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In this paper, we deal with the solutions of systems of PDEs with bilateral inter-connected obstacles of min-max and max-min types. These systems arise naturally in stochastic switching zero-sum game problems. We show that when the…
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…
This work is concerned with the propagation of uncertainty across coupled domain problems with high-dimensional random inputs. A stochastic model reduction approach based on low-rank separated representations is proposed for the partitioned…
Balanced Viscosity solutions to rate-independent systems arise as limits of regularized rate-independent flows by adding a superlinear vanishing-viscosity dissipation. We address the main issue of proving the existence of such limits for…
This series of papers is devoted to the formulation and the approximation of coupling problems for nonlinear hyperbolic equations. The coupling across an interface in the physical space is formulated in term of an augmented system of…
Parabolic partial differential equations (PDEs) appear in many disciplines to model the evolution of various mathematical objects, such as probability flows, value functions in control theory, and derivative prices in finance. It is often…
We analyze the asymptotic behavior for a system of fully nonlinear parabolic and elliptic quasi variational inequalities. These equations are related to robust switching control problems introduced in [3]. We prove that, as time horizon…
In this paper, we, for the first time, establish two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and completely different from the existing results for…
The accurate numerical solution of partial differential equations is a central task in numerical analysis allowing to model a wide range of natural phenomena by employing specialized solvers depending on the scenario of application. Here,…
In the 2nd version of this note we introduce the notion of viscosity solution for a type of fully nonlinear parabolic path-dependent partial differential equations (P-PDE). We then prove the comparison theorem (or maximum principle) of this…
In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…
In this paper, we develop an ensemble-based time-stepping algorithm to efficiently find numerical solutions to a group of linear, second-order parabolic partial differential equations (PDEs). Particularly, the PDE models in the group could…
Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) are key ingredients in a number of models in physics and financial engineering. In particular, parabolic PDEs and BSDEs are fundamental…
This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in…
In the nonconvex case solutions of rate-independent systems may develop jumps as a function of time. To model such jumps, we adopt the philosophy that rate independence should be considered as limit of systems with smaller and smaller…
A suitable notion of weak solution to infinite-dimensional rate-independent systems, called Inertial Balanced Viscosity (IBV) solution, is introduced. The key feature of such notion is that the energy dissipated at jump discontinuities…
We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…
We show existence and uniqueness of a continuous with polynomial growth viscosity solution of a system of second order integral-partial differential equations (IPDEs for short) without assuming the usual monotonicity condition of the…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
In this paper we consider multi-dimensional partial differential equations of parabolic type involving divergence form operators that possess a discontinuous coefficient matrix along some smooth interface. The solution of the equation is…