Related papers: Multidimensional SDE with anticipating initial pro…

This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the…

This paper provides a necessary and sufficient condition for guaranteeing exponential stability of the linear difference equation $x(t)=Ax(t-a)+Bx(t-b)$ where $a>0,b>0$ are constants and $A,B$ are $n\times n$ square matrices, in terms of a…

This paper is intended to give a representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use its connection with reflected generalized…

We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with diagonal generators. Two methods, i.e., the penalization method and the Picard…

The primary goal of this paper is to prove a near-martingale optional stopping theorem and establish solvability and large deviations for a class of anticipating linear stochastic differential equations. We prove the existence and…

In this paper, we establish a large deviation principle for stochastic evolution equations with reflection in an infinite dimensional ball. Weak convergence approach plays an important role.

This work concerns generalized backward stochastic differential equations, which are coupled with a family of reflecting diffusion processes. First of all, we establish the large deviation principle for forward stochastic differential…

In this work, we introduce a new Skorokhod problem with two reflecting barriers when the trajectories of the driven process and the barriers are right and left limited. We show that this problem has an explicit unique solution in a…

The representation of the solution of some Backward Stochastic Differential Equation as an infinite series is obtained. Some exactly solvable examples are considered.

In this paper, we study the multi-dimensional reflected backward stochastic differential equation driven by $G$-Brownian motion ($G$-BSDE) with a multi-variate constraint on the $G$-expectation of its solution. The generators are diagonally…

This paper investigates solvability of fully coupled systems of forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. In particular, we assume that the coefficients of the FBSDEs are merely measurable and…

Given an one-dimensional positive recurrent diffusion governed by the Stratonovich SDE \[ X_t=x+\int_0^t\sigma(X_s)\strat db(s)+\int_0^t m(X_s) ds, \] we show that the associated stochastic flow of diffeomorphisms focuses as fast as $…

We propose a new variational approach to finding multiple critical points for strongly indefinite problems without assuming the weak upper semicontinuity on the variational functionals. By this approach, we obtain the existence of…

We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y$ by convention, but in terms of its conditional expectation…

We study nonlinear Schr\"odinger equations, posed on a three dimensional Riemannian manifold $M$. We prove global existence of strong $H^1$ solutions on $M=S^3$ and $M=S^2\times S^1$ as far as the nonlinearity is defocusing and sub-quintic…

The paper is devoted to constructing the global solutions around global Maxwellians to the initial-boundary value problem on the Boltzmann equation in general bounded domains with isothermal diffuse reflection boundaries. We allow a class…

This paper extends deterministic notions of Strong Stability Preservation (SSP) to the stochastic setting, enabling nonlinearly stable numerical solutions to stochastic differential equations (SDEs) and stochastic partial differential…

The aim of this paper is to establish the existence and uniqueness of the solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our system is Markovian in the sense…

This paper concerns the stability of analytical and numerical solutions of nonlinear stochastic delay differential equations (SDDEs). We derive sufficient conditions for the stability, contractivity and asymptotic contractivity in mean…

We prove a large deviation principle of Freidlin-Wentzell's type for the multivalued stochastic differential equations with monotone drifts, which in particular contains a class of SDEs with reflection in a convex domain.