Related papers: Integral representation of Skorokhod reflection
We put forward and prove several existence and uniqueness results for $L^p\ (p>1)$ solutions of reflected BSDEs with continuous barriers and generators satisfying a one-sided Osgood condition together with a general growth condition in $y$…
We prove existence and uniqueness of the solution of a stochastic shell--model. The equation is driven by an infinite dimensional fractional Brownian--motion with Hurst--parameter $H\in (1/2,1)$, and contains a non--trivial coefficient in…
This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation.…
This paper deals with the consistency, a rate of convergence and the asymptotic distribution of a nonparametric estimator of the trend in the Skorokhod reflection problem defined by a fractional SDE and a Moreau sweeping process.
We give a new characterization of the space of functions of bounded variation in terms of a pointwise inequality connected to the maximal function of a measure. The characterization is new even in Euclidean spaces and it holds also in…
We explore various combinatorial problems mostly borrowed from physics, that share the property of being continuously or discretely integrable, a feature that guarantees the existence of conservation laws that often make the problems…
This paper introduces a notion of decompositions of integral varifolds into countably many integral varifolds, and the existence of such decomposition of integral varifolds whose first variation is representable by integration is…
The conformal Skorokhod embedding problem (CSEP) is a planar variant of the classical problem where the solution is now a simply connected domain $D\subset\mathbb{C}$ whose exit time embeds a given probability distribution $\mu$ by…
This paper establishes the well-posedness of stochastic partial differential equations with reflection in an infinite-dimensional ball, within the fully local monotone framework. Our result is very general, including many important models…
We use ring-theoretic methods and methods from the theory of skew braces to produce set-theoretic solutions to the reflection equation. We also use set-theoretic solutions to construct solutions to the parameter-dependent reflection…
In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expectation of a loss function. This constraint is imposed at any…
In this paper we investigate the existence and uniqueness of bounded, periodic and almost periodic solutions for second order differential equations involving reflection of the argument.The relationship between frequency modules of forced…
We obtain well-posedness results for a class of ODE with a singular drift and additive fractional noise, whose right-hand-side involves some bounded variation terms depending on the solution. Examples of such equations are reflected…
We introduce partial representation of a finite groupoid $G$ on an algebra $A$ and show that the partial groupoid representations of $G$ are in one-to-one correspondence with the representations of the algebra generated by the Birget-Rhodes…
This paper concerns the long-standing question of representing (totally) anti-symmetric functions in high dimensions. We propose a new ansatz based on the composition of an odd function with a fixed set of anti-symmetric basis functions. We…
In this paper Clark-Ocone representation for solution to measure-valued equation with interaction is studied. It is proven that the integrand is absolutely continuous with respect to Lebesgue measure.
We provide a unified treatment of several results concerning full groups of ample groupoids and paradoxical decompositions attached to them. This includes a criterion for the full group of an ample groupoid being amenable as well as…
In this paper, we study the uniqueness of the solution of reflected BSDE with one or two barriers, under continuous and linear increasing condition of generator $g$. Before that we study the construction of solution of of reflected BSDE…
This paper aims at reviewing and analysing the method of reflections. The latter is an iterative procedure designed to linear boundary value problems set in multiply connected domains. Being based on a decomposition of the domain boundary,…
Recent work of Dupire and Carr and Lee has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root for the model-independent hedging of variance options. Root's work shows that there exists a barrier…