Related papers: The Equivalence between Uniqueness and Continuous …
This article is concerned with the unique continuation property of a forward differential inequality abstracted from parabolic equations proposed on a convex domain $\Omega$ prescribed with some regularity and growth conditions. Our result…
In this article, we adapt the definition of viscosity solutions to the obstacle problem for fully nonlinear path-dependent PDEs with data uniformly continuous in $(t,\omega)$, and generator Lipschitz continuous in $(y,z,\gamma)$. We prove…
In this paper, we provide a one-to-one correspondence between the solution Y of a BSDE with singular terminal condition and the solution H of a BSDE with singular generator. This result provides the precise asymptotic behavior of Y close to…
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can…
We establish several existence, uniqueness and comparison results for $L^1$ solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under the assumption that the generator $g$ satisfies a one-sided Osgood…
We study the behaviour at the terminal time T of the minimal solution of a backward stochastic differential equation when the terminal data can take the value +$\infty$ with positive probability. In a previous paper, we have proved…
In this paper, we study general mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. First, the existence and uniqueness of local and global solutions are proved with some new ideas for a…
A monotone iterative method is proposed to solve nonlinear discrete boundary value problems with the support of upper and lower solutions. We establish some new existence results. Under some sufficient conditions, we establish maximum…
We consider the uniqueness of solutions of ordinary differential equations where the coefficients may have singularities. We derive upper bounds on the the order of singularities of the coefficients and provide examples to illustrate the…
This article contains the theorems which shows that when $A(z)=h_1(z)e^{P_1(z)}$ and $B(z)=h_0(z)e^{P_0(z)}$ are of same order,then all the non-trivial solutions of equation $f"+A(z)f'+B(z)f=0$ are of infinite order. Moreover we extend…
Uniqueness of the finite element solution for nonmonotone quasilinear problems of elliptic type is established in one and two dimensions. In each case, we prove a comparison theorem based on locally bounding the variation of the discrete…
This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a…
We establish a unique continuation property for stochastic heat equations evolving in a bounded domain $G$. Our result shows that the value of the solution can be determined uniquely by means of its value on an arbitrary open subdomain of…
This paper is devoted to solving a multidimensional backward stochastic differential equation (BSDE for short) with a general random terminal time $\tau$ taking values in $[0,+\infty]$. The generator $g$ of such BSDE satisfies a stochastic…
An explicit solution for a growth fragmentation equation with constant dislocation measure is obtained. In this example the necessary condition for the general results in \cite{BW} about the existence of global solutions in the so called…
A class of backward doubly stochastic differential equations (BDSDEs in short) with continuous coefficients is studied. We give the comparison theorems, the existence of the maximal solution and the structure of solutions for BDSDEs with…
This paper is dedicated to the unique continuation properties of the solutions to nonlinear variational problems. Our analysis covers the case of nonlinear autonomous functionals depending on the gradient, as well as more general double…
In this paper we are concerned with one-dimensional backward stochastic differential equations (BSDE in short) of the following type: \[Y_t=\xi -\int_{t\wedge \tau}^{\tau}Y_r|Y_r|^q dr-\int_{t\wedge \tau}^{\tau}Z_r dB_r,\qquad t\geq 0,\]…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
We give necessary and sufficient condition for existence and uniqueness of $\mathbb{L}^{p}$-solutions of reflected BSDEs with continuous barrier, generator monotone with respect to $y$ and Lipschitz continuous with respect to $z$, and with…