scientific article

zbMath0426.60069MaRDI QIDQ3862204

Daniel W. Stroock, Srinivasa R. S. Varadhan

Publication date: 1979

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic differential equationlimit theoremsmartingale approachCameron-Martin-Girsanov formulamultidimensional diffusion processesstochastic control and filtering

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Limit theorems in probability theory (60F99) Stochastic systems and control (93Exx)

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\(L^q(L^p)\)-theory of stochastic differential equations, Well-posedness for a pseudomonotone evolution problem with multiplicative noise, On diffusion processes with \(B(\mathbb{R}^2,\mathrm{VMO})\) coefficients and ``good Green's functions of the corresponding operators, No arbitrage in continuous financial markets, Stochastic control of tidal dynamics equation with Lévy noise, Deterministic particle approximation for nonlocal transport equations with nonlinear mobility, Invariance principle for non-homogeneous random walks, Nonlinear Fokker-Planck equations for probability measures on path space and path-distribution dependent sdes, Stationary states in infinite volume with non-zero current, Closed-form likelihood expansions for multivariate diffusions, An effective criterion and a new example for ballistic diffusions in random environment, Periodic homogenization with an interface: the multi-dimensional case, Efficient large deviation estimation based on importance sampling, A numerical algorithm for a class of BSDEs via the branching process, On viscosity solutions of path dependent PDEs, Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions, Effective dynamics for a kinetic Monte-Carlo model with slow and fast time scales, On strong Markov property for Fleming-Viot processes, Fractional diffusion limit for a kinetic equation with an interface, Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach, A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options, Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift, Weak approximation of transformed stochastic gradient MCMC, Stochastic Lagrangian path for Leray's solutions of 3D Navier-Stokes equations, Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors, Markov chain approximations for one dimensional diffusions, Moderate deviation principles for unbounded additive functionals of distribution dependent SDEs, Markov selection for the stochastic compressible Navier-Stokes system, From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs, Long time energy transfer in the random Schrödinger equation, BSDEs with regime switching: weak convergence and applications, Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations, Optimal launch conditions: An optimal stochastic control problem, Convergence in distribution and Skorokhod convergence for the general theory of processes, A discrete non-linear Markov model for a population of interacting cells, An introduction to \textit{ABED}: agent-based simulation of evolutionary game dynamics, Convergence of Brownian motions on metric measure spaces under Riemannian curvature-dimension conditions, A discretized version of Krylov's estimate and its applications, Markov selection for constrained martingale problems, Stochastic ODEs and stochastic linear PDEs with critical drift: regularity, duality and uniqueness, Convergence of the follow-the-leader scheme for scalar conservation laws with space dependent flux, From coalescing random walks on a torus to Kingman's coalescent, Existence and uniqueness of degenerate SDEs with Hölder diffusion and measurable drift, On the multidimensional Black-Scholes partial differential equation, Measure distorted arrival rate risks and their rewards, Bounding flows for spherical spin glass dynamics, Procedure of stochastic approximation for the diffusion process with semi-Markov switchings, On the support of solutions to stochastic differential equations with path-dependent coefficients, Lyapunov criteria for the Feller-Dynkin property of martingale problems, The dimension of the boundary of super-Brownian motion, Cylindrical martingale problems associated with Lévy generators, On long term investment optimality, Markov selections for the magnetohydrodynamics and the Hall-magnetohydrodynamics systems, \(\rho\)-white noise solution to 2D stochastic Euler equations, Support theorem for stochastic differential equations with Sobolev coefficients, Nonexplosion and pathwise uniqueness of stochastic differential equation driven by continuous semimartingale with non-Lipschitz coefficients, Existence of strong solutions for Itô's stochastic equations via approximations: revisited, A note on stochastic semilinear equations and their associated Fokker-Planck equations, Lagrangian stochastic models with specular boundary condition, Arbitrage and duality in nondominated discrete-time models, On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time, Feynman-Kac formula under a finite entropy condition, The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck, Nonuniqueness in law for stochastic hypodissipative Navier-Stokes equations, Stochastic acceleration in a random time-dependent potential, Mean field games via controlled martingale problems: existence of Markovian equilibria, Sub and supercritical stochastic quasi-geostrophic