Related papers: The Skorohod oblique reflection problem in time-de…
An inverse obstacle problem for the wave governed by the wave equation in a two layered medium is considered under the framework of the time domain enclosure method. The wave is generated by an initial data supported on a closed ball in the…
We study the nonlinear Schr\"odinger equation on the half-line with a boundary condition that involves time derivative. This boundary condition was presented by Zambon [J. High Energ. Phys. 2014 (2014) 36]. We establish the integrability of…
We investigate the obstacle problem for generalized Dean--Kawasaki equations driven by correlated conservative noise, establishing the existence, uniqueness, and $L^1$-stability of stochastic kinetic solutions. Our core strategy combines a…
We consider ergodic backward stochastic differential equations in a discrete time setting, where noise is generated by a finite state Markov chain. We show existence and uniqueness of solutions, along with a comparison theorem. To obtain…
A new type of solution for the full 3+1 dimensional space-time Schroedinger equation is presented here. We consider elegant presentation of the exact solution in a spherical coordinate system, along with the assuming of separation of the…
Time delay is ubiquitous in many experimental and real-world situations. It is often unclear whether time delay plays a significant role in observed phenomena, and if it does, how long the time lag really is. This would be invaluable…
We consider a probabilistic formulation of a singular two-phase Stefan problem in one space dimension, which amounts to a coupled system of two McKean-Vlasov stochastic differential equations. In the financial context of systemic risk, this…
The conformance testing problem for dynamical systems asks, given two dynamical models (e.g., as Simulink diagrams), whether their behaviors are "close" to each other. In the semi-formal approach to conformance testing, the two systems are…
A two-dimensional inviscid and diffusive Oldroyd-B model was investigated by [T. M. Elgindi, F. Rousset, Commun. Pure Appl. Math. 68 (2015), 2005--2021] where the global existence and uniqueness of the strong solution were established for…
We propose a unified four-dimensional (4D) spatiotemporal formulation for time-dependent convection-diffusion problems that preserves underlying physical structures. By treating time as an additional space-like coordinate, the evolution…
Consider the Skorokhod equation in the closed first quadrant: \[ X_t=x_0+ B_t+\int_0^t{\bf v}(X_s)\, dL_s,\] where $B_t$ is standard 2-dimensional Brownian motion, $X_t$ takes values in the quadrant for all $t$, and $L_t$ is a process that…
We prove the solvability of It\^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in $L_{d+1}(\mathbb{R}^{d+1})$. Actually, the powers of summability of the drift in $x$ and $t$ could be different.…
In this paper we study the Stratonovich stochastic differential equation $\mathrm{d} X=|X|^{\alpha}\circ\mathrm{d} B$, $\alpha\in(-1,1)$, which has been introduced by Cherstvy et al. [New Journal of Physics 15:083039 (2013)] in the context…
This paper examines the Root solution of the Skorohod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on finitely-many marginals Root solution of Cox, Obl\'oj and…
We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are…
The stochastic Landau-Lifshitz-Bloch equation in dimensions 1; 2; and 3 perturbed by pure jump noise is considered in the Marcus canonical form. A proof for existence of a martingale solution is given. The proof uses the Faedo-Galerkin…
We approximate the solution for the time dependent Schr\"odinger equation (TDSE) in two steps. We first use a pseudo-spectral collocation method that uses samples of functions on rank-1 or rank-r lattice points with unitary Fourier…
We prove time-dependent versions of Kingman's subadditive ergodic theorem, which can be used to study stochastic processes as well as propagation of solutions to PDE in time-dependent environments.
This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…