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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 steady Boltzmann equation in half-space, which arises in the Knudsen boundary layer problem, with diffusive reflection boundary conditions. Under certain admissible conditions and the source term decaying exponentially, we…
We study periodic homogenization problems for second-order pde in half-space type domains with Neumann boundary conditions. In particular, we are interested in "singular problems" for which it is necessary to determine both the homogenized…
In this paper we establish the strong existence, pathwise uniqueness and a comparison theorem to a stochastic partial differential equation driven by Gaussian colored noise with non-Lipschitz drift, H\"older continuous diffusion…
We study hypoelliptic stochastic differential equations (SDEs) and their connection to degenerate-elliptic boundary value problems on bounded or unbounded domains. In particular, we provide probabilistic conditions that guarantee that the…
In this paper, we study the regularities of solutions of nonlinear stochastic partial differential equations in the framework of Hilbert scales. Then we apply our general result to several typical nonlinear SPDEs such as stochastic Burgers…
In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward…
In this paper, we use the variational approach to investigate recurrent properties of solutions for stochastic partial differential equations, which is in contrast to the previous semigroup framework. Consider stochastic differential…
We study and compare two concepts for weak solutions to semilinear parabolic path-dependent partial differential equations (PPDEs). The first is that of mild solutions as it appears, e.g., in the log-Laplace functionals of historical…
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property. The main results are established (i) in a Markovian…
We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a type of backward stochastic differential equation (BSDE) with…
We prove the unique solvability in weighted Sobolev spaces of non-divergence form elliptic and parabolic equations on a half space with the homogeneous Neumann boundary condition. All the leading coefficients are assumed to be only…
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…
In this paper we study the homeomorphic properties of the solutions to one dimensional backward doubly stochastic differential equations under suitable assumptions, where the terminal values depend on a real parameter. Then, we apply them…
Stochastic partial differential equations (SPDEs) represent a very active research field with numerous recent developments and breakthrough results. There are several well-established approaches and methods used to construct solutions for…
In this paper we investigate a nonlinear stochastic partial differential equation (spde in short) perturbed by a space-correlated Gaussian noise in arbitrary dimension $d\geq1$, with a non-Lipschitz coefficient noisy term. The equation…
In this paper, we study the non-linear backward problems (with deterministic or stochastic durations) of stochastic differential equations on the Sierpinski gasket. We prove the existence and uniqueness of solutions of backward stochastic…
In this paper, we analyze nonlinear differential equations subject to generalized boundary conditions. More specifically, we provide a framework from which we can provide conditions, which are straightforward to check, for the solvability…
The Graetz problem is a convection-diffusion equation in a pipe invariant along a direction. The contribution of the present work is to propose a mathematical analysis of the Neumann, Robin and periodic boundary condition on the boundary of…
In this paper, we prove the pointwise boundary differentiability for viscosity solutions of fully nonlinear elliptic equations. This generalizes the previous related results for linear equations. The geometrical conditions in this paper are…