Related papers: Notes on the Cauchy Problem for Backward Stochasti…

We consider the perturbation of parabolic operators of the form $\partial_t+P(x,D)$ by large-amplitude highly oscillatory spatially dependent potentials modeled as Gaussian random fields. The amplitude of the potential is chosen so that the…

This paper extends the idea of E.Gobet, J.P.Lemor and X.Warin from the setting of Backward Stochastic Differential Equations to that of Backward Doubly Stochastic Differential equations. We propose some numerical approximation scheme of…

We consider a parabolic equation in a bounded domain $\OOO$ over a time interval $(0,T)$ with the homogeneous Neumann boundary condition. We arbitrarily choose a subboundary $\Gamma \subset \ppp\OOO$. Then, we discuss an inverse problem of…

Unlike many deterministic PDEs, stochastic equations are not amenable to the classical variational theory of Euler-Lagrange. In this paper, we show how self-dual variational calculus leads to solutions of various stochastic partial…

We consider a Cauchy problem for a fractional anisotropic parabolic equation in anisotropic H\"{o}lder spaces. The equation generalizes the heat equation to the case of fractional power of the Laplace operator and the power of this operator…

We define fully coupled forward-backward stochastic differential equations on spaces related to continuous time, finite state Markov Chains. Existence and uniqueness results of the fully coupled forward-backward stochastic differential…

We give some estimates of the remainder terms for several conformally-invariant Sobolev-type inequalities on the Heisenberg group, in analogy with the Euclidean case. By considering the variation of associated functionals, we give a…

We consider the Cauchy problem for semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the equation and mild conditions on the obstacle the problem has a unique…

In this paper we investigate the Cauchy problem for Schr\"odinger ultrahyperbolic equations with singular (less than continuous) coefficients. We prove $H^\infty$ well-posedness in the very weak sense under suitable assumptions of the…

We first prove the equivalence of two definitions of Riemann-Liouville fractional integral on time scales, then by the concept of fractional derivative of Riemann-Liouville on time scales, we introduce fractional Sobolev spaces,…

The solvability in Sobolev spaces is proved for divergence form second order elliptic equations in the whole space, a half space, and a bounded Lipschitz domain. For equations in the whole space or a half space, the leading coefficients…

We develop an optimal regularity theory for parabolic partial differential equations in weighted mixed norm Sobolev-Zygmund spaces. The results extend the classical Schauder estimates to coefficients that are merely measurable in time and…

In this paper we obtain a Wong-Zakai approximation to solutions of backward doubly stochastic differential equations.

In the Euclidean space $\mathbb{R}^d$, the sharp classical Sobolev inequality is equivalent by conformal invariance to a Sobolev inequality on the hyperbolic space $\mathbb{H}^d$. This inequality is sharp in dimension $d\geq 4$, but it is…

The Coulomb problem for Schr\"{o}dinger equation is examined, in spaces of constant curvature, Lobachevsky H_{3} and Riemann S_{3} models, on the base of generalized parabolic coordinates. In contrast to the hyperbolic case, in spherical…

By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions…

We consider the Cauchy problem associated with a general parabolic partial differential equation in $d$ dimensions. We find a family of closed-form asymptotic approximations for the unique classical solution of this equation as well as…

S. Geiss and J. Ylinen proposed the coupling method \cite{Geiss:Ylinen:21} to investigate the regularity for the solution to the backward stochastic differential equations with random coefficients. In this paper, we explore this method in…

Using purely probabilistic methods, we prove the existence and the uniqueness of solutions fora system of coupled forward-backward stochastic differential equations (FBSDEs) with measurable, possibly discontinuous coefficients. As a…

We prove Schauder estimates for solutions to both divergence and non-divergence type higher-order parabolic systems in the whole space and the half space. We also provide an existence result for divergence type systems in a cylindrical…