equation, Fokker-Planck-Kolmogorov equations with a potential term on a domain, Stochastic analysis for a non-Markovian generator: an introduction, Global solvability of a networked integrate-and-fire model of McKean-Vlasov type, Large deviations for empirical measures of switching diffusion processes with small parameters, On the uniqueness of solutions to continuity equations, A partial history of the early development of continuous-time nonlinear stochastic systems theory, Nonlinear Fokker-Planck-Kolmogorov equations in Hilbert spaces, On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications, Introduction to Random Tug-of-War Games and PDEs, Probabilistic Representation for Solutions to Nonlinear Fokker--Planck Equations, Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function, Unnamed Item, Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions, Quantifying Model Uncertainties in Complex Systems, Monotonicity of the reflected Bessel transition density on the diagonal, An optimal control problem for a system with small noise, Transformation de Fourier et temps d'occupation browniens. (Fourier transformation and Brownian occupation time), Application of stochastic optimal control to the design of an electromagnetic actuator, ARCH models as diffusion approximations, Large deviations in stochastic heat-conduction processes provide a gradient-flow structure for heat conduction, Ergodicity Results for the Stochastic Navier–Stokes Equations: An Introduction, Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness, The continuous-time limit of score-driven volatility models, On diffusion processes with drift in \(L_d\), On an Optimal Stopping Problem for Multi-Parameter Diffusion Processes, Many-particle limit for a system of interaction equations driven by Newtonian potentials, On path-independent Girsanov transform, Stochastic differential equations and stochastic flows of diffeomorphisms, Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space, Poisson approximation of processes with locally independent increments and Markov switching, A restricted superposition principle for (non-)linear Fokker-Planck-Kolmogorov equations on Hilbert spaces, Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation, \(N\)-player games and mean field games of moderate interactions, Strong diffusion approximation in averaging with dynamical systems fast motions, On multidimensional stable-driven stochastic differential equations with Besov drift, Large deviations and gradient flows for the Brownian one-dimensional hard-rod system, Markov chain approximations for nonsymmetric processes, Heat kernel and gradient estimates for kinetic SDEs with low regularity coefficients, MFO-RIMS tandem workshop: Nonlocality in analysis, probability and statistics. Abstracts from the MFO-RIMS tandem workshop held March 20--26, 2022, A selection procedure for extracting the unique Feller weak solution of degenerate diffusions, Muller's ratchet clicks in finite time, Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition, On the Markovian projection in the Brunick-Shreve mimicking result, Nonconventional limit theorems in discrete and continuous time via martingales, Equilibrium fluctuations for a non gradient energy conserving stochastic model, Constructing sublinear expectations on path space, Second order backward stochastic differential equations with quadratic growth, Large deviation for a least squares estimator in a nonlinear regression model, AN APPLICATION OF THE PARTIAL MALLIAVIN CALCULUS TO BAOUENDI-GRUSHIN OPERATORS, Some parabolic PDEs whose drift is an irregular random noise in space, A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS, Reflecting Brownian Motion in a Cusp, Measures on Banach manifolds and supersymmetric quantum field theory, One dimensional stochastic differential equations with distributional drifts, Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients, On backward stochastic differential equations, Monte-Carlo simulation of stochastic differential systems - a geometrical approach, Markov selections for the 3D stochastic Navier-Stokes equations, Martingale transforms and \(L^p\)-norm estimates of Riesz transforms on complete Riemannian manifolds, Stochastic averaging with a flattened Hamiltonian: A Markov process on a stratified space (a whiskered sphere), Discrete approximations to reflected Brownian motion, On weak uniqueness for some diffusions with discontinuous coefficients, Properties of American option prices, Spectral gap and rate of convergence to equilibrium for a class of conditioned Brownian motions, Optimal asset--liability management with constraints: A dynamic programming approach, Brownian sheet and reflectionless potentials, Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type, Harnack inequality and heat kernel estimates on manifolds with curvature unbounded below, Equilibrium fluctuations for a system of harmonic oscillators with conservative noise, On characterisation of Markov processes via martingale problems, An invariance principle for isotropic diffusions in random environment, Gradient estimates for diffusion semigroups with singular coefficients, Non-Gaussian positive-definite matrix-valued random fields for elliptic stochastic partial differential operators, Edgeworth-type expansions for transition densities of Markov