# Khoa N. M. LêUniversity of Leeds · School of Mathematics

Khoa N. M. Lê

Doctor of Philosophy

## About

31

Publications

2,781

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414

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Citations since 2017

Introduction

**Skills and Expertise**

## Publications

Publications (31)

We introduce a stochastic version of Gubinelli’s sewing lemma, providing a sufficient condition for the convergence in moments of some random Riemann sums. Compared with the deterministic sewing lemma, adaptiveness is required and the regularity restriction is improved by a half. The limiting process exhibits a Doob-Meyer-
type decomposition. Relat...

We study stochastic reaction--diffusion equation $$ \partial_tu_t(x)=\frac12 \partial^2_{xx}u_t(x)+b(u_t(x))+\dot{W}_{t}(x), \quad t>0,\, x\in D $$ where $b$ is a generalized function in the Besov space $\mathcal{B}^\beta_{q,\infty}({\mathbb R})$, $D\subset{\mathbb R}$ and $\dot W$ is a space-time white noise on ${\mathbb R}_+\times D$. We introduc...

We establish a simultaneous generalization of Itô’s theory of stochastic -and Lyons’ theory of rough differential equations. The interest in such a unification comes from a variety of applications, including pathwise stochastic filtering, - control and the conditional analysis of stochastic systems with common noise.

We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusion coefficient is uniformly elliptic, Hölder continuous and weakly differentiable in the spatial variables while the drift satisfies the Ladyzhenskaya--Prodi--Serrin...

We show that any stochastic differential equation (SDE) driven by Brownian motion with drift satisfying the Krylov-R\"ockner condition has exactly one solution in an ordinary sense for almost every trajectory of the Brownian motion. Additionally, we show that such SDE is strongly complete, i.e. for almost every trajectory of the Brownian motion, th...

We consider the Allen–Cahn equation ∂tu-Δu=u-u3\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\partial _t}{u}-\Delta u=u-u^3$$\end{document} with a rapidly mixing Gau...

We consider stochastic differential equation $$ d X_t=b(X_t) dt +d W_t^H, $$ where the drift $b$ is either a measure or an integrable function, and $W^H$ is a $d$-dimensional fractional Brownian motion with Hurst parameter $H\in(0,1)$, $d\in\mathbb{N}$. For the case where $b\in L_p(\mathbb{R}^d)$, $p\in[1,\infty]$ we show weak existence of solution...

A stochastic sewing lemma which is applicable for processes taking values in Banach spaces is introduced. Applications to additive functionals of fractional Brownian motion of distributional type are discussed.

For a general adapted integrable right-continuous with left limits (RCLL) process $(X_t)_{t\in[0,\tau]}$ taking values in a metric space $(\mathcal E,d)$, we show (among other things) that for every $m\in(1,\infty)$ $$ \frac{m-1}{2m-1}\|\sup_{t\in[0,\tau]}\mathbb{E}(d(X_{t-},X_\tau)|\mathcal F_t)\|_m\le \|\sup_{t\in[0,\tau]}d(X_0,X_t)\|_m\le c\frac...

Stroock and Varadhan in 1997 and Geiss in 2005 independently introduced stochastic processes with bounded mean oscillation (BMO) and established their exponential integrability with some unspecified exponential constant. This result is an analogue of the John--Nirenberg inequality for functions of bounded mean oscillation. In this work, we quantify...

We derive optimal strong convergence rates for the Euler-Maruyama scheme approximating multidimensional SDEs with multiplicative noise without imposing any regularity condition on the drift coefficient. In case the noise is additive, we show that Sobolev regularity can be leveraged to obtain improved rate: drifts with regularity of order $\alpha \i...

We investigate the growth of the tallest peaks of random field solutions to the parabolic Anderson models over concentric balls as the radii approach infinity. The noise is white in time and correlated in space. The spatial correlation function is either bounded or non-negative satisfying Dalang's condition. The initial data are Borel measures with...

We obtain the Holder continuity and joint Hölder continuity in space and time for the random field solution to the parabolic Anderson equation \((\partial_t-\frac{1}{2}\Delta)u=u\diamond\dot{W}\) in d-dimensional space, where Ẇ is a mean zero Gaussian noise with temporal covariance γ0 and spatial covariance given by a spectral density µ(ξ). We assu...

We introduce a stochastic version of Gubinelli's sewing lemma. While adaptiveness is required, the regularity restriction is improved by $\frac12$. To illustrate potential applications, we use the stochastic sewing lemma in studying stochastic differential equations driven by Brownian motions or fractional Brownian motions with irregular drifts.

We show that the random field solution to the parabolic Anderson equation $(\partial_t-\frac12 \Delta)u=u\diamond \dot{W}$ is jointly H\"older continuous in space and time.

