Related papers: Continuous dependence property of BSDE with constr…
Solving time-dependent Partial Differential Equations (PDEs) using a densely discretized spatial domain is a fundamental problem in various scientific and engineering disciplines, including modeling climate phenomena and fluid dynamics.…
In this paper, we first use the Bohr property to give a definition of Besicovitch almost periodic functions, and study some basic properties of Besicovitch almost periodic functions, including the equivalence of the Bohr property and the…
We combine the advantages of the adaptive and multilevel approaches, proposed previously by the authors, to propose a new method that preserves both, parallel scalability with increasing number of subdomains and excellent convergence…
We show the continuous dependence of solutions of linear nonautonomous second order parabolic partial differential equations (PDEs) with bounded delay on coefficients and delay. The assumptions are very weak: only convergence in the weak-*…
We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y$ by convention, but in terms of its conditional expectation…
Stochastic partial differential equations (SPDEs) are the mathematical tool of choice for modelling spatiotemporal PDE-dynamics under the influence of randomness. Based on the notion of mild solution of an SPDE, we introduce a novel neural…
In a recent paper, Bouchard, Elie and Reveillac \cite{BER} have studied a new class of Backward Stochastic Differential Equations with weak terminal condition, for which the $T$-terminal value $Y_T$ of the solution $(Y,Z)$ is not fixed as a…
We are interested on reflected advanced backward stochastic differential equations (RABSDE) with default. By the predictable representation property and for a Lipschitz driver, we show that the RABSDE with default has a unique solution in…
We analyze stochastic gradient descent for optimizing non-convex functions. In many cases for non-convex functions the goal is to find a reasonable local minimum, and the main concern is that gradient updates are trapped in saddle points.…
We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value +$\infty$ with positive probability. We deal with equations on a general filtered probability space…
We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce…
In this paper, we study the well-posedness of the Forward-Backward Stochastic Differential Equations (FBSDE) in a general non-Markovian framework. The main purpose is to find a unified scheme which combines all existing methodology in the…
Systems of PDEs comprised of a combination of constraints and evolution equations are ubiquitous in physics. For both theoretical and practical reasons, such as numerical integration, it is desirable to have a systematic understanding of…
The continuous dependence of solutions to certain (non-autonomous, partial, integro-differential-algebraic, evolutionary) equations on the coefficients is addressed. We give criteria that guarantee that convergence of the coefficients in…
We consider Lipschitz-type backward stochastic differential equations (BSDEs) driven by cylindrical martingales on the space of continuous functions. We show the existence and uniqueness of the solution of such infinite-dimensional BSDEs…
Partial differential equations with discrete (concentrated) state-dependent delays are studied. The existence and uniqueness of solutions with initial data from a wider linear space is proven first and then a subset of the space of…
We consider the Cauchy problem for semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the equation and mild conditions on the obstacle the problem has a unique…
We present a simple and self-contained approach to establish the unique continuation property for some classical evolution equations of second order in a cylindrical domain. We namely discuss this property for wave, parabolic and…
In this paper we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}}) \otimes…
This paper investigates solvability of fully coupled systems of forward-backward stochastic differential equations (FBSDEs) with irregular coefficients. In particular, we assume that the coefficients of the FBSDEs are merely measurable and…