Related papers: The Equivalence between Uniqueness and Continuous …

The `archetypal' equation with rescaling is given by $y(x)=\iint_{\mathbb{R}^2} y(a(x-b))\,\mu(\mathrm{d}a,\mathrm{d}b)$ ($x\in\mathbb{R}$), where $\mu$ is a probability measure; equivalently, $y(x)=\mathbb{E}\{y(\alpha(x-\beta))\}$, with…

We consider It\^o uniformly nondegenerate equations with time independent coefficients, the diffusion coefficient in $W^{1}_{d,loc}$, and the drift in $L_{d}$. We prove the unique strong solvability for any starting point and prove that as…

We prove that distribution dependent (also called McKean--Vlasov) stochastic delay equations of the form \begin{equation*} \mathrm{d}X(t)= b(t,X_t,\mathcal{L}_{X_t})\mathrm{d}t+ \sigma(t,X_t,\mathcal{L}_{X_t})\mathrm{d}W(t) \end{equation*}…

We show that a viscosity solution of a uniformly elliptic, fully nonlinear equation which vanishes on an open set must be identically zero, provided that the equation is $C^{1,1}$. We do not assume that the nonlinearity is convex or…

We consider stochastic PDEs \[dY_t = L(Y_t)\, dt + A(Y_t).\, dB_t, t > 0\] and associated PDEs \[du_t = L u_t\, dt, t > 0\] with regular initial conditions. Here, $L$ and $A$ are certain partial differential operators involving…

For general mean-field backward stochastic differential equations (BSDEs) it is well-known that we usually do not have the comparison theorem if the coefficients depend on the law of $Z$-component of the solution process $(Y, Z)$. A natural…

We prove the existence and uniqueness of the solution of a BSDE with time-delayed generators in the small delay setting (or equivalently small Lipschitz constant), which employs the Stieltjes integral with respect to an increasing…

We study a general class of quadratic BSDEs with terminal value in Lp for p > 1. First of all, we give an Lp-type estimate and existence result. Under the additional assumption of monotonicity and convexity, we derive the comparison…

This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state constraint and possibly unbounded cost…

We prove strong well-posedness for a class of stochastic evolution equations in Hilbert spaces H when the drift term is Holder continuous. This class includes examples of semilinear stochastic damped wave equations which describe elastic…

In this paper we investigate mean-field backward doubly stochastic differential equations (BDSDEs), i.e., BDSDEs whose driving coefficients also depend on the joint law of the solution process as well as the solution of an associated…

The study of existence and uniqueness of solutions became important due to the lack of general formula for solving nonlinear ordinary differential equations (ODEs). Compact form of existence and uniqueness theory appeared nearly 200 years…

We consider various approximation properties for systems driven by a Mc Kean-Vlasov stochastic differential equations (MVSDEs) with continuous coefficients, for which pathwise uniqueness holds. We prove that the solution of such equations…

This paper concerns the McKean-Vlasov stochastic differential equation (SDE) with common noise. An appropriate definition of a weak solution to such an equation is developed. The importance of the notion of compatibility in this definition…

We study proof techniques for bisimilarity based on unique solution of equations. We draw inspiration from a result by Roscoe in the denotational setting of CSP and for failure semantics, essentially stating that an equation (or a system of…

Existence and uniqueness is established for a large class of backward stochastic differential equations which contain singular terms of the form $\pm|z|^2/y$. The results are applied to investigate singular partial differential equations…

We give a series of very general sufficient conditions in order to ensure the uniqueness of large solutions for --$\Delta$u + f (x, u) = 0 in a bounded domain $\Omega$ where f : $\Omega$ x R $\rightarrow$ R + is a continuous function, such…

This paper is devoted to a general solvability of multi-dimensional non-Markovian backward stochastic differential equations (BSDEs) with interactively quadratic generators. Some general structures of the generator $g$ are posed for both…

The combination of the It\^o formula and the Bismut-Elworthy-Li formula implies that suitable smooth solutions of semilinear Kolmogorov partial differential equations (PDEs) are also solutions to certain stochastic fixed point equations…

In this paper, we study the backward stochastic differential equations driven by G-Brownian motion under the condition that the generator is time-varying Lipschitz continuous with respect to y and time-varying uniformly continuous with…