chains converging to diffusions, Wiener chaos solutions of linear stochastic evolution equations, Kolmogorov equations in infinite dimensions: well-posedness and regularity of solutions, with applications to stochastic generalized Burgers equations, Weak solutions to the stochastic porous media equation via Kolmogorov equations: the degenerate case, Markov selections and their regularity for the three-dimensional stochastic Navier-Stokes equations, Time-Averaging for Weakly Nonlinear CGL Equations with Arbitrary Potentials, A probabilistic interpretation and stochastic particle approximations of the 3-dimensional Navier-Stokes equations, Renormalized solutions of some transport equations with partially \(W^{1,1}\) velocities and applications, L p -Parabolic Regularity and Non-degenerate Ornstein-Uhlenbeck Type Operators, On weak uniqueness for some degenerate SDEs by global \(L^p\) estimates, A Pseudo-Markov Property for Controlled Diffusion Processes, Uniqueness problems for degenerate Fokker-Planck-Kolmogorov equations, A new existence result for second-order BSDEs with quadratic growth and their applications, Small time central limit theorems for semimartingales with applications, Weak solutions for forward-backward SDEs-a martingale problem approach, Langevin type limiting processes for adaptive MCMC, A weak convergence criterion for constructing changes of measure, Degenerate SDE with Hölder--Dini Drift and Non-Lipschitz Noise Coefficient, Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints, Modeling and Analysis of Switching Diffusion Systems: Past-Dependent Switching with a Countable State Space, On the Monotonicity Principle of Optimal Skorokhod Embedding Problem, Multi-skewed Brownian motion and diffusion in layered media, Barycenters of measures transported by stochastic flows, Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients, Hitting Times, Occupation Times, Trivariate Laws and the Forward Kolmogorov Equation for a One-Dimensional Diffusion with Memory, On diffusion approximation with discountinuous coefficients., Strong law of large numbers and mixing for the invariant distributions of measure-valued diffusions., A study of a class of stochastic differential equations with non-Lipschitzian coefficients, Estimates on the solution of a schrödinger equation and some applications, Rubber bands, pursuit games and shy couplings, Degenerate stochastic differential equations with Hölder continuous coefficients and super-Markov chains, On Stochastic Differential Equations with Locally Unbounded Drift, On the degenerate parabolic partial differential equations of nonlinear filtering, Unnamed Item, Adaptive weak approximation of stochastic differential equations, Volume and time doubling of graphs and random walks: The strongly recurrent case, Unnamed Item, A NOISY SYSTEM WITH A FLATTENED HAMILTONIAN AND MULTIPLE TIME SCALES, The Dirichlet Problem for Radially Homogeneous Elliptic Operators, Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process, Stochastic differential equations with reflecting boundary conditions, On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models, A viability approach to the skorohod problem, Reliability of Semi-Markov Systems with Asymptotic Merging Phase Space, Harnack inequalities for non-local operators of variable order, Approximate solutions for a class of stochastic evolution equations with variable delays. II, On uniqueness in law of solutions to stochastic evolution equations in hilbert spaces, Stochastic calculus for continuous additive functionals of zero energy, Optimal stopping and control with two kinds of boundary conditions: application to dynamic routeing in networks, On malliavin tensor fields, Two pursuers and one evader in the plane: A stochastic pursuit-evasion differential game, Unnamed Item, Hausdorff dimension of the sample path of the Westwater process, Long‐Time Behaviour of Langevin Algorithms with Time‐dependent Energy Function, Stochastic levi sums, La méthode d'approximation de Gauss-Galerkin en filtrage non linéaire, Approximation for diffusion in random fields, Random dynamical systems generated by coalescing stochastic flows on ℝ, Propagation of chaos for symmetric simple exclusions, Limit theorems for stochastic difference-differential equations, Hydrodynamical limit for a nongradient system: The generalized symmetric exclusion process, Diffusion of color in the simple exclusion process, Convergence of the random vortex method, A representation formula and regularizing properties for viscosity solutions of second-order fully nonlinear degenerate parabolic equations, Unstable invariant distributions for a class of stochastic delay equations, A counterexample in parabolic potential theory, Perturbations complexes de diffusions, DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS, EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING, Weak vorticity formulation of 2D Euler equations with white noise initial condition, The dead core for reaction-diffusion equations with convection and its connection with the first exit time of the related Markov diffusion process, Weak convergence and distributional assumptions for a general class of nonliner arch models, Brownian Motion With Polar Drift, Existence of Weak Solutions to Stochastic Differential Equations in the Plane with Continuous