Related papers: On the comparison theorem for multidimensional SDE…
In this note we study symmetric monoidal functors from a symmetric monoidal 1-category to a cartesian symmetric monoidal $\infty$-category, which are in addition hypersheaves for a certain topology. We prove a symmetric monoidal version of…
In this note we establish some appropriate conditions for stochastic equality of two random variables/vectors which are ordered with respect to convex ordering or with respect to supermodular ordering. Multivariate extensions of this result…
This paper is devoted to integrability conditions for systems of linear difference and differential equations with difference parameters. It is shown that such a system is difference isomonodromic if and only if it is difference…
This paper presents some sufficient conditions for the validity of the comparison principle for the weak solutions of non - cooperative weakly coupled systems of elliptic second-order PDEs.
A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an…
In this article, we introduce the notion of stochastic symmetry of a differential equation. It consists in a stochastic flow that acts over a solution of a differential equation and produces another solution of the same equation. In the…
We consider a class of jump processes in euclidean space which are associated to a certain non-local symmetric Dirichlet form. We prove a lower bound on the occupation times of sets, and that a support theorem holds for these processes.
This paper is devoted to solving a real valued backward stochastic differential equation with jumps where the time horizon may be finite or infinite. Under linear growth generator, we prove existence of a minimal solution. Using a…
Inverse problems involving partial differential equations (PDEs) with discontinuous coefficients are fundamental challenges in modeling complex spatiotemporal systems with heterogeneous structures and uncertain dynamics. Traditional…
The Jump Inversion Theorem says that for every real $A \ge_T 0'$ there is a real $B$ such that $A \equiv_T B' \equiv_T B \oplus 0'$. A known refinement of this theorem says that we can choose $B$ to be a member of any special $\Pi^0_1$…
This paper proposes a novel test for simultaneous jumps in a bivariate It\^o semimartingale when observation times are asynchronous and irregular. Inference is built on a realized correlation coefficient for the jumps of the two processes…
A delayed term in a differential equation reflects the fact that information takes significant time to travel from one place to another within a process being studied. Despite de apparent similarity with ordinary differential equations,…
The necessary and suffcient condition for a set of matrices to commute is given and proven.
We investigate a class of quadratic-exponential growth BSDEs with jumps. The quadratic structure introduced by Barrieu & El Karoui (2013) yields the universal bounds on the possible solutions. With local Lipschitz continuity and the…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
We consider a solution to a generic Markovian jump diffusion and show that for positive times the law of the solution process has a smooth density with respect to Lebesgue measure under a uniform version of Hoermander's conditions. Unlike…
We consider stochastic PDEs \[dY_t = L(Y_t)\, dt + A(Y_t).\, dB_t, t > 0\] and associated PDEs \[du_t = L u_t\, dt, t > 0\] with regular initial conditions. Here, $L$ and $A$ are certain partial differential operators involving…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some…
In this paper, we study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are…