We investigate the sharp density $\rho(t,x; y)$ of the solution $u(t,x)$ to stochastic partial differential equation $\frac{\partial }{\partial t} u(t,x)=\frac12 \Delta u(t,x)+u\diamond \dot W(t,x)$, where $\dot W$ is a general Gaussian noise and $\diamond$ denotes the Wick product. We mainly concern with the asymptotic behavior of $\rho(t,x; y)$ w...

This paper studies the one-dimensional parabolic Anderson model driven by a Gaussian noise which is white in time and has the covariance of a fractional Brownian motion with Hurst parameter \(H \in (\frac {1}{4}, \frac {1}{2})\) in the space variable. We derive the Wiener chaos expansion of the solution and a Feynman-Kac formula for the moments of...

In this paper we study the linear stochastic heat equation on $\mathbb{R}^\ell$, driven by a Gaussian noise which is colored in time and space. The spatial covariance satisfies general assumptions and includes examples such as the Riesz kernel in any dimension and the covariance of the fractional Brownian motion with Hurst parameter $H\in (\frac 14...

Let $W=(W_t)_{t\ge0}$ be a supercritical $\alpha$-stable Dawson-Watanabe process (with $\alpha\in(0,2]$) and $f$ be a test function in the domain of $-(-\Delta)^{\frac \alpha2}$ satisfying some integrability condition. Assuming the initial measure $W_0$ has a finite positive moment, we determine the long-time asymptotic of all orders of $W_t(f)$. I...

A class of Fleming-Viot processes with decaying sampling rates and $\alpha$-stable motions which corresponds to distributions with growing populations are introduced and analyzed. Almost sure long-time limits for these processes are developed, addressing the question of long-time population distribution for growing populations. Asymptotics in highe...

This paper studies the one-dimensional parabolic Anderson model driven by a Gaussian noise which is white in time and has the covariance of a fractional Brownian motion with Hurst parameter $H \in (\frac{1}{4}, \frac{1}{2})$ in the space variable. We derive the Wiener chaos expansion of the solution and a Feynman-Kac formula for the moments of the...

A general class of non-Markov, supercritical Gaussian branching particle systems is introduced and its long-time asymptotics is studied. Both weak and strong laws of large numbers are developed with the limit object being characterized in terms of particle motion/mutation. Long memory processes, like branching fractional Brownian motion and fractio...

We prove a general duality result for multi-stage portfolio optimization
problems in markets with proportional transaction costs. The financial market
is described by Kabanov's model of foreign exchange markets over a finite
probability space and finite-horizon discrete time steps. This framework allows
us to compare vector-valued portfolios under...

We consider the parabolic Anderson model which is driven by a Gaussian noise
fractional in time and having certain scaling property in the spatial
variables. Recently, Xia Chen has obtained exact Lyapunov exponent for all
moments of positive integer orders. In this note, we explain how to extend Xia
Chen's result for all moments of order $p$, where...

In this paper we study the linear stochastic heat equation, also known as
parabolic Anderson model, in multidimension driven by a Gaussian noise which is
white in time and it has a correlated spatial covariance. Examples of such
covariance include the Riesz kernel in any dimension and the covariance of the
fractional Brownian motion with Hurst para...

This paper studies the weak and strong solutions to the stochastic
differential equation $ dX(t)=-\frac12 \dot W(X(t))dt+d\mathcal{B}(t)$, where
$(\mathcal{B}(t), t\ge 0)$ is a standard Brownian motion and $W(x)$ is a two
sided Brownian motion, independent of $\mathcal{B}$. It is shown that the
It\^o-McKean representation associated with any Browni...

This paper studies the nonlinear one-dimensional stochastic heat equation
driven by a Gaussian noise which is white in time and which has the covariance
of a fractional Brownian motion with Hurst parameter
1/4\textless{}H\textless{}1/2 in the space variable. The existence and
uniqueness of the solution u are proved assuming the nonlinear coefficien...

For H\"older continuous functions $W(t,x)$ and $\varphi_t$, we define
nonlinear integral $\int_a^b W(dt, \varphi_t)$ via fractional calculus. This
nonlinear integral arises naturally in the Feynman-Kac formula for stochastic
heat equations with random coefficients. We also define iterated nonlinear
integrals.

For H\"older continuous functions $W(t,x)$ and $\phi_t$, we define nonlinear
integral $\int_a^b W(dt, \phi_t)$ in various senses, including It\^o-Skorohod
and pathwise. We study their properties and relations. The stochastic flow in a
time dependent rough vector field associated with $\dot \phi_t=(\partial
_tW)(t, \phi_t)$ is also studied and its a...

We extend the classical Garsia-Rodemich-Rumsey inequality to the
multiparameter situation. The new inequality is applied to obtain some joint
H\"older continuity along the rectangles for fractional Brownian fields $W(t,
x)$ and for the solution $u(t, y)$ of stochastic heat equation with additive
white noise.