Coefficients, Distributed Learning of Wardrop Equilibria, Gaussian measures in traditional and not so traditional settings, Solutions to aggregation–diffusion equations with nonlinear mobility constructed via a deterministic particle approximation, Solving Semilinear Partial Differential Equations With Probabilistic Potential Theory, Forward-backward SDEs with discontinuous coefficients, Causal transport plans and their Monge–Kantorovich problems, CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹, A variation on the Donsker–Varadhan inequality for the principal eigenvalue, Reflected Brownian Motion in a Cone with Radially Homogeneous Reflection Field, On independent statistical decision problems and products of diffusions, Discrete-Time Semi-Markov Random Evolutions and their Applications, The viability theorem for stochastic differential inclusions², Mean stochastic comparison of diffusions, Unnamed Item, A Cameron-Martin Type Quasi-Invariance Theorem for Pinned Brownian Motion on a Compact Riemannian Manifold, Markov Chain Approximations to Nonsymmetric Diffusions with Bounded Coefficients, Some remarks on a Markov chain modelling cooperative biological systems, Stochastic differential equations in fluid dynamics, A certain class of diffusion processes associated with nonlinear parabolic equations, Limit theorems for stochastic flows of diffeomorphisms of jump type, Divergence, convergence and moments of some integral functionals of diffusions, Stochastic Lagrangian method for downscaling problems in computational fluid dynamics, Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics, Unnamed Item, Two parameter optimal stopping and bi-Markov processes, Local times for a class of purely discontinuous martingales, Fluctuations of Random Semilinear Advection Equations, Rate of Convergence of the Euler Approximation for Diffusion Processes, A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes, Multiscale Modelling of Complex Fluids: A Mathematical Initiation, Estimates of the Caccioppoli-Schauder Type in Weighted Function Spaces, Brownian Representations of Cylindrical Local Martingales, Martingale Problem and Strong Markov Property of Weak Solutions of SPDEs in Banach Spaces, Strong feller property and irreducibility of diffusions with jumps, [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions], Well-posedness for nonlinear SPDEs with strongly continuous perturbation, Stochastic differential games and viscosity solutions of Isaacs equations, Existence of weak solutions for stochastic differential equations with driving semimartingales, Mean‐Field Interaction of Brownian Occupation Measures II: A Rigorous Construction of the Pekar Process, A generalized formula of Ito and some other properties of stochastic flows, Stochastic integrators with stationary independent increments, On Monotonicity and Order-Preservation for MultidimensionalG-Diffusion Processes, Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation, Processus de champ moyen: existence, unicite mesures invariantes et limites thermodynamiques, Some singular diffusion processes and their associated stochastic differential equations, On Non-Equilibrium Dynamics of Infinite Classical Particle Systems with a Singular Long-Range Interaction, The Malliavin calculus and its application to second order parabolic differential equations: Part I, The Malliavin calculus and its application to second order parabolic differential equations: Part II, A mechanical model for the Brownian motion of a convex body, Distributed algorithms in an ergodic Markovian environment, Some martingales associated with queueing and storage processes, A criterion for invariant measures of markov processes, Existence and uniqueness for degenerate second order variational inequalities, Transition operators of diffusions reduce zero-crossing, A stochastic approximation scheme and convergence theorem for particle interactions with perfectly reflecting boundary conditions, The Lottery Model for Ecological Competition in NonStationary Environments, Équations du filtrage non linéaire de la prédiction et du lissage, Statistical causality and local uniqueness for solutions of the martingale problem, Calcul des variations stochastique et processus de sauts, Quasi-maximum likelihood estimation of multivariate diffusions, On the Wellposedness of Some McKean Models with Moderated or Singular Diffusion Coefficient, Path-Based Divergence Rates and Lagrangian Uncertainty in Stochastic Flows, Operator level limit of the circular Jacobi β-ensemble, On the existence of solutions with smooth density of stochastic differential equations in plane, Exploratory HJB Equations and Their Convergence, Nonlinear parabolic equations for measures, THE HOMEOMORPHIC PROPERTY OF THE STOCHASTIC FLOW GENERATED BYTHE ONE-DEFAULT MODEL IN ONE DIMENSIONAL CASE, A Class of Stochastic Games and Moving Free Boundary Problems, Doob: A Half-Century on, Value functions and the Dirichlet problem for Isaacs equation in a smooth domain, Unnamed Item, A multiscale stochastic criminal behavior model and the convergence to a piecewise-deterministic-Markov-process limit, Statistical causality, martingale problems and local uniqueness, Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient, On the existence of semimartingales with continuous characteristics, Coupled McKean–Vlasov