Related papers: A stochastic differential game for the inhomogeneo…

We study a general form of a degenerate or singular parabolic equation $$ u_t-|Du|^{\gamma}\big(\Delta u+(p-2)\Delta_\infty^Nu\big)=0 $$ that generalizes both the standard parabolic $p$-Laplace equation and the normalized version that…

We prove H\"older estimates for viscosity solutions of a class of possibly degenerate and singular equations modelled by the fractional $p$-Laplace equation $$ \text{PV}…

We prove the existence and uniqueness of a viscosity solution of the parabolic variational inequality with a nonlinear multivalued Neumann-Dirichlet boundary condition:% {equation*} \{{array}{r} \dfrac{\partial u(t,x)}{\partial…

In this work, we study some properties of the viscosity solutions to a degenerate parabolic equation involving the non-homogeneous infinity-Laplacian.

We consider interior H\"{o}lder regularity of the spatial gradient of viscosity solutions to the normalized $p(x,t)$-Laplace equation $$ u_t=\left(\delta_{ij}+(p(x,t)-2)\frac{u_i u_j}{|Du|^2}\right)u_{ij} $$ with some suitable assumptions…

We study the PDE $\lambda_j(D^2 u) = 0$, in $\Omega$, with $u=g$, on $\partial \Omega$. Here $\lambda_1(D^2 u) \leq ... \leq \lambda_N (D^2 u)$ are the ordered eigenvalues of the Hessian $D^2 u$. First, we show a geometric interpretation of…

We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…

We develop an option pricing model based on a tug-of-war game. This two-player zero-sum stochastic differential game is formulated in the context of a multi-dimensional financial market. The issuer and the holder try to manipulate asset…

We introduce a new class of quasi-linear parabolic equations involving nonhomogeneous degeneracy or/and singularity $$ \partial_t u=[|D u|^q+a(x,t)|D u|^s]\left(\Delta u+(p-2)\left\langle D^2 u\frac{D u}{|D u|},\frac{D u}{|D…

In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…

In this work, we show existence and uniqueness of positive solutions of $H(Du, D^2u)+\chi(t)|Du|^\Gamma-f(u)u_t=$ in $\Omega\times(0, T)$ and $u=h$ on its parabolic boundary. The operator $H$ satisfies certain homogeneity conditions,…

In this paper we use probabilistic arguments (Tug-of-War games) to obtain existence of viscosity solutions to a parabolic problem of the form $$ {cases} K_{(x,t)}(D u)u_t (x,t)= \frac12 <D^2 u J_{(x,t)}(D u),J_{(x,t)}(D u) (x,t) &{in}…

In this article, a notion of viscosity solutions is introduced for fully nonlinear second order path-dependent partial differential equations in the spirit of [Zhou, Ann. Appl. Probab., 33 (2023), 5564-5612]. We prove the existence,…

We prove the uniqueness for viscosity solutions of a differential equation involving the infinity-Laplacian with a variable exponent. A version of the Harnack's inequality is derived for this minimax problem.

We consider a two-player zero-sum game with integral payoff and with incomplete information on one side, where the payoff is chosen among a continuous set of possible payoffs. We prove that the value function of this game is solution of an…

We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities…

In this paper we study zero-sum two-player stochastic differential games with the help of theory of Backward Stochastic Differential Equations (BSDEs). At the one hand we generalize the results of the pioneer work of Fleming and Souganidis…

We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differential equation in a bounded domain. We show that the unique…

We study a singular or degenerate equation in non-divergence form modeled by the $p$-Laplacian, $$-|Du|^\gamma\left(\Delta u+(p-2)\Delta_\infty^N u\right)=f\ \ \ \ \text{in}\ \ \ \Omega.$$ We investigate local $C^{1,\alpha}$ regularity of…

In this paper, we consider the three-dimensional inhomogeneous Navier-Stokes equations with density-dependent viscosity in presence of vacuum over bounded domains. Global-in-time unique strong solution is proved to exist when $\|\nabla…