Related papers: Multivalued stochastic Dirichlet-Neumann problems …
We study a general class of nonlinear second-order variational inequalities with interconnected bilateral obstacles, related to a multiple modes switching game. Under rather weak assumptions, using systems of penalized unilateral backward…
In this paper we obtain a Wong-Zakai approximation to solutions of backward doubly stochastic differential equations.
A useful approach is investigated in order to analyze a class of a stochastic differential equations that can be encountered in quantum optics problems, especially, in the case of two photon losses on the driven cavity mode. The passage to…
We prove the well posedness: global existence, uniqueness and regularity of the solutions, of a class of d-dimensional fractional stochastic active scalar equations. This class includes the stochastic, dD-quasi-geostrophic equation, $ d\geq…
In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general filtration that is essentially non quasi-left continuous,…
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a…
We study variational regularisation methods for inverse problems with imperfect forward operators whose errors can be modelled by order intervals in a partial order of a Banach lattice. We carry out analysis with respect to existence and…
We present a Lyapunov type approach to the problem of existence and uniqueness of general law-dependent stochastic differential equations. In the existing literature most results concerning existence and uniqueness are obtained under…
This note deals with existence and uniqueness of (variational) solutions to the following type of stochastic partial differential equations on a Hilbert space H dX(t) = A(t,X(t))dt + B(t,X(t))dW(t) + h(t) dG(t) where A and B are random…
In this paper we consider the variable inequality problem, that is, to find a solution of the inclusion given by the sum of a function and a point-to-cone application. This problem can be seen as a generalization of the classical system…
In this paper we consider two classes of backward stochastic differential equations. Firstly, under a Lipschitz-type condition on the generator of the equation, which can also be unbounded, we give sufficient conditions for the existence of…
This study deals with the analysis of the Cauchy problem of a general class of nonlocal nonlinear equations modeling the bi-directional propagation of dispersive waves in various contexts. The nonlocal nature of the problem is reflected by…
In this paper we introduce a new double phase Baouendi-Grushin type operator with variable coefficients. We give basic properties of the corresponding functions space and prove a compactness result. In the second part, using topological…
We prove convergence of a single time-scale stochastic subgradient method with subgradient averaging for constrained problems with a nonsmooth and nonconvex objective function having the property of generalized differentiability. As a tool…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
We are concerned with optimization in a broad sense through the lens of solving variational inequalities (VIs) -- a class of problems that are so general that they cover as particular cases minimization of functions, saddle-point (minimax)…
This work concerns generalized backward stochastic differential equations, which are coupled with a family of reflecting diffusion processes. First of all, we establish the large deviation principle for forward stochastic differential…
We consider stochastic optimization problems involving an expected value of a nonlinear function of a base random vector and a conditional expectation of another function depending on the base random vector, a dependent random vector, and…
We examine the duality theory for a class of non-convex functions obtained by composing a convex function with a continuous one. Using Fenchel duality, we derive a dual problem that satisfies weak duality under general assumptions. To…
We put forward a conjecture about an universal asymptotical behaviour of the symbol of the Dirichlet-to-Neumann operator (considered as a pseudodifferential operator) in the 2D exterior problem for the Hemholtz equation. The conjecture is…