Related papers: Backward stochastic variational inequalities with …
The Fourier method is used to find conditions on the right-hand side and on the initial data in the Rayleigh-Stokes problem, which ensure the existence and uniqueness of the solution. Then, in the Rayleigh-Stokes problem, instead of the…
Backward stochastic partial differential equations of parabolic type with variable coefficients are considered in the whole Euclidean space. Improved existence and uniqueness results are given in the Sobolev space $H^n$ ($=W^n_2$) under…
In the present paper, we give some examples of stochastic differential equations which have delicateness in the Markov and strong Markov properties, the uniqueness locally in time and globally in time, and initial conditions. Moreover, we…
In backward error analysis, an approximate solution to an equation is compared to the exact solution to a nearby modified equation. In numerical ordinary differential equations, the two agree up to any power of the step size. If the…
We develop a new stochastic algorithm with variance reduction for solving pseudo-monotone stochastic variational inequalities. Our method builds on Tseng's forward-backward-forward (FBF) algorithm, which is known in the deterministic…
This paper addresses reflected backward stochastic differential equations (RBSDE hereafter) that take the form of \begin{eqnarray*} \begin{cases} dY_t=f(t,Y_t, Z_t)d(t\wedge\tau)+Z_tdW_t^{\tau}+dM_t-dK_t,\quad Y_{\tau}=\xi, Y\geq…
We study linear stochastic partial differential equations of parabolic type. We consider a new boundary value problem where a Cauchy condition is replaced by a prescribed average of the solution either over time and probabilistic space for…
This paper investigates an inverse random source problem for the stochastic fractional Helmholtz equation. The source is modeled as a centered, complex-valued, microlocally isotropic generalized Gaussian random field whose covariance and…
This paper is concerned with the strong solution to the Cauchy-Dirichlet problem for backward stochastic partial differential equations of parabolic type. Existence and uniqueness theorems are obtained, due to an application of the…
Regularity of solutions is studied for backward stochastic parabolic Ito equations. An analog of the second energy inequality and the related existence theorem are obtained for domains with boundary.
We show stability and locality of the minimal supersolution of a forward backward stochastic differential equation with respect to the underlying forward process under weak assumptions on the generator. The forward process appears both in…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs…
We derive the existence and uniqueness of the generalized backward doubly stochastic differential equation with sub-differential of a lower semi-continuous convex function under a non Lipschitz condition. This study allows us give a…
To address the ill-posedness of the inverse source problem for the one-dimensional stochastic Helmholtz equations without attenuation, this study develops a novel computational framework designed to mitigate this inherent challenge at the…
In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for…
This paper is concerned with the quasi-linear reflected backward stochastic partial differential equation (RBSPDE for short). Basing on the theory of backward stochastic partial differential equation and the parabolic capacity and…
We consider difference schemes for the time-fractional diffusion equation with variable coefficients and nonlocal boundary conditions containing real parameters $\alpha$, $\beta$ and $\gamma$. By the method of energy inequalities, for the…
In this note we provide conditions for local invariance of finite dimensional submanifolds for solutions to stochastic partial differential equations (SPDEs) in the framework of the variational approach. For this purpose, we provide a…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
We study the following backward stochastic differential equation on finite time horizon driven by an integer-valued random measure $\mu$ on $\mathbb R_+\times E$, where $E$ is a Lusin space, with compensator $\nu(dt,dx)=dA_t\,\phi_t(dx)$:…