B1, B2

To appear: Atti Accad. Naz. Lincei Rend. Lincei Mat. Appl. (2017)

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Stochastic Heat Equations with Values in a Riemannian Manifold


Authors: Michael Röckner, Bo Wu, Rongchan Zhu, Xiangchan Zhu Projects: B1, B2
Submission Date: 15.08.2017 Submitter: Friedrich Götze
Download: PDF Link: 17007
To appear: Atti Accad. Naz. Lincei Rend. Lincei Mat. Appl. (2017)

17006 Giorgio Fabbri, Francesco RussoPDF

HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition

Project: B1

Published: SIAM J. Control Optim. 55, no. 6 (2017), 4072-4091

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HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition


Authors: Giorgio Fabbri, Francesco Russo Projects: B1
Submission Date: 15.08.2017 Submitter: Michael Röckner
Download: PDF Link: 17006
Published: SIAM J. Control Optim. 55, no. 6 (2017), 4072-4091

17005 Adrien Barasso, Francesco RussoPDF

A note on time-dependent additive functionals

Project: B1

Published: Commun. Stoch. Anal. 11, no. 3 (2017), 313-334

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A note on time-dependent additive functionals


Authors: Adrien Barasso, Francesco Russo Projects: B1
Submission Date: 15.08.2017 Submitter: Michael Röckner
Download: PDF Link: 17005
Published: Commun. Stoch. Anal. 11, no. 3 (2017), 313-334

17004 Timothy CandyPDF

Multi-scale bilinear restriction estimates for general phases

Project: A1

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Multi-scale bilinear restriction estimates for general phases


Authors: Timothy Candy Projects: A1
Submission Date: 28.07.2017 Submitter: Sebastian Herr
Download: PDF Link: 17004

17003 Giorgio Ferrari, Shuzhen YangPDF

On an Optimal Extraction problem with Regime Switching

Project: C4

Published: Advances of Applied Probability 50, no. 3 (2018)

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On an Optimal Extraction problem with Regime Switching


Authors: Giorgio Ferrari, Shuzhen Yang Projects: C4
Submission Date: 19.07.2017 Submitter: Frank Riedel
Download: PDF Link: 17003
Published: Advances of Applied Probability 50, no. 3 (2018)

17002 Giorgio Ferrari, Torben KochPDF

On a Strategic Model of Pollution Control

Project: C4

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On a Strategic Model of Pollution Control


Authors: Giorgio Ferrari, Torben Koch Projects: C4
Submission Date: 19.07.2017 Submitter: Frank Riedel
Download: PDF Link: 17002

17001 Matteo Burzoni, Frank Riedel, Mete SonerPDF

Viability and Arbitrage under Knightian Uncertainty

Project: C5

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Viability and Arbitrage under Knightian Uncertainty


Authors: Matteo Burzoni, Frank Riedel, Mete Soner Projects: C5
Submission Date: 18.07.2017 Submitter: Giorgio Ferrari
Download: PDF Link: 17001

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