Related papers: Wellposedness of Second Order Backward SDEs
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
In this work, we study the numerical approximation of a class of singular fully coupled forward backward stochastic differential equations. These equations have a degenerate forward component and non-smooth terminal condition. They are…
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…
In this paper, we provide a representation theory for the Feynman operator calculus. This allows us to solve the general initial-value problem and construct the Dyson series. We show that the series is asymptotic, thus proving Dyson's…
This paper focuses on inverse problems to identify parameters by incorporating information from measurements. These generally ill-posed problems are formulated here in a probabilistic setting based on Bayes's theorem because it leads to a…
The completeness of the group classification of systems of two linear second-order ordinary differential equations with constant coefficients is delineated in the paper. The new cases extend what has been done in the literature. These cases…
We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution is proved by a double penalization approach under regularity assumptions on…
A non-linear backward equation with diffusive terms is postulated for the probability density that depends on the Bohmian quantum potential. An associated nonlinear Schr\"{o}dinger equation is also introduced and extension of the analysis…
Complex-linearization of a class of systems of second order ordinary differential equations (ODEs) has already been studied with complex symmetry analysis. Linearization of this class has been achieved earlier by complex method, however,…
We establish the local Hadamard well-posedness of a certain third-order nonlinear Schr\"odinger equation with a multi-term linear part and a general power nonlinearity known as the higher-order nonlinear Schr\"odinger equation, formulated…
We consider the problem of existence and uniqueness of strong a.e. solutions $u: \mathbb{R}^n \longrightarrow \mathbb{R}^N$ to the fully nonlinear PDE system \[\label{1} \tag{1} F(\cdot,D^2u ) \,=\, f, \ \ \text{ a.e. on }\mathbb{R}^n, \]…
We establish various forms of the following certainty principle: a set $S \subset \mathbb{R}^{n}$ contains a given finite linear pattern, provided that $S$ is a support of the Fourier transform of a sufficiently singular probability measure…
We derive a modular anomaly equation satisfied by the prepotential of the N=2* supersymmetric theories with non-simply laced gauge algebras, including the classical B and C infinite series and the exceptional F4 and G2 cases. This equation…
The extended de Finetti theorem characterizes exchangeable infinite random sequences as conditionally i.i.d. and shows that the apparently weaker distributional symmetry of spreadability is equivalent to exchangeability. Our main result is…
Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general cadlag semimartingales taking values in Lie groups are defined and investigated. The considered set of SDEs, first introduced by S. Cohen,…
A stochastic PDE, describing mesoscopic fluctuations in systems of weakly interacting inertial particles of finite volume, is proposed and analysed in any finite dimension $d\in\mathbb{N}$. It is a regularised and inertial version of the…
We prove the well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PDEs), where there is an external time parameter $t$ on top of…
One proves the uniqueness of distributional solutions to nonlinear Fokker--Planck equations with monotone diffusion term and derive as a consequence (restricted) uniqueness in law for the corresponding McKean--Vlasov stochastic differential…
The paper concerns the second-order generalized differentiation theory of variational analysis and new applications of this theory to some problems of constrained optimization in finitedimensional spaces. The main attention is paid to the…
In this paper we consider a class of semihamiltonian systems characterized by the existence of a special conservation law. The density and the current of this conservation law satisfy a second order system of PDEs which has a natural…