Related papers: The Skorohod oblique reflection problem in time-de…
This paper presents a double spatio-temporal localized Dirac-delta solution for the linear wave equation. The solution arises from the interference of sinusoidal waves with frequencies that vary as a function of the time of emission. It is…
A nonperturbative procedure of solving the time-dependent Schr\"odinger equation, called the multi-projection approach or phase dynamics of quantum mechanics, is derived and illustrated. In addition to introducing a method with that…
We consider a reflected process in the positive orthant driven by an exogenous jump process. For a given input process, we show that there exists a unique minimal strong solution to the given particle system up until a certain maximal…
We construct Skorokhod decompositions for diffusions with singular drift and reflecting boundary behavior on open subsets of $\mathbb R^d$ with $C^2$-smooth boundary except for a sufficiently small set. This decomposition holds almost…
We analytically derive novel explicit integral representations for the solution of nonhomogeneous initial-boundary-value problems for a large category of evolution partial differential equations of Sobolev-Galpern type with generic…
In this paper, we study the backward stochastic differential equations driven by G-Brownian motion with double mean reflections, which means that the constraints are made on the law of the solution. Making full use of the backward Skorokhod…
Let $X_n$ be independent random elements in the Skorohod space $D([0,1];E)$ of c\`{a}dl\`{a}g functions taking values in a separable Banach space $E$. Let $S_n=\sum_{j=1}^nX_j$. We show that if $S_n$ converges in finite dimensional…
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod…
Stokes' theorem is central to many aspects of physics -- electromagnetism, the Aharonov-Bohm effect, and Wilson loops to name a few. However, the pedagogical examples and research work almost exclusively focus on situations where the fields…
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time…
In this paper, we study the following time-dependent stochastic differential equation (SDE) in ${\bf R}^d$: $$ d X_{t}= \sigma_t(X_{t-}) d Z_t + b_t(X_{t})d t, \quad X_{0}=x\in {\bf R}^d, $$ where $Z$ is a $d$-dimensioanl nondegenerate…
The dissertation describes ergodic properties of some stochastic dynamical systems generated by Markov chains with values in the state space which is a Polish space. The mathematical model describing the process of cell division is…
We present new approaches for solving constrained multicomponent nonlinear Schr\"odinger equations in arbitrary dimensions. The idea is to introduce an artificial time and solve an extended damped second order dynamic system whose…
In this paper we present a variant of the well known Skorokhod Representation Theorem. In our main result, given $S$ a Polish space, to a given continous path $\alpha$ in the space of probability measures on $S$, we associate a continuous…
In this paper we propose fast solution methods for the Cauchy problem for the multidimensional Schr\"odinger equation. Our approach is based on the approximation of the data by the basis functions introduced in the theory of approximate…
We consider the class of non-linear stochastic partial differential equations studied in \cite{conusdalang}. Equivalent formulations using integration with respect to a cylindrical Brownian motion and also the Skorohod integral are…
This is a survey about the Skorokhod embedding problem. It presents all known solutions together with their properties and some applications. Some of the solutions are just described, while others are studied in detail and their proofs are…
In this paper, we study the reflected stochastic differential equations driven by G-Brownian motion (reflected G-SDEs) with two nonlinear constraints. With the help of the Skorokhod problem with nonlinear constraints, we first study the…
We construct diffusions with values in the nonnegative orthant, normal reflection along each of the axes, and two pairs of local drift/variance characteristics assigned according to rank; one of the variances is allowed to vanish, but not…
This paper explores the forward and inverse problems for a fractional subdiffusion equation characterized by time-dependent diffusion and reaction coefficients. Initially, the forward problem is examined, and its unique solvability is…