Related papers: Integral representation of Skorokhod reflection
We use the tridiagonal representation approach to solve the radial Schr\"odinger equation for the continuum scattering states of the Coulomb problem in a complete basis set of discrete Bessel functions. Consequently, we obtain a new…
We consider systems of backward stochastic differential equations with c\`adl\`ag upper barrier $U$ and oblique reflection from below driven by an increasing continuous function $H$. Our equations are defined on general probability spaces…
In this paper, we study the backward stochastic differential equations driven by G-Brownian motion with double mean reflections, which means that the constraints are made on the law of the solution. Making full use of the backward Skorokhod…
We use the tridiagonal representation approach to obtain an exact solution of the three-dimensional radial Schr\"odinger equation for a spiked oscillator with inverse quartic singularity and for all angular momenta. The solution is a finite…
The possibility of the resonance reflection (100 % at maximum) is revealed. The corresponding exactly solvable models with the controllable numbers of resonances, their positions and widths are presented.
We show convexity of solutions to a class of convex variational problems in the Gauss and in the Wiener space. An important tool in the proof is a representation formula for integral functionals in this infinite dimensional setting, that…
In this work, a novel approach for the solution of the inverse conductivity problem from one and multiple boundary measurements has been developed on the basis of the implication of the framework of BV - functions. The space of the…
In the paper, the authors establish integral representations of some functions related to the remainder of Burnside's formula for the gamma function and find the (logarithmically) complete monotonicity of these and related functions. These…
In this paper, we establish an exponential ergodicity for stochastic evolution equations with reflection in an infinite dimensional ball. As an application, we obtain the exponential ergodicity of stochastic Navier-Stokes equations with…
We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness. As for barriers we…
In this paper, we introduce a new kind of "variant" reflected backward doubly stochastic differential equations (VRBDSDEs in short), where the drift is the nonlinear function of the barrier process. In the one stochastic case, this type of…
Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for…
In this paper, we investigate the deterministic multidimensional Skorokhod problem with normal reflection in a family of time-dependent convex domains that are c\`adl\`ag with respect to the Hausdorff metric. We then show the existence and…
Motivated by a new formulation of the classical dividend problem, we show that Peskir's maximality principle can be transferred to singular stochastic control problems with 2-dimensional degenerate dynamics and absorption along the diagonal…
We give a simple proof that in a Lipschitz domain in two dimensions with Lipschitz constant one, there is pathwise uniqueness for the Skorokhod equation governing reflecting Brownian motion.
In this paper, we first review the penalization method for solving deterministic Skorokhod problems in non-convex domains and establish estimates for problems with $\alpha$-H\"older continuous functions. With the help of these results…
By using the squared slack variables technique, we demonstrate that the solution set of a general polynomial complementarity problem is the image, under a specific projection, of the set of real zeroes of a system of polynomials. This paper…
We solve the Skorokhod embedding problem (SEP) for a general time-homogeneous diffusion $X$: given a distribution $\rho$, we construct a stopping time $\tau$ such that the stopped process $X_{\tau}$ has the distribution $\rho$. Our solution…
Using the theory of fixed point index, we establish new results for the existence of nonzero solutions of Hammerstein integral equations with reflections. We apply our results to a first order periodic boundary value problem with…
A new method of solution is proposed for solution of the wave equation in one space dimension with continuously-varying coefficients. By considering all paths along which information arrives at a given point, the solution is expressed as an…