Related papers: Wellposedness of Second Order Backward SDEs

This paper is an attempt to extend the notion of viscosity solution to nonlinear stochastic partial differential integral equations with nonlinear Neumann boundary condition. Using the recently developed theory on generalized backward…

In this present paper, we study geometric structures of rank two prolongations of implicit second-order partial differential equations (PDEs) for two independent and one dependent variables and characterize the type of these PDEs by the…

In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward…

In this paper, we establish the relationship between backward stochastic Volterra integral equations (BSVIEs, for short) and a kind of non-local quasilinear (and possibly degenerate) parabolic equations. We first introduce the extended…

Dyson published in 1990 a proof due to Feynman of the Maxwell equations. This proof is based on the assumption of simple commutation relations between position and velocity. We first study a nonrelativistic particle using Feynman formalism.…

We prove the existence of classical solutions to parabolic linear stochastic integro-differential equations with adapted coefficients using Feynman-Kac transformations, conditioning, and the interlacing of space-inverses of stochastic flows…

In this note, we present an elementary proof for a well-known second-order sufficient optimality condition in nonlinear semidefinite optimization which does not rely on the enhanced theory of second-order tangents. Our approach builds on an…

The aim of this article is to study the asymptotic behaviour for large times of solutions to a certain class of stochastic partial differential equations of parabolic type. In particular, we will prove the backward uniqueness result and the…

We consider when finite families $F \subseteq \mathbb{C}[t]$ of bounded degree polynomials, or more generally of bounded complexity finite-to-finite correspondences on $\mathbb{C}$, can exhibit non-expansion of the form $|F(A)| =…

A second order finite-difference equation has two linearly independent solutions. It is shown here that, like in the continuous case, at most one of the two can be a polynomial solution. The uniqueness in the classical continuous…

By investigating McKean-Vlasov SDEs, the order preservation and positive correlation are characterized for nonlinear Fokker-Planck equations. The main results recover the corresponding criteria on these properties established in [3, 5] for…

(Working Paper) Using a purely probabilistic argument, we prove the global well-posedness of multidimensional superquadratic backward stochastic differential equations (BSDEs) without Markovian assumption. The key technique is the interplay…

In many applications, it is important to be able to sample paths of SDEs conditional on observations of various kinds. This paper studies SPDEs which solve such sampling problems. The SPDE may be viewed as an infinite-dimensional analogue…

In this paper, methods of second order and higher order reverse mathematics are applied to versions of a theorem of Banach that extends the Schroeder-Bernstein theorem. Some additional results address statements in higher order arithmetic…

We introduce a method of rigorous analysis of the location and type of complex singularities for nonlinear higher order PDEs as a function of the initial data. The method is applied to determine rigorously the asymptotic structure of…

We study extended associative semigroups (briefly, EAS), an algebraic structure used to define generalizations of the operad of associative algebras, and the subclass of commutative extended diassociative semigroups (briefly, CEDS), which…

In this note, we present an extension to second order nonlinear ordinary differential equations (ODEs) of the Nagumo-like uniqueness criterion for first order ODEs established in [A. Constantin, On Nagumo's theorem, Proc. Japan Acad. 86(A)…

We extend for the second time the Nonstandard Analysis by adding the left monad closed to the right, and right monad closed to the left, while besides the pierced binad (we introduced in 1998) we add now the unpierced binad - all these in…

We establish a consistency result by comparing two independent notions of generalised solutions to a large class of linear hyperbolic first order PDE systems with constant coefficients, showing that they eventually coincide. The first is…

The well-posedness and regularity estimates in initial distributions are derived for singular McKean-Vlasov SDEs, where the drift contains a locally standard integrable term and a superlinear term in the spatial variable, and is Lipchitz…