diffusions: wellposedness, propagation of chaos and invariant measures, Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients, Regularity and stability of invariant measures for diffusion processes under synthetic lower Ricci curvature bounds, NonUniqueness in Law for Two-Dimensional Navier--Stokes Equations with Diffusion Weaker than a Full Laplacian, Limit Theory for Controlled McKean--Vlasov Dynamics, WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS, Filtering theory for a weakly coloured noise process, A random walk through Canadian contributions on empirical processes and their applications in probability and statistics, Stability of Densities for Perturbed Diffusions and Markov Chains, A strong law of large numbers under sublinear expectations, An Effective Fractional Paraxial Wave Equation for Wave-Fronts in Randomly Layered Media with Long-Range Correlations, Non-Markovian impulse control under nonlinear expectation, An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations, Stochastic Newton equations in the strong potential limit for the multi-dimensional case, Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs, Stochastic Processes in the Decades after 1950, Mean field games with branching, Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents, Hydrodynamic limit of a stochastic model of proliferating cells with chemotaxis, On weak convergence of stochastic differential equations with irregular coefficients, Weak solutions of McKean-Vlasov SDEs with supercritical drifts, Fokker-Planck-Kolmogorov equations with a parameter, Limit theorems of invariant measures for multivalued McKean-Vlasov stochastic differential equations, Singular perturbations in stochastic optimal control with unbounded data, Temporally local maximum likelihood with application to SIS model, Self-Similar Behavior of a Nonlocal Diffusion Equation with Time Delay, Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation, Dissipative solutions and Markov selection to the complete stochastic Euler system, Limit theorems for iterates of the Szász-Mirakyan operator in probabilistic view, Tail probability estimates of continuous-time simulated annealing processes, Green function estimates for second order elliptic operators in non-divergence form with Dini continuous coefficients, Sharp solvability for singular SDEs, The martingale problem method revisited, Robust Framework for Quantifying the Value of Information in Pricing and Hedging, Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients, On the existence of weak solutions to stochastic Volterra equations, Averaging and mixing for stochastic perturbations of linear conservative systems, Nonuniqueness in law of stochastic 3D Navier-Stokes equations, Wellposedness of second order reflected BSDEs: A new formulation, Wave propagation in random media: beyond Gaussian statistics, Stochastic approximation procedure in semi-Markov environment applied to alcohol consumption model, Stability of Densities for Perturbed Degenerate Diffusions, On a Construction of Strong Solutions for Stochastic Differential Equations with Non-Lipschitz Coefficients: A Priori Estimates Approach, Criteria for Exponential Convergence to Quasi-Stationary Distributions and Applications to Multi-Dimensional Diffusions, Weak well-posedness of multidimensional stable driven SDEs in the critical case, A note on symmetries of diffusions within a martingale problem approach, Mean-Variance Portfolio Selection for Partially Observed Point Processes, Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model, Diffusion approximation of multi-class Hawkes processes: Theoretical and numerical analysis, Lagrangian Uncertainty Quantification and Information Inequalities for Stochastic Flows, Sharp Schauder estimates for some degenerate Kolmogorov equations, Random Schrödinger operators on long boxes, noise explosion and the GOE, Exact Simulation of Brownian Diffusions with Drift Admitting Jumps, Convergence of diffusion processes, On quantum dynamical semigroups, The calculus of boundary processes, On the asymptotic behavior of solutions of the Cauchy problem for parabolic equations with time periodic coefficients, Symmetric Markov chains on ℤ^{𝕕} with unbounded range, Probabilistic Approximation of a Nonlinear Parabolic Equation Occurring in Rheology, Convergence of symmetric Markov chains on \({\mathbb{Z}^d}\), Weak extinction versus global exponential growth of total mass for superdiffusions, On the mean field approximation of a stochastic model of tumour-induced angiogenesis, Properties of bounded stochastic processes employed in biophysics, An application of the theorem on Sums to viscosity solutions of degenerate fully nonlinear equations, A Diffusion Limit for Generalized Correlated Random Walks, Level Sets of the Fundamental Solution and Harnack Inequality for Degenerate Equations of Kolmogorov Type, Parabolic equations with singular divergence‐free drift vector fields, Uniform propagation of chaos and creation of chaos for a class of nonlinear diffusions, Momentum and reversion in risk neutral martingale probabilities, Stationary state solutions for a gently stochastic nonlinear wave equation with ultraviolet cutoffs, A Stochastic Volatility Alternative to SABR, Optimal Singular Control Problem in Infinite Horizon for Stochastic Processes with Regime-Switching